Zhenyu Wang : Citation Profile

Federal Reserve Bank of New York (50% share)
Federal Reserve Bank of New York (50% share)

10

H index

11

i10 index

1392

Citations

RESEARCH PRODUCTION:

8

Articles

14

Papers

RESEARCH ACTIVITY:

   18 years (1993 - 2011). See details.
   Cites by year: 77
   Journals where Zhenyu Wang has often published
   Relations with other researchers
   Recent citing documents: 49.    Total self citations: 8 (0.57 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pwa312
   Updated: 2026-04-11    RAS profile: 2026-02-15    
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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:

Szafarz, Ariane (17)

Mignon, Valérie (14)

OOSTERLINCK, Kim (14)

Jagannathan, Ravi (13)

Lustig, Hanno (13)

faff, robert (12)

zhang, xiaoyan (11)

Van Nieuwerburgh, Stijn (11)

Ang, Andrew (10)

Robotti, Cesare (10)

Campbell, John (10)

Cites to:

Jagannathan, Ravi (22)

Harvey, Campbell (22)

Stambaugh, Robert (21)

Hansen, Lars (17)

Fama, Eugene (17)

French, Kenneth (16)

Shanken, Jay (13)

Pastor, Lubos (13)

Hodrick, Robert (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 (2025 and 2024)

YearTitle of citing document
2026Currency Network Risk. (2021). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2101.09738.

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2025An extended Merton problem with relaxed benchmark tracking. (2025). Huang, Yijie ; Yu, Xiang ; Bo, Lijun. In: Papers. RePEc:arx:papers:2304.10802.

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2024Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2024). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2024NeuralBeta: Estimating Beta Using Deep Learning. (2024). Liu, Yuxin ; Lin, Jimin ; Gopal, Achintya. In: Papers. RePEc:arx:papers:2408.01387.

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2025The Uncertainty of Machine Learning Predictions in Asset Pricing. (2025). Neuhierl, Andreas ; Ma, Xinjie ; Liao, Yuan ; Schilling, Linda. In: Papers. RePEc:arx:papers:2503.00549.

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2026Diffusion Factor Models: Generating High-Dimensional Returns with Factor Structure. (2025). Zhang, Ruixun ; Xu, Yumin ; Chen, Minshuo. In: Papers. RePEc:arx:papers:2504.06566.

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2025Funding advantage and market discipline in the Canadian banking sector. (2025). Beyhaghi, Mehdi ; D'Souza, Chris ; Roberts, Gordon S. In: Papers. RePEc:arx:papers:2507.12620.

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2025Deep Learning for Conditional Asset Pricing Models. (2025). Liu, Hongyi. In: Papers. RePEc:arx:papers:2509.04812.

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2025Multiscale Comparison of Nonparametric Trending Coefficients. (2025). van der Sluis, Bernhard ; Khismatullina, Marina. In: Papers. RePEc:arx:papers:2511.12600.

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2026Cross-Market Alpha: Testing Short-Term Trading Factors in the U.S. Market via Double-Selection LASSO. (2026). Ulrich, Maxim ; Indu, J ; Walter, Alexander. In: Papers. RePEc:arx:papers:2601.06499.

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2026Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data. (2026). Podolskij, Mark ; Kinnebrock, Silja ; Christensen, Kim. In: Papers. RePEc:arx:papers:2602.19645.

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2024Higher‐order moments and asset pricing in the Australian stock market. (2024). Ahadzie, Richard Mawulawoe ; Jeyasreedharan, Nagaratnam. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:1:p:75-128.

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2024Portfolio management with big data. (2024). Sentana, Enrique ; Pearanda, Francisco. In: Working Papers. RePEc:cmf:wpaper:wp2024_2411.

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2024European banks and Fed liquidity facilities during the Global Financial Crisis: Good news for the bad and bad news for the good. (2024). Wall, Larry ; Refait-Alexandre, Catherine. In: Working Papers. RePEc:crb:wpaper:2024-12.

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2025Predictability of Korean mutual fund performance. (2025). Vidal-Garca, Javier ; Trinidad-Segovia, Juan E ; Gonzlez, Laura Molero. In: Economics Bulletin. RePEc:ebl:ecbull:eb-24-00447.

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2024Regulatory Effects of the Combinations of Aggregate and Structural Monetary Policy Instruments: an application of New Keynesian DSGE model to China. (2024). Wang, Li-Hui ; Li, Fu-An. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:84:y:2024:i:c:p:1120-1143.

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2024Benefits of diversification in EU capital markets: Evidence from stock portfolios. (2024). Gossé, Jean-Baptiste ; Gosse, Jean-Baptiste ; Jehle, Camille. In: Economic Modelling. RePEc:eee:ecmode:v:135:y:2024:i:c:s0264999324000816.

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2025The impact of heterogeneous consumption and productivity expectations on factor risk premia. (2025). Umlandt, Dennis ; Symann, Paul ; Bauer, Christian. In: Economics Letters. RePEc:eee:ecolet:v:247:y:2025:i:c:s0165176524006037.

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2024Realized regression with asynchronous and noisy high frequency and high dimensional data. (2024). Mykland, Per A ; Zhang, Lan ; Chen, Dachuan. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s030440762300132x.

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2024Testing underidentification in linear models, with applications to dynamic panel and asset pricing models. (2024). Windmeijer, Frank. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:2:s030440762100097x.

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2025Misspecification-robust bootstrap t-test for irrelevant factor in linear stochastic discount factor models. (2025). Hounyo, Ulrich ; Djogbenou, Antoine A. In: Journal of Econometrics. RePEc:eee:econom:v:252:y:2025:i:pa:s0304407625001514.

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2024Long-term dynamic asset allocation under asymmetric risk preferences. (2024). Kallinterakis, Vasileios ; Kontosakos, Vasileios E ; Hwang, Soosung ; Pantelous, Athanasios A. In: European Journal of Operational Research. RePEc:eee:ejores:v:312:y:2024:i:2:p:765-782.

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2024Enhancing betting against beta with stochastic dominance. (2024). Xu, Xia ; Kolokolova, Olga. In: Journal of Empirical Finance. RePEc:eee:empfin:v:76:y:2024:i:c:s0927539823001329.

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2024Exploring the risk dynamics of US green energy stocks: A green time-varying beta approach. (2024). Chakrabarti, Gagari ; Sen, Chitrakalpa. In: Energy Economics. RePEc:eee:eneeco:v:139:y:2024:i:c:s0140988324006595.

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2024ESG rating disagreement and stock returns: Evidence from China. (2024). Wang, Shaolin ; Dong, Minghua. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005598.

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2024Bank credit, consumption risk, and the cross-section of expected returns. (2024). Ho, JI. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000358.

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2025How might model uncertainty and transaction costs impact retained earning & dividend strategies? An examination through a classical insurance risk model. (2025). Siu, Tak Kuen ; Feng, Yang ; Zhu, Jinxia. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:120:y:2025:i:c:p:131-158.

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2024Examining the impact of liquidity creation on bank stability in the Asia Pacific region: Do ESG disclosures play a moderating role?. (2024). Kashiramka, Smita ; Gupta, Juhi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443124000210.

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2024Conditional risk. (2024). Gormsen, Niels ; Jensen, Christian Skov. In: Journal of Financial Economics. RePEc:eee:jfinec:v:162:y:2024:i:c:s0304405x24001569.

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2024What difference do new factor models make in portfolio allocation?. (2024). Wang, Jiexun ; Jiang, Fuwei ; Fabozzi, Frank J ; Huang, Dashan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:140:y:2024:i:c:s0261560623001985.

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2024The role of shifts in the effective tax rate on the cost of equity. (2024). Rojo-Suarez, Javier ; Alonso-Conde, Ana B. In: Research in Economics. RePEc:eee:reecon:v:78:y:2024:i:1:p:61-72.

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2025Understanding Bank-Level Uncertainty: New insights into banking activity and its macroeconomic impacts. (2025). Zheng, Chen ; Woahid, S M ; Pathan, Shams ; Durand, Robert B. In: International Review of Economics & Finance. RePEc:eee:reveco:v:102:y:2025:i:c:s1059056025004216.

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2025A qualitative parameter for beta changes. (2025). Zapranis, Achilleas ; Alexandridis, Antonios K ; Messis, Petros. In: International Review of Economics & Finance. RePEc:eee:reveco:v:103:y:2025:i:c:s1059056025006306.

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2024On the conditional performance of the IVOL anomaly. (2024). Wu, KE ; Pan, Jiening ; Wang, Jianqiu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:337-350.

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2024Common investor coverage and excess return comovement: Evidence from Seeking Alpha. (2024). Long, Huaigang ; Zaremba, Adam ; Zhou, Hang ; Zhang, Hanyu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pc:s1059056024006853.

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2026Treasure hunt in emerging markets: Empirical evidence for European pension funds. (2026). Cui, Yaolong ; Vicente, Rut ; Muoz, Fernando. In: Research in International Business and Finance. RePEc:eee:riibaf:v:81:y:2026:i:c:s0275531925004374.

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2025Options on Interbank Rates and Implied Disaster Risk. (2023). Seo, Sang Byung ; Kim, Hyung Joo ; Doshi, Hitesh. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2023-54.

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2025Is the ESG Score Part of the Set of Information Available to Investors? A Conditional Version of the Green Capital Asset Pricing Model. (2025). Galicia-Sanguino, Luca ; Lago-Balsalobre, Rubn. In: IJFS. RePEc:gam:jijfss:v:13:y:2025:i:2:p:88-:d:1660670.

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2024An Advanced Time-Varying Capital Asset Pricing Model via Heterogeneous Autoregressive Framework: Evidence from the Chinese Stock Market. (2024). Long, Yonghong ; Yin, Hong ; Zhao, Bohan. In: Mathematics. RePEc:gam:jmathe:v:13:y:2024:i:1:p:41-:d:1554002.

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2025The Role of Human Capital in Explaining Asset Return Dynamics in the Indian Stock Market During the COVID Era. (2025). Thalassinos, Eleftherios ; Zada, Hassan ; Afeef, Mustafa ; Ahmed, Shakeel ; Khan, Naveed. In: Risks. RePEc:gam:jrisks:v:13:y:2025:i:7:p:136-:d:1700122.

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2026THE IMPACT OF CENTRAL BANK DIGITAL CURRENCIES NEWS ON BANK STABILITY: EVIDENCE FROM ASEAN-5 COUNTRIES. (2026). Setianto, Rahmat Heru ; Masrizal, Masrizal ; Sukmana, Raditya ; Hidayat, Firman. In: Bulletin of Monetary Economics and Banking. RePEc:idn:journl:v:29:y:2026:i:1b:p:21-52.

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2024Empirical Performance of an ESG Assets Portfolio from US Market. (2024). SADEFO KAMDEM, Jules ; Benhmad, Franois ; Pokou, Fredy. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:3:d:10.1007_s10614-023-10491-3.

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2025The Role of Housing Mortgage Leverage in Stock Asset Pricing: Evidence from the Chinese A-share Market. (2025). Li, Huashi ; Chen, Qi-An ; Lin, Jianyi ; Gao, Yunfeng. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:71:y:2025:i:2:d:10.1007_s11146-023-09940-5.

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2025Is portfolio diversification still effective: evidence spanning three crises from the perspective of U.S. investors. (2025). McMillan, David G ; Kambouroudis, Dimos ; Huang, Rong. In: Journal of Asset Management. RePEc:pal:assmgt:v:26:y:2025:i:2:d:10.1057_s41260-025-00398-z.

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2025Crypto market betas: the limits of predictability and hedging. (2025). Weber, Thomas ; Sila, Jan ; Krištoufek, Ladislav ; Kristoufek, Ladislav ; Mark, Michael. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-025-00777-w.

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2025Bayesian learning in dynamic portfolio selection under a minimax rule. (2025). Yu, Gen ; Cai, Xiaoqiang. In: OR Spectrum: Quantitative Approaches in Management. RePEc:spr:orspec:v:47:y:2025:i:1:d:10.1007_s00291-024-00786-8.

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2025Labor market peer firms: understanding firms’ labor market linkages through employees’ internet “also viewed” firms. (2025). Li, Nan. In: Review of Accounting Studies. RePEc:spr:reaccs:v:30:y:2025:i:1:d:10.1007_s11142-024-09821-z.

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2024Implicit score-driven filters for time-varying parameter models. (2024). van Dijk, Dick ; Lange, Rutger-Jan ; van Os, Bram. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20220066.

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2024Greening African economy: The role of Chinese investment and trade. (2024). Zakari, Abdulrasheed ; Tawiah, Vincent ; Liu, Binyi ; Chen, XI. In: Sustainable Development. RePEc:wly:sustdv:v:32:y:2024:i:1:p:1001-1012.

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Works by Zhenyu Wang:

YearTitleTypeCited
2002Generalized Method of Moments: Applications in Finance. In: Journal of Business & Economic Statistics.
[Citation analysis]		article26
1996 The Conditional CAPM and the Cross-Section of Expected Returns. In: Journal of Finance.
[Full Text][Citation analysis]		article908
1996The conditional CAPM and the cross-section of expected returns.(1996) In: Staff Report.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 908		paper
1994Portfolio characterization of risk aversion In: Economics Letters.
[Full Text][Citation analysis]		article3
2003Diversification benefits of emerging markets subject to portfolio constraints In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article97
1998Efficiency loss and constraints on portfolio holdings In: Journal of Financial Economics.
[Full Text][Citation analysis]		article44
2001The Federal Reserve Banks Imputed Cost of Equity Capital In: Working Paper Series.
[Full Text][Citation analysis]		paper5
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]		paper37
1994THE CAPM IS ALIVE AND WELL.(1994) In: Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 37		paper
2003Formulating the imputed cost of equity capital for priced services at Federal Reserve banks In: Economic Policy Review.
[Full Text][Citation analysis]		article11
2011Did the Fed’s Term Auction Facility Work? In: Liberty Street Economics.
[Full Text][Citation analysis]		paper0
2005Arbitrage pricing theory In: Staff Reports.
[Full Text][Citation analysis]		paper10
2006Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims In: Staff Reports.
[Full Text][Citation analysis]		paper2
2006Y2K options and the liquidity premium in Treasury bond markets In: Staff Reports.
[Full Text][Citation analysis]		paper5
2008The effect of the Term Auction Facility on the London inter-bank offered rate In: Staff Reports.
[Full Text][Citation analysis]		paper114
2009Valuing the Treasurys Capital Assistance Program In: Staff Reports.
[Full Text][Citation analysis]		paper1
2010Performance maximization of actively managed funds In: Staff Reports.
[Full Text][Citation analysis]		paper3
2010Design of contingent capital with a stock price trigger for mandatory conversion In: Staff Reports.
[Full Text][Citation analysis]		paper14
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]		paper49
2005A Shrinkage Approach to Model Uncertainty and Asset Allocation In: The Review of Financial Studies.
[Full Text][Citation analysis]		article62

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