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

1101

Citations

RESEARCH PRODUCTION:

8

Articles

14

Papers

RESEARCH ACTIVITY:

   18 years (1993 - 2011). See details.
   Cites by year: 61
   Journals where Zhenyu Wang has often published
   Relations with other researchers
   Recent citing documents: 53.    Total self citations: 8 (0.72 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pwa312
   Updated: 2021-03-27    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)

faff, robert (12)

Lustig, Hanno (12)

Szafarz, Ariane (12)

Mignon, Valérie (10)

zhang, xiaoyan (10)

Ang, Andrew (10)

Campbell, John (10)

OOSTERLINCK, Kim (10)

Zhang, Lu (9)

Hodrick, Robert (9)

Cites to:

Harvey, Campbell (22)

Stambaugh, Robert (20)

Jagannathan, Ravi (19)

Hansen, Lars (16)

Fama, Eugene (14)

French, Kenneth (13)

Shanken, Jay (12)

Hodrick, Robert (11)

Bekaert, Geert (10)

Pastor, Lubos (10)

Kandel, Shmuel (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 (2021 and 2020)


YearTitle of citing document
2020Quantitative portfolio selection: using density forecasting to find consistent portfolios. (2019). Beasley, John ; Adcock, C J ; Meade, N. In: Papers. RePEc:arx:papers:1908.08442.

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2020A wavelet analysis of inter-dependence, contagion and long memory among global equity markets. (2020). Bhandari, Avishek. In: Papers. RePEc:arx:papers:2003.14110.

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2020Machine Learning Algorithms for Financial Asset Price Forecasting. (2020). Ndikum, Philip. In: Papers. RePEc:arx:papers:2004.01504.

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2020Asset Prices and Capital Share Risks: Theory and Evidence. (2020). Ibrahim, Boulis M ; Byrne, Joseph P ; Zong, Xiaoyu. In: Papers. RePEc:arx:papers:2006.14023.

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2020Deeply Equal-Weighted Subset Portfolios. (2020). Il, Sang. In: Papers. RePEc:arx:papers:2006.14402.

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

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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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2020Estimating the rank of a beta matrix: a GMM approach. (2020). Wang, Qin ; Ren, YU. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:4:p:4147-4173.

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2020Dissecting interbank risk using basis swap spreads. (2020). Serrano, Pedro ; Ruiz, Jesus ; Petit, Nuria ; Lafuente, Juan Angel. In: The World Economy. RePEc:bla:worlde:v:43:y:2020:i:3:p:729-757.

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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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2020Persistence in the Realized Betas: Some Evidence for the Spanish Stock Market. (2020). Gil-Alana, Luis ; Martin-Valmayor, Miguel ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8171.

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2020Conditional capital asset pricing model, long-run risk, and stock valuation. (2020). Gueyie, Jean-Pierre ; Assogbavi, Tov ; Bergeron, Claude. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-01100.

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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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2020Factor Investing for the Long Run. (2020). Tarelli, Andrea ; Lioui, Abraham. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:117:y:2020:i:c:s0165188920301287.

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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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2020A much robust and updated evidences of the alternative real-estate based asset pricing. (2020). Shi, QI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818303978.

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2020The Fama-French’s five-factor model relation with interest rates and macro variables. (2020). da Silveira, Claudio Henrique ; Figueiredo, Antonio Carlos ; Klotzle, Marcelo Cabus ; Leite, Andre Luis. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300942.

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2020Time-varying beta in functional factor models: Evidence from China. (2020). Horvath, Lajos ; Liu, Zhenya. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301753.

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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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2020Communication and financial supervision: How does disclosure affect market stability?. (2020). Venegoni, Andrea ; Vena, Luigi ; Pacicco, Fausto. In: Journal of Empirical Finance. RePEc:eee:empfin:v:57:y:2020:i:c:p:1-15.

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2020Beta and firm age. (2020). Moneta, Fabio ; Kim, Daehwan ; Chincarini, Ludwig B. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:50-74.

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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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2020Institutional investor sentiment, beta, and stock returns. (2020). Wang, Wenzhao. In: Finance Research Letters. RePEc:eee:finlet:v:37:y:2020:i:c:s1544612318303684.

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2020A cautionary tale of two extremes: The provision of government liquidity support in the banking sector. (2020). Wu, Eliza ; Scheule, Harald ; Bui, Christina. In: Journal of Financial Stability. RePEc:eee:finsta:v:51:y:2020:i:c:s1572308920300838.

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2020Term structure of discount rates for firms in the insurance industry. (2020). Zhao, Yanhui ; Lin, Xiao ; Giaccotto, Carmelo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:147-158.

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2020Tail behavior of Bitcoin, the dollar, gold and the stock market index. (2020). Ho, JI. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:67:y:2020:i:c:s104244312030086x.

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2020The R&D anomaly: Risk or mispricing?. (2020). Mazouz, Khelifa ; Evans, Kevin P ; Leung, Woon Sau. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:115:y:2020:i:c:s0378426620300820.

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2020Beta uncertainty. (2020). Prokopczuk, Marcel ; Simen, Chardin Wese ; Hollstein, Fabian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:116:y:2020:i:c:s0378426620301011.

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2020Value and patience: The value premium in a dividend-growth model with hyperbolic discounting. (2020). Schindler, Nilufer ; Hens, Thorsten. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:172:y:2020:i:c:p:161-179.

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2020Business cycles and currency returns. (2020). Sarno, Lucio ; Riddiough, Steven J ; Colacito, Riccardo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:3:p:659-678.

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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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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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2020Investing for the long run when expected equity premium is nonnegative. (2020). Zhu, Jie ; Zhang, Yugui. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:63:y:2020:i:c:s0927538x20302274.

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2020European equity markets: Who is the truly representative investor?. (2020). Alonso, Ana Belen ; Suarez, Javier Rojo ; Pozo, Ricardo Ferrero. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:75:y:2020:i:c:p:325-346.

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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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2020Estimation of conditional asset pricing models with integrated variables in the beta specification. (2020). Kourogenis, Nikolaos ; Caporale, Guglielmo Maria ; Pittis, Nikitas ; Antypas, Antonios. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531918303490.

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2020Economic engagement and within emerging markets integration. (2020). Aaawaar, Godfred ; Akotey, Joseph Oscar ; Boamah, Nicholas Addai. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919301047.

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2020Observable implications of the conditional CAPM. (2020). de Oliveira Souza, Thiago. In: Discussion Papers of Business and Economics. RePEc:hhs:sdueko:2020_013.

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2020Credit Risk, Liquidity, and Lies. (2020). King, Thomas ; Lewis, Kurt F. In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2020:q:4:a:6.

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2020The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas. (2020). Prokopczuk, Marcel ; Simen, Chardin Wese ; Hollstein, Fabian. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:6:p:2474-2494.

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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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2020An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection. (2020). Mazur, Stepan ; Gulliksson, Mrten. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:4:d:10.1007_s10614-019-09943-6.

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2020Charting a “Green Path” for Recovery from COVID-19. (2020). Sterner, Thomas ; Mukanjari, Samson. In: Environmental & Resource Economics. RePEc:kap:enreec:v:76:y:2020:i:4:d:10.1007_s10640-020-00479-0.

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2020The Effect of Managers on Systematic Risk. (2020). Schoar, Antoinette ; Zuo, Luo ; Yeung, Kelvin. In: NBER Working Papers. RePEc:nbr:nberwo:27487.

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2020.

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2020Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance*. (2020). Ronchetti, Diego ; Gagliardini, Patrick. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:18:y:2020:i:2:p:333-394..

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2020Asset Prices and Capital Share Risks: Theory and Evidence. (2020). Byrne, Joseph ; Zong, Xiaoyu ; Ibrahim, Boulis Maher. In: MPRA Paper. RePEc:pra:mprapa:101781.

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2020Overcoming Borrowing Stigma: The Design of Lending-of-Last-Resort Policies. (2020). Zhang, Hanzhe ; Hu, Yunzhi. In: Working Papers. RePEc:ris:msuecw:2020_005.

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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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2020Role of human assets in measuring firm performance and its implication for firm valuation. (2020). Vukovi, Darko ; Maiti, Moinak. In: Journal of Economic Structures. RePEc:spr:jecstr:v:9:y:2020:i:1:d:10.1186_s40008-020-00223-3.

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2020The term structure of implied costs of equity capital. (2020). Callen, Jeffrey L ; Lyle, Matthew R. In: Review of Accounting Studies. RePEc:spr:reaccs:v:25:y:2020:i:1:d:10.1007_s11142-019-09513-z.

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2020Likelihood-based Dynamic Asset Pricing: Learning Time-varying Risk Premia from Cross-Sectional Models. (2020). Umlandt, Dennis. In: Working Paper Series. RePEc:trr:qfrawp:202006.

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Works by Zhenyu Wang:


YearTitleTypeCited
2002Generalized Method of Moments: Applications in Finance. In: Journal of Business & Economic Statistics.
[Citation analysis]
article15
1996 The Conditional CAPM and the Cross-Section of Expected Returns. In: Journal of Finance.
[Full Text][Citation analysis]
article763
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: 763
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.
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article79
1998Efficiency loss and constraints on portfolio holdings In: Journal of Financial Economics.
[Full Text][Citation analysis]
article35
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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paper25
1994THE CAPM IS ALIVE AND WELL.(1994) In: Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25
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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paper79
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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paper12
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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paper13
2005A Shrinkage Approach to Model Uncertainty and Asset Allocation In: Review of Financial Studies.
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article47

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