Faculty Directory

Associate Professor of Finance

Norman J. Metcalfe Endowed Professor in Finance

Academic Expertise

Selected Publications

“The Smart Beta Mirage”
Huang, S., Song, Y., and Hong, X., (2024). Journal of Financial and Quantitative Analysis, Vol. 59(6), pp. 2515–2546.

“Discontinued Positive Feedback Trading and the Decline of Return Predictability”
Ben-David, I., Li, J., Rossi, A., and Song, Y., (2024). Journal of Financial and Quantitative Analysis, Vol. 59(7), pp. 3062–3100.

“Index Providers: Whales Behind the Scenes of ETFs”
An, Y., Benetton, M., and Song, Y., (2023). Journal of Financial Economics, Vol. 149(3), pp. 407–433.

“A Frog in Every Pan: Information Discreteness and the Lead–Lag Returns Puzzle”
Lee, C.M.C., Huang, S., Song, Y., and Xiang, H., (2022). Journal of Financial Economics, Vol. 145(2A), pp. 82–102.

“What Do Mutual Fund Investors Really Care About?”
Ben-David, I., Li, J., Rossi, A., and Song, Y., (2022). Review of Financial Studies, Vol. 35(4), pp. 1723–1774.

“Ratings-Driven Demand and Systematic Price Fluctuations”
Ben-David, I., Li, J., Rossi, A., and Song, Y., (2022). Review of Financial Studies, Vol. 35(6), pp. 2790–2838.

“Obfuscation in Mutual Funds”
de Haan, E., Song, Y., Xie, C., and Zhu, C., (2021). Journal of Accounting and Economics, Vol. 72(2–3).

“The Mismatch Between Mutual Fund Scale and Skill”
Song, Y., (2020). Journal of Finance, Vol. 75(5), pp. 2555–2589.

“Funding Value Adjustments”
Andersen, L., Duffie, D., and Song, Y., (2019). Journal of Finance, Vol. 74(1), pp. 145–192.

Working Papers

Dealer Funding Costs: Implications for the Term Structure of Dividend Risk Premia

Flow-induced Trades and Asset Pricing Factors with Shiyang Huang and Hong Xiang

Fragile Factor Premia with Shiyang Huang and Hong Xiang

The Intermediary Rat Race with Yu An and Xingtan Zhang

Performance Evaluation with Latent Factors with Qingyuan Zhao

Courses Taught

FIN 460 Investments