Zhenyu Wang : Citation Profile


Are you Zhenyu Wang?

Federal Reserve Bank of New York
Federal Reserve Bank of New York

9

H index

9

i10 index

1225

Citations

RESEARCH PRODUCTION:

8

Articles

14

Papers

RESEARCH ACTIVITY:

   18 years (1993 - 2011). See details.
   Cites by year: 68
   Journals where Zhenyu Wang has often published
   Relations with other researchers
   Recent citing documents: 89.    Total self citations: 8 (0.65 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pwa312
   Updated: 2023-05-27    RAS profile: 2008-05-15    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Zhenyu Wang.

Is cited by:

Jagannathan, Ravi (13)

Szafarz, Ariane (13)

Lustig, Hanno (13)

faff, robert (12)

Van Nieuwerburgh, Stijn (11)

Ang, Andrew (10)

OOSTERLINCK, Kim (10)

zhang, xiaoyan (10)

Campbell, John (10)

Mignon, Valérie (10)

Zhang, Lu (9)

Cites to:

Harvey, Campbell (22)

Stambaugh, Robert (21)

Jagannathan, Ravi (20)

Fama, Eugene (17)

Hansen, Lars (17)

French, Kenneth (16)

Pastor, Lubos (13)

Hodrick, Robert (12)

Shanken, Jay (12)

Bekaert, Geert (10)

Roll, Richard (8)

Main data


Where Zhenyu Wang has published?


Working Papers Series with more than one paper published# docs
Staff Reports / Federal Reserve Bank of New York8
Staff Report / Federal Reserve Bank of Minneapolis2

Recent works citing Zhenyu Wang (2022 and 2021)


YearTitle of citing document
2021Uncertainty Network Risk and Currency Returns. (2021). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2101.09738.

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2021An Interpretable Neural Network for Parameter Inference. (2021). Pfitzinger, Johann. In: Papers. RePEc:arx:papers:2106.05536.

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2021The efficient frontiers of mean-variance portfolio rules under distribution misspecification. (2021). van Zyl, Terence ; Gebbie, Tim ; Paskaramoorthy, Andrew. In: Papers. RePEc:arx:papers:2106.10491.

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2021Machine Learning and Factor-Based Portfolio Optimization. (2021). Kynigakis, Iason ; Cotter, John ; Conlon, Thomas. In: Papers. RePEc:arx:papers:2107.13866.

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2022Misspecification and Weak Identification in Asset Pricing. (2022). Zhan, Zhaoguo ; Kleibergen, Frank. In: Papers. RePEc:arx:papers:2206.13600.

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2022A penalized two-pass regression to predict stock returns with time-varying risk premia. (2022). Scaillet, Olivier ; Guerrier, St'Ephane ; Bakalli, Gaetan. In: Papers. RePEc:arx:papers:2208.00972.

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2021Identifying deposits outflows in real-time. (2021). Rainone, Edoardo. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1319_21.

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2022Bank of Japans ETF purchase program and equity risk premium: a CAPM interpretation. (2022). Shino, Junnosuke ; Takahashi, Koji ; Katagiri, Mitsuru. In: BIS Working Papers. RePEc:bis:biswps:1029.

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2021When it rains, it pours: Multifactor asset management in good and bad times. (2021). Szafarz, Ariane ; Briere, Marie. In: Journal of Financial Research. RePEc:bla:jfnres:v:44:y:2021:i:3:p:641-669.

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2021Associations Between Logistics and Economic Growth in Africa. (2021). Pisa, Noleen M ; Chakamera, Chengete. In: South African Journal of Economics. RePEc:bla:sajeco:v:89:y:2021:i:3:p:417-438.

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2021The Stock Market, Labor-Income Risk and Unemployment in the US: Empirical Findings and Policy Implications. (2021). Celebi, Kaan. In: EIIW Discussion paper. RePEc:bwu:eiiwdp:disbei291.

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2021Uncertainty Network Risk and Currency Returns. (2021). Barunik, Jozef ; Babiak, Mykola. In: CERGE-EI Working Papers. RePEc:cer:papers:wp687.

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2022The Performance of Socially Responsible Investments: A Meta-Analysis. (2022). Yuksel, Gul ; Hornuf, Lars. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9724.

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2021The RQE-CAPM : New insights about the pricing of idiosyncratic risk. (2021). Moran, Kevin ; Koumou, Nettey Boevi Gilles ; Carmichael, Benoit. In: CIRANO Working Papers. RePEc:cir:cirwor:2021s-28.

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2021Measuring the cost of equity of euro area banks. (2021). Rycx, Francois ; Palligkinis, Spyros ; Odonnell, Charles ; Mosthaf, Jonas ; Fernandes, Cecilia Melo ; Kick, Heinrich ; Grodzicki, Maciej ; Dumitru, Ana-Maria ; de Ryck, Jeroen ; Bochmann, Paul ; Altavilla, Carlo ; Carlo Altavilla , . In: Occasional Paper Series. RePEc:ecb:ecbops:2021254.

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2022Do oil price shocks have any implications for stock return momentum?. (2022). Kang, Sanghoon ; Maitra, Debasish ; Dash, Saumya Ranjan ; Balakumar, Suganya. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:75:y:2022:i:c:p:637-663.

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2022Does systematic risk change when markets close? An analysis using stocks’ beta. (2022). Insana, Alessandra. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s0264999322000281.

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2021Further tests of asset pricing models: Liquidity risk matters. (2021). Liu, Weimin ; Zhang, Xindong ; Ma, Xiuli. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:255-273.

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2021Predicting equity premium using dynamic model averaging. Does the state–space representation matter?. (2021). Nonejad, Nima. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s106294082100070x.

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2021Cross-sectional tests of asset pricing models with full-rank mimicking portfolios. (2021). Kim, Jin Yong ; Lee, Jeong Hwan ; Ho, Kun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000802.

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2023US structural drivers of international portfolio returns. (2023). Tong, Eric ; So, Inhwan ; Jang, Bosung. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002078.

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2022Factor models with many assets: Strong factors, weak factors, and the two-pass procedure. (2022). Anatolyev, Stanislav ; Mikusheva, Anna. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:103-126.

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2022The Fama-French model for estimating the cost of equity capital: The impact of real options of investment projects. (2022). Zarzecki, Dariusz ; Urbaski, Stanisaw. In: Economic Systems. RePEc:eee:ecosys:v:46:y:2022:i:1:s0939362521000224.

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2022The saving, human wealth and asset pricing nexus: Evidence from around the world. (2022). Shijin, Santhakumar ; Roy, Rahul. In: Economic Systems. RePEc:eee:ecosys:v:46:y:2022:i:2:s0939362522000395.

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2021Quantitative portfolio selection: Using density forecasting to find consistent portfolios. (2021). Beasley, John ; Meade, N ; Adcock, C J. In: European Journal of Operational Research. RePEc:eee:ejores:v:288:y:2021:i:3:p:1053-1067.

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2021Modeling the cross-section of stock returns using sensible models in a model pool. (2021). Zhou, Qing ; Liao, Yin ; Chiang, I-Hsuan Ethan ; I-Hsuan Ethan Chiang, . In: Journal of Empirical Finance. RePEc:eee:empfin:v:60:y:2021:i:c:p:56-73.

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2022Characteristic-sorted portfolios and macroeconomic risks—An orthogonal decomposition. (2022). Conlon, Thomas ; Bessler, Wolfgang ; Adcock, Christopher . In: Journal of Empirical Finance. RePEc:eee:empfin:v:65:y:2022:i:c:p:24-50.

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2023Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables. (2023). Nonejad, Nima. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:91-122.

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2021Interbank funding, bank risk exposure and performance in the UK: A three-stage network DEA approach. (2021). Danso, Albert ; James, Gregory A ; Lartey, Theophilus. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000958.

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2021Predicting equity premium using news-based economic policy uncertainty: Not all uncertainty changes are equally important. (2021). Nonejad, Nima. In: International Review of Financial Analysis. RePEc:eee:finana:v:77:y:2021:i:c:s1057521921001526.

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2022Linear beta pricing with efficient/inefficient benchmarks and short-selling restrictions. (2022). Ioannidis, Christos ; Diacogiannis, George. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521921003173.

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2022Explaining abnormal returns in stock markets: An alpha-neutral version of the CAPM. (2022). Rocciolo, Francesco ; Gheno, Andrea ; Brooks, Chris. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001089.

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2022Time-variation, multiple testing, and the factor zoo. (2022). Smith, Simon C. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922003441.

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2022More predictors of the investment opportunity set in the ICAPM. (2022). Ho, JI. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005298.

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2021The pricing of the illiquidity factor’s conditional risk with time-varying premium. (2021). Noh, Joonki ; Amihud, Yakov. In: Journal of Financial Markets. RePEc:eee:finmar:v:56:y:2021:i:c:s1386418120300744.

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2021Who should be afraid of infections? Pandemic exposure and the cross-section of stock returns. (2021). Zaremba, Adam ; Cakici, Nusret. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000524.

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2021Risk and return in international corporate bond markets. (2021). Bekaert, Geert ; de Santis, Roberto A. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000573.

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2021The conditional volatility premium on currency portfolios. (2021). Sakemoto, Ryuta ; Byrne, Joseph P. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s104244312100130x.

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2021Stocks versus bonds for the long run when a riskless asset is available. (2021). Levy, Moshe. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002314.

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2021Aggregate Distress Risk and Equity Returns. (2021). Jiang, Xiaowen ; Guo, Hui. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002478.

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2022Testing Factor Models in the Cross-Section. (2022). Prokopczuk, Marcel ; Hollstein, Fabian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:145:y:2022:i:c:s0378426622002060.

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2021Time-varying state variable risk premia in the ICAPM. (2021). Karehnke, Paul ; Boons, Martijn ; Barroso, Pedro. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:2:p:428-451.

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2021The cross-section of currency volatility premia. (2021). Neuberger, Anthony ; Kozhan, Roman ; Della Corte, Pasquale. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:3:p:950-970.

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2021Common pricing across asset classes: Empirical evidence revisited. (2021). Gospodinov, Nikolay ; Robotti, Cesare. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:1:p:292-324.

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2021Frequency dependent risk. (2021). Varneskov, Rasmus T ; Neuhierl, Andreas. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:2:p:644-675.

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2021Factors and risk premia in individual international stock returns. (2021). Scaillet, Olivier ; Chaieb, Ines ; Langlois, Hugues. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:2:p:669-692.

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2022Realized semibetas: Disentangling “good” and “bad” downside risks. (2022). Quaedvlieg, Rogier ; Patton, Andrew J ; Bollerslev, Tim. In: Journal of Financial Economics. RePEc:eee:jfinec:v:144:y:2022:i:1:p:227-246.

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2022Do real estate values boost corporate borrowing? Evidence from contract-level data. (2022). Steiner, Eva ; Kankanhalli, Gaurav ; Connolly, Robert A ; Campello, Murillo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:144:y:2022:i:2:p:611-644.

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2023Empirical evaluation of overspecified asset pricing models. (2023). Sentana, Enrique ; Pearanda, Francisco ; Manresa, Elena. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:2:p:338-351.

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2021Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly. (2021). Rubesam, Alexandre ; Salmon, Mark ; Hwang, Soosung. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:111:y:2021:i:c:s0261560620302746.

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2022The time-varying risk price of currency portfolios. (2022). Sakemoto, Ryuta ; Ibrahim, Boulis Maher ; Byrne, Joseph P. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:124:y:2022:i:c:s0261560622000390.

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2022Estimating the cost of equity for the regulated energy and infrastructure sectors in India. (2022). Prakash, Puneet ; Singh, Anoop. In: Utilities Policy. RePEc:eee:juipol:v:74:y:2022:i:c:s0957178721001600.

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2022Conventional monetary policy, COVID-19, and stock markets in emerging economies. (2022). Maheepala, M. M. J. D., ; Iyke, Bernard Njindan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:76:y:2022:i:c:s0927538x22001780.

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2021Time-varying conditional beta, return spillovers, and dynamic bank diversification strategies. (2021). Wang, LU. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:272-280.

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2021Tradable or nontradable factors—what does the Hansen–Jagannathan distance tell us?. (2021). Maillet, Bertrand ; Wu, Kun ; Liu, Yangyi ; Zhang, Xiang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:853-879.

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2021International equity U.S. mutual funds and diversification benefits. (2021). Fletcher, Jonathan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:76:y:2021:i:c:p:246-257.

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2022Role of emerging markets vis-à-vis frontier markets in improving portfolio diversification benefits. (2022). Paul, Justin ; Yadav, Surendra Singh ; Kashiramka, Smita ; Thomas, Nisha Mary. In: International Review of Economics & Finance. RePEc:eee:reveco:v:78:y:2022:i:c:p:95-121.

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2022The Impact of Coskewness and Cokurtosis as Augmentation Factors in Modeling Colombian Electricity Price Returns. (2022). Sarmiento, Julio ; Cayon, Edgardo. In: Energies. RePEc:gam:jeners:v:15:y:2022:i:19:p:6930-:d:921619.

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2021Does Time Varying Risk Premia Exist in the International Bond Market? An Empirical Evidence from Australian and French Bond Market. (2021). A. B. M. Rabiul Alam Beg, ; A. B. M. Rabiul Alam Beg, ; Aftab, Hira. In: IJFS. RePEc:gam:jijfss:v:9:y:2021:i:1:p:3-:d:474400.

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2021.

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2023A Comparison of Competing Asset Pricing Models: Empirical Evidence from Pakistan. (2023). Ihsan, Anjum ; Zada, Hassan ; Ahmed, Shakeel ; Khan, Naveed ; Thalassinos, Eleftherios. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:4:p:65-:d:1106286.

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2021Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly. (2021). Rubesam, Alexandre ; Salmon, Mark ; Hwang, Soosung. In: Post-Print. RePEc:hal:journl:hal-03275894.

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2021Tradable or nontradable factors : what does the Hansen–Jagannathan distance tell us?. (2021). Maillet, Bertrand ; Wu, Kun ; Liu, Yangyi ; Zhang, Xiang. In: Post-Print. RePEc:hal:journl:hal-03287946.

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2021When do investors go green? Evidence from a time-varying asset-pricing model. (2021). Ossola, Elisa ; Alessi, Lucia ; Panzica, Roberto. In: Working Papers. RePEc:jrs:wpaper:202113.

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2022Computing Generalized Method of Moments and Generalized Empirical Likelihood with R. (2010). Chausse, Pierre. In: Journal of Statistical Software. RePEc:jss:jstsof:34:i11.

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2021Beta-Anomaly: Evidence from the Indian Equity Market. (2021). Badhani, K N ; Ali, Asgar. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:28:y:2021:i:1:d:10.1007_s10690-020-09316-2.

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2022Corporate bond yields and returns: a survey. (2022). Heck, Stephanie. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:36:y:2022:i:2:d:10.1007_s11408-021-00394-4.

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2022Exploring the diversification benefits of US international equity closed-end funds. (2022). Fletcher, Jonathan. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:36:y:2022:i:3:d:10.1007_s11408-021-00397-1.

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2021A new measure of model misspecification with the no-arbitrage constraint: extending the second Hansen–Jagannathan distance. (2021). Xu, Yuewu. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:56:y:2021:i:3:d:10.1007_s11156-020-00913-w.

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2021Az árfolyam-nyereség arány szerepe a német t?zsdei kereskedésben. (2021). Till, Gabor. In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences). RePEc:ksa:szemle:1985.

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2021The political reception of innovations. (2021). Moran, Kevin ; Koumou, Gilles Boevi ; Carmichael, Benoit. In: Cahiers de recherche. RePEc:lvl:crrecr:2107.

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2022Trading Volume and Time Varying Betas*. (2022). Hrdlicka, Christopher. In: Review of Finance. RePEc:oup:revfin:v:26:y:2022:i:1:p:79-116..

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2022A lifetime allocation with human capital: implications for target date fund. (2022). Fabozzi, Frank J ; Ha, Seokkeun. In: Journal of Asset Management. RePEc:pal:assmgt:v:23:y:2022:i:5:d:10.1057_s41260-022-00278-w.

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2021Some Markov-Switching Models for the Toronto Stock Exchange. (2021). Accolley, Delali. In: MPRA Paper. RePEc:pra:mprapa:108072.

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2022What Firm-Specific and Macroeconomic Determinants of Financial Structure Affect Transport and Storage Companies from Selected European Countries?. (2022). Kulaova, Nicole ; Rkova, Petra. In: European Financial and Accounting Journal. RePEc:prg:jnlefa:v:2022:y:2022:i:2:id:269:p:5-32.

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2022Are Modifications in the ETFs Investment Performance and Risks during the COVID-19 Pandemic Event?. (2022). Lee, Liza ; Liu, Ying-Sing. In: Review of Applied Socio-Economic Research. RePEc:rse:wpaper:v:23:y:2022:i:1:p:05-17.

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2021When it Rains, it Pours: Multifactor Asset Management in Good and Bad Times. (2021). Szafarz, Ariane ; Briere, Marie. In: Working Papers CEB. RePEc:sol:wpaper:2013/319463.

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2021Linearity extensions of the market model: a case of the top 10 cryptocurrency prices during the pre-COVID-19 and COVID-19 periods. (2021). Neslihanoglu, Serdar. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00247-z.

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2022Bank demand for central bank liquidity and its impact on interbank markets. (2022). Krause, Andreas ; Xiao, DI. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:17:y:2022:i:3:d:10.1007_s11403-021-00336-3.

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2022Using accounting earnings and aggregate economic indicators to estimate firm-level systematic risk. (2022). Ball, Ray ; Tseng, Ayung ; Sadka, Gil. In: Review of Accounting Studies. RePEc:spr:reaccs:v:27:y:2022:i:2:d:10.1007_s11142-021-09594-9.

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2022Unexpected distractions and investor attention to corporate announcements. (2022). Kasznik, Ron ; Israeli, Doron ; Sridharan, Suhas A. In: Review of Accounting Studies. RePEc:spr:reaccs:v:27:y:2022:i:2:d:10.1007_s11142-021-09618-4.

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2022Robust Observation-Driven Models Using Proximal-Parameter Updates. (2022). van Dijk, Dick ; van Os, Bram ; Lange, Rutger-Jan. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20220066.

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2021Machine Learning and Factor-Based Portfolio Optimization. (2021). Cotter, John ; Conlon, Thomas ; Kynigakis, Iason. In: Working Papers. RePEc:ucd:wpaper:202111.

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2021Predictable Fluctuations in the Cross-Section and Time-Series of Asset Prices. (2021). Ahn, Keunbae. In: PhD Thesis. RePEc:uts:finphd:1-2021.

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2021The Cost of Capital for Investment in the Warsaw Stock Exchange Indexes – Versus Djia. (2021). Stanisaw, Urbaski . In: Folia Oeconomica Stetinensia. RePEc:vrs:foeste:v:21:y:2021:i:1:p:122-143:n:4.

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2021Optimal and naive diversification in an emerging market: Evidence from Chinas A?shares market. (2021). Yan, JI. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:3740-3758.

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2021The role of time?varying risk premia in international interbank markets. (2021). Karouzakis, Nikolaos. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:4:p:5720-5745.

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2021Informed options trading around holidays. (2021). Yu, Jinyoung ; Ryu, Doojin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:5:p:658-685.

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2023The Capital Asset Pricing Model: A New Empirical Investigation. (2023). Zarifhonarvar, Ali. In: EconStor Preprints. RePEc:zbw:esprep:268396.

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Works by Zhenyu Wang:


YearTitleTypeCited
2002Generalized Method of Moments: Applications in Finance. In: Journal of Business & Economic Statistics.
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article19
1996 The Conditional CAPM and the Cross-Section of Expected Returns. In: Journal of Finance.
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article856
1996The conditional CAPM and the cross-section of expected returns.(1996) In: Staff Report.
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This paper has another version. Agregated cites: 856
paper
1994Portfolio characterization of risk aversion In: Economics Letters.
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article3
2003Diversification benefits of emerging markets subject to portfolio constraints In: Journal of Empirical Finance.
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article86
1998Efficiency loss and constraints on portfolio holdings In: Journal of Financial Economics.
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article40
2001The Federal Reserve banks imputed cost of equity capital In: Working Paper Series.
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paper3
2001The Federal Reserves imputed cost of equity capital: a survey In: Chicago Fed Letter.
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article1
1993The CAPM is alive and well In: Staff Report.
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paper27
1994THE CAPM IS ALIVE AND WELL.(1994) In: Finance.
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This paper has another version. Agregated cites: 27
paper
2003Formulating the imputed cost of equity capital for priced services at Federal Reserve banks In: Economic Policy Review.
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article9
2011Did the Fed’s Term Auction Facility Work? In: Liberty Street Economics.
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paper0
2005Arbitrage pricing theory In: Staff Reports.
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paper8
2006Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims In: Staff Reports.
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paper2
2006Y2K options and the liquidity premium in Treasury bond markets In: Staff Reports.
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paper5
2008The effect of the Term Auction Facility on the London inter-bank offered rate In: Staff Reports.
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paper82
2009Valuing the Treasurys Capital Assistance Program In: Staff Reports.
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paper1
2010Performance maximization of actively managed funds In: Staff Reports.
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paper2
2010Design of contingent capital with a stock price trigger for mandatory conversion In: Staff Reports.
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paper13
1999Assessing the impact of short-sale constraints on the gains from international diversification In: Staff Reports.
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paper0
2001Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods In: NBER Working Papers.
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paper14
2005A Shrinkage Approach to Model Uncertainty and Asset Allocation In: Review of Financial Studies.
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article54

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