Peixuan Yuan

Peixuan Yuan

Assistant Professor of Finance

School of Finance

Renmin University of China

About Me

I am currently an assistant professor of Finance at the School of Finance, Renmin University of China.

Interests

  • Empirical Asset Pricing
  • Derivatives Pricing
  • Machine Learning
  • Big Data

Education

  • Ph.D. in Finance, 2021

    Rutgers University

  • MS in Quantitative Finance, 2016

    Rutgers University

  • BS in Remote Sensing and Information Engineering, 2015

    Wuhan University

Publications

Peixuan Yuan (2023). A New Model for the Joint Valuation of S&P 500 and VIX Options: Specification Analysis. Management Science, Accepted.

Peixuan Yuan (2022). Time-Varying Skew in VIX Derivatives Pricing. Management Science, 68(10), 7761-7791.

DOI

Xinjie Wang, Zhiqiang Xiang, Weike Xu, Peixuan Yuan (2022). The Causal Relationship between Social Media Sentiment and Stock Return: Experimental Evidence from an Online Message Forum. Economics Letters, 216, 110598.

DOI

Working Papers

Market Frictions and Dynamics of the Cross-Section of Stock Returns

Peixuan Yuan
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Market Frictions and Dynamics of the Cross-Section of Stock Returns

Information Transmission from Corporate Bonds to the Aggregate Stock Market

Sophia Zhengzi Li, Peixuan Yuan, Guofu Zhou
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Information Transmission from Corporate Bonds to the Aggregate Stock Market

Risk Momentum: A New Class of Price Patterns

Sophia Zhengzi Li, Peixuan Yuan, Guofu Zhou
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Risk Momentum: A New Class of Price Patterns

Granular Information and Sectoral Movements

Hao Jiang, Sophia Zhengzi Li, Peixuan Yuan
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Granular Information and Sectoral Movements

Pockets of Factor Pricing

Sophia Zhengzi Li, Peixuan Yuan, Guofu Zhou
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Pockets of Factor Pricing

Pricing Implications of Option-Implied Tail Risk

Yangru Wu, Peixuan Yuan
Pricing Implications of Option-Implied Tail Risk

Gambling Preferences for Loser Stocks Everywhere

Peixuan Yuan