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

1016

Citations

RESEARCH PRODUCTION:

8

Articles

10

Papers

RESEARCH ACTIVITY:

   22 years (1993 - 2015). See details.
   Cites by year: 46
   Journals where Zhenyu Wang has often published
   Relations with other researchers
   Recent citing documents: 139.    Total self citations: 7 (0.68 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pwa312
   Updated: 2020-01-25    RAS profile: 2008-05-15    
   Missing citations? Add them    Incorrect content? Let us know

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)

Lustig, Hanno (12)

faff, robert (11)

Szafarz, Ariane (11)

Ang, Andrew (10)

Campbell, John (10)

OOSTERLINCK, Kim (10)

Mignon, Valérie (10)

zhang, xiaoyan (9)

Zhang, Lu (9)

Hodrick, Robert (9)

Cites to:

Stambaugh, Robert (20)

Harvey, Campbell (19)

Jagannathan, Ravi (17)

Hansen, Lars (14)

Fama, Eugene (11)

Hodrick, Robert (11)

Shanken, Jay (11)

French, Kenneth (10)

Kandel, Shmuel (10)

Bekaert, Geert (10)

Pastor, Lubos (9)

Main data


Where Zhenyu Wang has published?


Working Papers Series with more than one paper published# docs
Staff Reports / Federal Reserve Bank of New York6
Staff Report / Federal Reserve Bank of Minneapolis2

Recent works citing Zhenyu Wang (2018 and 2017)


YearTitle of citing document
2017Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing. (2017). Christiansen, Charlotte ; Asgharian, Hossein ; Wang, Weining ; Jun, AI. In: CREATES Research Papers. RePEc:aah:create:2017-34.

Full description at Econpapers || Download paper

2018Portfolio optimization at the frontier: Assessing the diversification benefits of African securities. (2018). Senga, Christian. In: Working Papers. RePEc:ant:wpaper:2019001.

Full description at Econpapers || Download paper

2017Russian-Doll Risk Models. (2017). Kakushadze, Zura. In: Papers. RePEc:arx:papers:1412.4342.

Full description at Econpapers || Download paper

2017Statistical Risk Models. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1602.08070.

Full description at Econpapers || Download paper

2017A diagnostic criterion for approximate factor structure. (2017). Scaillet, Olivier ; Gagliardini, Patrick ; Ossola, Elisa . In: Papers. RePEc:arx:papers:1612.04990.

Full description at Econpapers || Download paper

2017Non-parametric and semi-parametric asset pricing. (2017). Ormos, Mihály ; Zibriczky, David ; Erdos, Peter . In: Papers. RePEc:arx:papers:1703.09500.

Full description at Econpapers || Download paper

2018Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty. (2018). Hautsch, Nikolaus ; Voigt, Stefan. In: Papers. RePEc:arx:papers:1709.06296.

Full description at Econpapers || Download paper

2018Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models. (2018). Yang, Xiye ; Liao, Yuan. In: Papers. RePEc:arx:papers:1711.04392.

Full description at Econpapers || Download paper

2018The Determinants of Home Bias in Stock Portfolio: An Emerging and Developed Markets Study. (2018). Henchiri, Jamel ; Kefi, Mohamed ; Chniguir, Mounira. In: Papers. RePEc:arx:papers:1804.05103.

Full description at Econpapers || Download paper

2019Factor models with many assets: strong factors, weak factors, and the two-pass procedure. (2019). Anatolyev, Stanislav ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:1807.04094.

Full description at Econpapers || Download paper

2019Improved Inference on the Rank of a Matrix. (2019). Fang, Zheng ; Chen, Qihui. In: Papers. RePEc:arx:papers:1812.02337.

Full description at Econpapers || Download paper

2019Conditional Density Estimation with Neural Networks: Best Practices and Benchmarks. (2019). Ulrich, Maxim ; Walther, Simon ; Ferreira, Fabio ; Rothfuss, Jonas. In: Papers. RePEc:arx:papers:1903.00954.

Full description at Econpapers || Download paper

2019Quantitative portfolio selection: using density forecasting to find consistent portfolios. (2019). Beasley, John ; Adcock, C J ; Meade, N. In: Papers. RePEc:arx:papers:1908.08442.

Full description at Econpapers || Download paper

2018Breakdown of covered interest parity: mystery or myth?. (2018). Wong, Alfred ; Zhang, Jiayue. In: BIS Papers chapters. RePEc:bis:bisbpc:96-08.

Full description at Econpapers || Download paper

2018Financial risk exposure of returns to education: Panel evidence from Korea*. (2018). Lee, Jaeram ; Ihm, Jungjoon . In: Asian Economic Journal. RePEc:bla:asiaec:v:32:y:2018:i:1:p:83-97.

Full description at Econpapers || Download paper

2019Stock market integration, cost of equity capital, and corporate investment: Evidence from Brazil. (2019). Loncan, Tiago ; Hillier, David. In: European Financial Management. RePEc:bla:eufman:v:25:y:2019:i:1:p:181-206.

Full description at Econpapers || Download paper

2018Productivity Risk and Industry Momentum. (2018). Misirli, Efdal Ulas. In: Financial Management. RePEc:bla:finmgt:v:47:y:2018:i:3:p:739-774.

Full description at Econpapers || Download paper

2017Asset Pricing Model Uncertainty: A Tradeoff between Bias and Variance. (2017). Tian, Weidong ; Zhou, Qing. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:2:p:289-324.

Full description at Econpapers || Download paper

2017MONETARY POLICY SURPRISES, INVESTMENT OPPORTUNITIES, AND ASSET PRICES. (2017). Detzel, Andrew. In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:3:p:315-348.

Full description at Econpapers || Download paper

2019THE REACTIVE BETA MODEL. (2019). Grebenkov, Denis ; Aboura, Sofiane ; Valeyre, Sebastien. In: Journal of Financial Research. RePEc:bla:jfnres:v:42:y:2019:i:1:p:71-113.

Full description at Econpapers || Download paper

2017Detecting at-Most-m Changes in Linear Regression Models. (2017). Wang, Shixuan ; Pouliot, William ; Horvath, Lajos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:4:p:552-590.

Full description at Econpapers || Download paper

2018Time-varying correlations and Sharpe ratios during quantitative easing. (2018). Haley, Osteen ; Paul, Jones . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:1:p:11:n:5.

Full description at Econpapers || Download paper

2019Estimation of Conditional Asset Pricing Models with Integrated Variables in the Beta Specification. (2019). Caporale, Guglielmo Maria ; Antypas, Antonios ; Pittis, Nikitas ; Kourogenis, Nikolaos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7969.

Full description at Econpapers || Download paper

2017Empirical Evaluation of Overspecified Asset Pricing Models. (2017). Sentana, Enrique ; Pearanda, Francisco ; Manresa, Elena. In: Working Papers. RePEc:cmf:wpaper:wp2017_1711.

Full description at Econpapers || Download paper

2017Empirical Evaluation of Overspecified Asset Pricing Models. (2017). Sentana, Enrique ; Pearanda, Francisco ; Manresa, Elena. In: Working Papers. RePEc:cmf:wpaper:wp2018_1711.

Full description at Econpapers || Download paper

2017Evaluating the Accuracy of Time-varying Beta. The Evidence from Poland. (2017). Będowska-Sójka, Barbara ; Bedowska-Sojka, Barbara . In: Dynamic Econometric Models. RePEc:cpn:umkdem:v:17:y:2017:p:161-176.

Full description at Econpapers || Download paper

2017Empirical Evaluation of Overspecified Asset Pricing Models. (2017). Sentana, Enrique ; Pearanda, Francisco ; Manresa, Elena. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12085.

Full description at Econpapers || Download paper

2018The Lost Capital Asset Pricing Model. (2018). Andrei, Daniel ; Wilson, Mungo ; Cujean, Julien. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12607.

Full description at Econpapers || Download paper

2018Conditional dynamics and the multi-horizon risk-return trade-off. (2018). Chernov, Mikhail ; Lundeby, Stig ; Lochstoer, Lars . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13365.

Full description at Econpapers || Download paper

2019A Supply and Demand Approach to Equity Pricing. (2019). Jo, Evan ; Calvet, Laurent ; Betermier, Sebastien. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13974.

Full description at Econpapers || Download paper

2019Business Cycles and Currency Returns. (2019). Sarno, Lucio ; Riddiough, Steven ; Colacito, Ric. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14015.

Full description at Econpapers || Download paper

2017Dissecting interbank risk. (2017). Lafuente, Juan Angel ; Petit, Nuria ; Aguilar, Pedro Serrano . In: DEE - Working Papers. Business Economics. WB. RePEc:cte:wbrepe:24553.

Full description at Econpapers || Download paper

2018Global Positioning Risk and FX Trading Strategies. (2018). Menkhoff, Lukas ; Huang, Huichou. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2018_020.

Full description at Econpapers || Download paper

2017The impact of crude oil prices on stock prices of oil firms: Should upstream-downstream dichotomy in supply chain be ignored?. (2017). Salisu, Afees ; Swaray, Raymond. In: Working Papers. RePEc:cui:wpaper:0021.

Full description at Econpapers || Download paper

2019Identifying horizon-based heterogeneity in the cross section of portfolio returns. (2019). Lundberg, Clark. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00123.

Full description at Econpapers || Download paper

2017The Determinants of Home Bias in Stock Portfolio: An Emerging and Developed Markets Study. (2017). Henchiri, Jamel ; Kefi, Mohamed Karim ; Chniguir, Mounira. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-06-23.

Full description at Econpapers || Download paper

2018Quantile relationships between standard, diffusion and jump betas across Japanese banks. (2018). Chowdhury, Biplob ; Dungey, Mardi ; JEYASREEDHARAN, NAGARATNAM . In: Journal of Asian Economics. RePEc:eee:asieco:v:59:y:2018:i:c:p:29-47.

Full description at Econpapers || Download paper

2018The beta heuristic from a time/frequency perspective: A wavelet analysis of the market risk of sectors. (2018). McNevin, Bruce D ; Nix, Joan. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:570-585.

Full description at Econpapers || Download paper

2017Ultimate consumption risk and investment-based stock returns. (2017). Kang, Hankil ; Lee, Changjun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:473-486.

Full description at Econpapers || Download paper

2018Betas V characteristics: Do stock characteristics enhance the investment opportunity set in U.K. stock returns?. (2018). Fletcher, Jonathan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:114-129.

Full description at Econpapers || Download paper

2019Large-scale portfolio allocation under transaction costs and model uncertainty. (2019). Hautsch, Nikolaus ; Voigt, Stefan. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:221-240.

Full description at Econpapers || Download paper

2019Alternative over-identifying restriction test in the GMM estimation of panel data models. (2019). Hayakawa, Kazuhiko. In: Econometrics and Statistics. RePEc:eee:ecosta:v:10:y:2019:i:c:p:71-95.

Full description at Econpapers || Download paper

2017Bayesian estimation of the global minimum variance portfolio. (2017). Bodnar, Taras ; Okhrin, Yarema ; Mazur, Stepan. In: European Journal of Operational Research. RePEc:eee:ejores:v:256:y:2017:i:1:p:292-307.

Full description at Econpapers || Download paper

2017Asset allocation with correlation: A composite trade-off. (2017). Conlon, Thomas ; cotter, john ; Salvador, Enrique ; Carroll, Rachael . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:3:p:1164-1180.

Full description at Econpapers || Download paper

2018Naive versus optimal diversification: Tail risk and performance. (2018). Hwang, In Chang ; Xu, Simon ; In, Francis. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:1:p:372-388.

Full description at Econpapers || Download paper

2018Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing. (2018). Guidolin, Massimo ; Pedio, Manuela ; Giampietro, Marta. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:2:p:685-702.

Full description at Econpapers || Download paper

2019Does downside risk matter more in asset pricing? Evidence from China. (2019). Ali, Heba. In: Emerging Markets Review. RePEc:eee:ememar:v:39:y:2019:i:c:p:154-174.

Full description at Econpapers || Download paper

2017The cross-section of consumer lending risk. (2017). Desai, Chintal Ajitbhai . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:256-282.

Full description at Econpapers || Download paper

2018Macroeconomic determinants of stock market betas. (2018). Gonzalez, Mariano ; Rubio, Gonzalo ; Nave, Juan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:26-44.

Full description at Econpapers || Download paper

2018The decomposition of jump risks in individual stock returns. (2018). Xiao, Xiao ; Zhou, Chen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:207-228.

Full description at Econpapers || Download paper

2018A labor news hedge portfolio and the cross-section of expected stock returns. (2018). Stotz, Olaf. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:123-139.

Full description at Econpapers || Download paper

2018Macroeconomic uncertainty and the distant forward-rate slope. (2018). Connolly, Robert ; Stivers, Chris ; Dubofsky, David. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:140-161.

Full description at Econpapers || Download paper

2018CAPM, components of beta and the cross section of expected returns. (2018). Cenesizoglu, Tolga ; Reeves, Jonathan J. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:223-246.

Full description at Econpapers || Download paper

2018The re-pricing of sovereign risks following the Global Financial Crisis. (2018). Migiakis, Petros ; Malliaropulos, Dimitris. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:39-56.

Full description at Econpapers || Download paper

2019Cross-sectional return dispersion and currency momentum. (2019). Eriksen, Jonas. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:91-108.

Full description at Econpapers || Download paper

2018An empirical examination of the diversification benefits of U.K. international equity closed-end funds. (2018). Fletcher, Jonathan. In: International Review of Financial Analysis. RePEc:eee:finana:v:55:y:2018:i:c:p:23-34.

Full description at Econpapers || Download paper

2018A conditional regime switching CAPM. (2018). Vendrame, Vasco ; Tucker, Jon ; Guermat, Cherif. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:1-11.

Full description at Econpapers || Download paper

2018Investor sentiment: Does it augment the performance of asset pricing models?. (2018). Bredin, Don ; Bathia, Deven. In: International Review of Financial Analysis. RePEc:eee:finana:v:59:y:2018:i:c:p:290-303.

Full description at Econpapers || Download paper

2019Currency carry trades and the conditional factor model. (2019). Sakemoto, Ryuta. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:198-208.

Full description at Econpapers || Download paper

2017Human capital measures and stock return predictability: Macroeconomic versus microeconomic approaches. (2017). Lee, Jaeram ; Ryu, Doojin ; Ihm, Jungjoon . In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:53-56.

Full description at Econpapers || Download paper

2019Extending the Hansen–Jagannathan distance measure of model misspecification. (2019). Yao, Xiangkun ; Xu, Yuewu . In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:384-392.

Full description at Econpapers || Download paper

2019Conditional pricing of earnings quality. (2019). ZHANG, MINGSHAN. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:306-313.

Full description at Econpapers || Download paper

2019Tail risk and the consumption CAPM. (2019). Ho, JI. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:69-75.

Full description at Econpapers || Download paper

2018Higher-moment liquidity risks and the cross-section of stock returns. (2018). Kim, Soonho ; Na, Haejung. In: Journal of Financial Markets. RePEc:eee:finmar:v:38:y:2018:i:c:p:39-59.

Full description at Econpapers || Download paper

2018Financial stress and equilibrium dynamics in term interbank funding markets. (2018). Yoldas, Emre ; Senyuz, Zeynep. In: Journal of Financial Stability. RePEc:eee:finsta:v:34:y:2018:i:c:p:136-149.

Full description at Econpapers || Download paper

2017The world price of sentiment risk. (2017). Keiber, Karl Ludwig ; Samyschew, Helene . In: Global Finance Journal. RePEc:eee:glofin:v:32:y:2017:i:c:p:62-82.

Full description at Econpapers || Download paper

2017Mean-variance versus naïve diversification: The role of mispricing. (2017). Yan, Cheng ; Zhang, Huazhu . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:61-81.

Full description at Econpapers || Download paper

2019A concave security market line. (2019). YalIn, Atakan ; Post, Thierry ; de Giorgi, Enrico G. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:106:y:2019:i:c:p:65-81.

Full description at Econpapers || Download paper

2017The market price of risk of the variance term structure. (2017). Dotsis, George. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:41-52.

Full description at Econpapers || Download paper

2018Economic activity and momentum profits: Further evidence. (2018). Maio, Paulo ; Philip, Dennis. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:466-482.

Full description at Econpapers || Download paper

2018A preferred habitat for liquidity in term repos: Before, during and after the financial crisis. (2018). Baig, Ahmed ; Winters, Drew B. In: Journal of Economics and Business. RePEc:eee:jebusi:v:99:y:2018:i:c:p:1-14.

Full description at Econpapers || Download paper

2018The climate beta. (2018). Gollier, Christian ; Kessler, Louise ; Dietz, Simon. In: Journal of Environmental Economics and Management. RePEc:eee:jeeman:v:87:y:2018:i:c:p:258-274.

Full description at Econpapers || Download paper

2019Valuation of natural capital under uncertain substitutability. (2019). Gollier, Christian. In: Journal of Environmental Economics and Management. RePEc:eee:jeeman:v:94:y:2019:i:c:p:54-66.

Full description at Econpapers || Download paper

2017Portfolio concentration and performance of institutional investors worldwide. (2017). Sokolyk, Tatyana ; Choi, Nicole ; Fedenia, Mark ; Skiba, Hilla . In: Journal of Financial Economics. RePEc:eee:jfinec:v:123:y:2017:i:1:p:189-208.

Full description at Econpapers || Download paper

2017Dealer financial conditions and lender-of-last-resort facilities. (2017). Fleming, Michael ; Sarkar, Asani ; Hrung, Warren B ; Acharya, Viral V. In: Journal of Financial Economics. RePEc:eee:jfinec:v:123:y:2017:i:1:p:81-107.

Full description at Econpapers || Download paper

2018An intertemporal CAPM with stochastic volatility. (2018). Campbell, John ; Turley, Robert ; Polk, Christopher ; Giglio, Stefano. In: Journal of Financial Economics. RePEc:eee:jfinec:v:128:y:2018:i:2:p:207-233.

Full description at Econpapers || Download paper

2019Too good to be true? Fallacies in evaluating risk factor models. (2019). Gospodinov, Nikolay ; Robotti, Cesare ; Kan, Raymond. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:2:p:451-471.

Full description at Econpapers || Download paper

2019In search of preference shock risks: Evidence from longevity risks and momentum profits. (2019). Yang, Bowen ; Chen, Zhanhui . In: Journal of Financial Economics. RePEc:eee:jfinec:v:133:y:2019:i:1:p:225-249.

Full description at Econpapers || Download paper

2019Empirical tests of asset pricing models with individual assets: Resolving the errors-in-variables bias in risk premium estimation. (2019). Roll, Richard ; Pukthuanthong, Kuntara ; Noh, Joonki ; Jegadeesh, Narasimhan ; Wang, Junbo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:133:y:2019:i:2:p:273-298.

Full description at Econpapers || Download paper

2017Investor sentiment and economic forces. (2017). Shen, Junyan ; Zhao, Shen ; Yu, Jianfeng. In: Journal of Monetary Economics. RePEc:eee:moneco:v:86:y:2017:i:c:p:1-21.

Full description at Econpapers || Download paper

2018Interest rate risk and bank equity valuations. (2018). Van den Heuvel, Skander ; Zakrajek, Egon ; English, William B. In: Journal of Monetary Economics. RePEc:eee:moneco:v:98:y:2018:i:c:p:80-97.

Full description at Econpapers || Download paper

2018An empirical evaluation of estimation error reduction strategies applied to international diversification. (2018). McDowell, Shaun. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:44:y:2018:i:c:p:1-13.

Full description at Econpapers || Download paper

2018Dynamically Adjustable Moving Average (AMA’) technical analysis indicator to forecast Asian Tigers’ futures markets. (2018). Phooi, Jacinta Chan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:336-345.

Full description at Econpapers || Download paper

2019Investigating ICAPM with mean-reverting dynamic conditional correlation: Evidence from an emerging stock exchange. (2019). Zakaria, Muhammad ; Iqbal, Khurram ; Rafique, Amir ; Mujtaba, Ghulam. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:514-523.

Full description at Econpapers || Download paper

2017Looking beyond banks’ average interest rate risk: Determinants of high exposures. (2017). Entrop, O ; Wilkens, M ; von La, L. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:63:y:2017:i:c:p:204-218.

Full description at Econpapers || Download paper

2017Diversification of risk exposure through country mutual funds under alternative investment opportunities. (2017). Naka, Atsuyuki ; Noman, Abdullah . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:64:y:2017:i:c:p:215-227.

Full description at Econpapers || Download paper

2018Estimating the beta-return relationship by considering the sign and the magnitude of daily returns. (2018). ben Sita, Bernard. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:67:y:2018:i:c:p:28-35.

Full description at Econpapers || Download paper

2018The benefits of international diversification with weight constraints: A cross-country examination. (2018). McDowell, Shaun. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:99-109.

Full description at Econpapers || Download paper

2017Macroeconomic factors and index option returns. (2017). Lai, Ya-Wen. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:452-477.

Full description at Econpapers || Download paper

2017Conditional asset pricing in international equity markets. (2017). Huynh, Thanh D. In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:168-189.

Full description at Econpapers || Download paper

2017Companies intangibles: Unique versus generic. (2017). Parshakov, Petr ; Zavertiaeva, Marina. In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:266-275.

Full description at Econpapers || Download paper

2017Foreign bias in Australias international equity holdings. (2017). Mishra, Anil. In: Review of Financial Economics. RePEc:eee:revfin:v:33:y:2017:i:c:p:41-54.

Full description at Econpapers || Download paper

2017The dynamics of the relative global sector effects and contagion in emerging markets equity returns. (2017). Boamah, Nicholas Addai. In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:433-453.

Full description at Econpapers || Download paper

2017Macroeconomic risks and REITs returns: A comparative analysis. (2017). Kodongo, Odongo ; Kola, Katlego . In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:1228-1243.

Full description at Econpapers || Download paper

2018The relationship between volume imbalance and spread. (2018). Hong, Minh Thi . In: Research in International Business and Finance. RePEc:eee:riibaf:v:44:y:2018:i:c:p:76-87.

Full description at Econpapers || Download paper

2018An Intertemporal CAPM with stochastic volatility. (2018). Campbell, John ; Turley, Robert ; Polk, Christopher ; Giglio, Stefano. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:69634.

Full description at Econpapers || Download paper

2017Too Good to Be True? Fallacies in Evaluating Risk Factor Models. (2017). Robotti, Cesare ; Gospodinov, Nikolay ; Kan, Raymond. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:2017-09.

Full description at Econpapers || Download paper

2017Goodness-of-Fit versus Significance: A CAPM Selection with Dynamic Betas Applied to the Brazilian Stock Market. (2017). Maldonado, Wilfredo ; Leiva, Wilfredo Fernando ; Candido, Osvaldo ; de Pinho, Andre Ricardo. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:5:y:2017:i:4:p:33-:d:121563.

Full description at Econpapers || Download paper

2017The Determinants of Home Bias in Stock Portfolio: An Emerging and Developed Markets Study. (2017). Henchiri, Jamel ; Kefi, Mohamed ; Chniguir, Mounira. In: Post-Print. RePEc:hal:journl:hal-01739418.

Full description at Econpapers || Download paper

2019An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection. (2019). Mazur, Stepan ; Gulliksson, Mrten. In: Working Papers. RePEc:hhs:oruesi:2019_003.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Works by Zhenyu Wang:


YearTitleTypeCited
2002Generalized Method of Moments: Applications in Finance. In: Journal of Business & Economic Statistics.
[Citation analysis]
article13
1996 The Conditional CAPM and the Cross-Section of Expected Returns. In: Journal of Finance.
[Full Text][Citation analysis]
article708
1996The conditional CAPM and the cross-section of expected returns.(1996) In: Staff Report.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 708
paper
1994Portfolio characterization of risk aversion In: Economics Letters.
[Full Text][Citation analysis]
article2
2003Diversification benefits of emerging markets subject to portfolio constraints In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article74
1998Efficiency loss and constraints on portfolio holdings In: Journal of Financial Economics.
[Full Text][Citation analysis]
article33
2001The Federal Reserves imputed cost of equity capital: a survey In: Chicago Fed Letter.
[Full Text][Citation analysis]
article1
1993The CAPM is alive and well In: Staff Report.
[Full Text][Citation analysis]
paper24
1994THE CAPM IS ALIVE AND WELL.(1994) In: Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24
paper
2003Formulating the imputed cost of equity capital for priced services at Federal Reserve banks In: Economic Policy Review.
[Full Text][Citation analysis]
article7
2005Arbitrage pricing theory In: Staff Reports.
[Full Text][Citation analysis]
paper8
2006Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims In: Staff Reports.
[Full Text][Citation analysis]
paper1
2006Y2K options and the liquidity premium in Treasury bond markets In: Staff Reports.
[Full Text][Citation analysis]
paper5
2015The effect of the Term Auction Facility on the London inter-bank offered rate In: Staff Reports.
[Full Text][Citation analysis]
paper74
2011Design of contingent capital with a stock price trigger for mandatory conversion In: Staff Reports.
[Full Text][Citation analysis]
paper12
1999Assessing the impact of short-sale constraints on the gains from international diversification In: Staff Reports.
[Full Text][Citation analysis]
paper0
2001Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods In: NBER Working Papers.
[Full Text][Citation analysis]
paper13
2005A Shrinkage Approach to Model Uncertainty and Asset Allocation In: Review of Financial Studies.
[Full Text][Citation analysis]
article41

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated January, 6 2020. Contact: CitEc Team