Faculty

Jimmy Yang

Professor

Finance

Jimmy Yang

541-737-6005

jimmy.yang@bus.oregonstate.edu

Faculty

Jimmy Yang

Overview

Background

Publications

Overview

Career Interests

Jimmy Yang is a Professor of Finance in the College of Business. He currently teaches courses in Corporate Finance and International Financial Management. His research has focused on market stabilization mechanisms, international financial markets, and equity offerings.

Background

Education

Ph.D. University of Cincinnati (2003)
Finance

MBA Saint Louis University (1997)
Finance

BA National Chung Hsing University (1993)
Public Finance

Experience

Professor, College of Business, Oregon State University (2015 - present)
Associate Professor, College of Business, Oregon State University (2009 - 2015)
Assistant Professor, College of Business, Oregon State University (2003 - 2009)
Instructor, College of Business Administration, University of Cincinnati (2001 - 2002)

Professional Affiliations

American Finance Association
Financial Management Association
Western Finance Association

Honors & Awards

Toomey Faculty Fellow, COB, Oregon State University (2012-2014)
Faculty International Grant, International Programs, Oregon State University (2013)
International Programs Faculty Grant, Oregon State University (2011, 2012)
Newcomb Fellowship, COB, Oregon State University (2009)
Gazette-Times Faculty Leadership Award, COB, Oregon State University (2009)
Outstanding Faculty Service Award, COB, Oregon State University (2007, 2008)
Summer Research Fellowships, COB, Oregon State University (2004, 2005, 2006, 2008, 2009, 2010, 2013)
University Distinguished Dissertation Fellowship for Behavioral & Social Sciences, University of Cincinnati (2002-2003)
University Graduate Scholarships, University of Cincinnati (1998-2002)
Summer Research Fellowships, University of Cincinnati (2000)

Publications

Academic Journal

Finance

“The MAX Effect: Lottery Stocks with Price Limits and Limits to Arbitrage”

We modify the Bali et al.’s (2011) MAX measure (maximum daily return over the prior month) when the observed returns are capped at the daily price limit to address the issue of homogeneous MAX across stocks. Our results indicate that the modified MAX measure can be a significant predictor of future stock returns. The modified MAX effect is not a manifestation of the idiosyncratic volatility effect. We also find that the modified MAX measure could be an alternative proxy for arbitrage risk.

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Weifeng Hung and Jimmy Yang "The MAX Effect: Lottery Stocks with Price Limits and Limits to Arbitrage" Journal of Financial Markets Elsevier 77-91 pages 2018 View on: Google Scholar

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Academic Journal

Finance

“What makes when-issued trading attractive to financial markets?”

When-issued trading is the trading of securities prior to the actual issue of the security. When-issued trading is active around the world and in a variety of equity and bond markets. In this survey, we provide a general description of when-issued trading, analyze benefits and costs in various financial markets, present existing theoretical models and predictions, and synthesize empirical findings. We find that when-issued trading promotes price discovery, mitigates information asymmetry, provides convenience for trading ahead of the actual issue of the security, and in some markets reduces volatility. In addition, we offer policy implications and suggest directions for further research in this area.

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Academic Journal

Finance

“When-issued trading in the Indian IPO market”

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Academic Journal

Finance

“Reconsidering Price Limit Effectiveness”

Most stock exchanges around the world impose daily price limits on stock prices. However, China is the only market that has experienced trading with and without price limits. We study China’s experience with price limits by comparing a subperiod with price limits to a subperiod without price limits. We provide three major sets of findings. First, we find price limits moderate transitory volatility and mitigates abnormal trading activity. Second, for poor performing stocks, a tighter price limit also appears helpful in moderating volatility and not hurtful. Finally, we find some evidence that price limits can facilitate market recovery following crashes. Many prior studies criticize price limits. Our study shows benefits of price limits.

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Academic Journal

Finance

“The choice between rights and underwritten equity offerings: Evidence from Chinese Stock Markets”

We study the choice and valuation effects of alternative flotation methods using a sample of Chinese firms that must meet the return on equity (ROE) thresholds set by the government to raise equity capital. The ROE requirement, although changed over time, seems to play an important role on the valuation and performance of seasoned equity offerings. The analysis of 219 rights and 75 underwritten offerings between 2000 and 2004 shows that Chinese firms that are not qualified for the flotation method with a higher ROE requirement suffer the most at announcement and experience significantly lower buy-and-hold abnormal returns than those that are qualified. Our results suggest that the freedom to choose their preferred flotation method may be valuable to firms that meet the higher ROE requirement. Finally, our probit models identify several determinants of the choice of flotation methods.

Full Details

Li Dang and Jimmy Yang "The choice between rights and underwritten equity offerings: Evidence from Chinese Stock Markets" Journal of Multinational Financial Management 235-253 pages 2013 View on: Google Scholar

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Academic Journal

Finance

“Is the diversification benefit of frontier markets realizable by mean-variance investors? The evidence of investable funds”

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David Berger, Kuntara Pukthuanthong and Jimmy Yang "Is the diversification benefit of frontier markets realizable by mean-variance investors? The evidence of investable funds" Journal of Portfolio Management 36-48 pages 2013 View on: Google Scholar

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Academic Journal

Finance

“Emerging from bankruptcy with when-issued trading”

We examine the set of firms that emerged from Chapter 11 bankruptcy and traded on a when-issued basis prior to their official return to the regular way in NASDAQ, Amex, or NYSE. We find that this when-issued market is liquid and price efficient. The when-issued closing price is a good indicator of the first closing price in the regular way market. Emerging firms that have when-issued trading experience lower regular way volatility and smaller relative spreads than those without when-issued trading. Our probit regressions show that firm size is an important determinant of the adoption of when-issued trading.

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Academic Journal

Finance

“Private Debt, Unused Credit Lines, and Seasoned Equity Offerings”

We study a sample of SEOs to examine the impact of private debt and unused credit lines on SEO underpricing and long-run stock and operating performance. We do not find significant effects of private debt financing on SEO underpricing and long-run stock underperformance. However, firms with more bank debt and unused lines of credit exhibit significantly better pre-issue operating performance. Changes in operating performance from the pre-issue year to the post-issue period are negatively related to the size of unused credit lines. Capital spending decreases with the size of unused credit lines in the year prior to SEOs, but increases following SEOs. Our overall evidence suggests that the post-issue operating performance we observed may be a result of overinvestment, which is enhanced by unused credit lines.

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Academic Journal

Finance

“International diversification with frontier markets”

We provide an analysis of frontier market equities with respect to world market integration and diversification. Principal component results reveal that frontier markets exhibit low levels of integration. In contrast with developed and emerging markets, frontier markets offer no indication of increasing integration through time. Furthermore, individual frontier market countries do not exhibit consistent rates of changing integration. Structural break tests identify breakpoints in integration, as well as integration dynamics across countries. We show that frontier markets have low integration with the world market and thereby offer significant diversification benefits.

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Academic Journal

Finance

“Venture Capital, Ownership Structure, Accounting Standards and IPO Underpricing: Evidence from Germany”

This study investigates the impact of venture capital (VC), ownership structure, and accounting standards on initial public offering (IPO) underpricing in Germany. Using data from Germany's Neuer Markt (NM), we test two key hypotheses regarding IPO underpricing; first, whether VC ownership and higher levels of post-IPO insider ownership result in lower underpricing, and second, whether additional information disclosure results in lower underpricing. Besides the standard underpricing measure, we also use a modified underpricing measure to better assess true entrepreneurial wealth loss. Robust findings indicate that none of these factors are significant in lowering IPO underpricing, which suggests the importance of examining standard theories within alternative institutional environments. Results are consistent with the stylized fact that Germany's NM firms had relatively minimal use of VC financing, which may point to not only a weaker role for venture capitalists in Germany but fewer incentives to reduce information asymmetry arising from outside ownership.

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Julie Ann Elston and Jimmy Yang "Venture Capital, Ownership Structure, Accounting Standards and IPO Underpricing: Evidence from Germany" Journal of Economics and Business 517-536 pages 2010 View on: Google Scholar

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Academic Journal

Finance

“Effect of price limits: initial public offerings versus seasoned equities”

In this paper, we examine the effect of price limits on initial public offerings (IPOs) using Taiwanese data. On average, it takes 6.24 days for IPOs to reach their equilibrium prices in the presence of a 7% price limit. We compare IPOs with their industry- and size-matched seasoned equities (MSEs) and observe higher volatility levels on subsequent days for IPOs than for MSEs. However, the higher volatility decays within 2 days. Lower price limits interfere with trading and lead to higher trading activity on subsequent days for IPOs than for MSEs. We also observe delayed price discovery for both IPOs and MSEs. Overall, our results provide evidence about the effect of price limits on IPOs and generate important regulatory implications for countries imposing price limits on IPOs.

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Academic Journal

Supply Chain

“A censored stochastic volatility approach to the estimation of price limit moves”

A censored stochastic volatility model is developed to reconstruct a return series censored by price limits, one popular form of market stabilization mechanisms. When price limits are reached, the observed prices are truncated and the equilibrium prices are unobservable, which makes further financial analyses difficult. The model offers theoretically sound estimates of censored returns and is demonstrated via simulations to outperform existing approaches with respect to the estimates of model parameters, unconditional means, and standard deviations. The algorithm is applied to model stock and futures returns and results are consistent with the simulation outcomes.

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