Wang, Zhenyu

Professor of Finance
Indiana University

zywang@saif.sjtu.edu.cn

Educational Background

Experience

Honors / Achievements

Short BIO

Publication

• Zhenyu Wang and Xiaoyan Zhang (2011): “Empirical Evaluation of Asset Pricing Models: Arbitrage and Pricing Errors in Contingent Claims.” Journal of Empirical Finance, forth-coming.

  Paolo Guasoni, Gur Huberman, and Zhenyu Wang (2011): “Performance Maximization of Actively Managed Funds.” Journal of Financial Economics, 101 (3), 574–595.

  Paul Glasserman and Zhenyu Wang (2011): “Valuing the Treasury’s Capital Assistance Pro-gram.” Management Science, 57 (7), 1195–1211.

  Suresh Sundaresan and Zhenyu Wang (2009): “Y2K Options and the Liquidity Premium in Treasury Markets.” Review of Financial Studies, 22 (3), 1021–1056.

  Ravi Jagannathan, Georgios Skoulakis, and Zhenyu Wang (2009): “Analysis of Large Cross Sections of Security Returns.” Handbook of Financial Econometrics, volume 2, edited by Yacine At-Sahalia and Lars Hansen, Chapter 14, 73–134.

  Gur Huberman and Zhenyu Wang (2005): “Arbitrage Pricing Theory.” The New Palgrave Dictionary of Economics,2nd edition, edited by L. Blume and S. Durlauf (London: Palgrave Macmillan).

  Zhenyu Wang (2005): “A Shrinkage Approach to Model Uncertainty and Asset Allocation.” Review of Financial Studies, 18 (2), 673–705.

  Edward Green, Jose A. Lopez, and Zhenyu Wang (2003): “Formulating the Imputed Cost of Equity Capital for the Priced Services at Federal Reserve Banks.” Economic Policy Review, 9 (3), 55–81.

  Kai Li, Asani Sarkar, and Zhenyu Wang (2003): “Diversi?cation Bene?ts of Emerging Markets Subject to Portfolio Constraints.” Journal of Empirical Finance, 10 (1-2), 57–80.

  Ravi Jagannathan and Zhenyu Wang (2002): “Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods.” Journal of Finance, 57 (5), 2337–2367.

  Ravi Jagannathan, Georgios Skoulakis, and Zhenyu Wang (2002): “Generalized Method of Moments: Applications in Finance.” Journal of Business and Economic Statistics, 20 (4), 470–481.

  Zhenyu Wang (2001): “Discussion” (on ‘The Equity Premium and Structural Breaks’ by Pastor and Stambaugh). Journal of Finance, 56 (4), 1240–1245.

  Ravi Jagannathan and Zhenyu Wang (1998): “An Asymptotic Theory for Estimating Beta-Pricing Models Using Cross-Sectional Regression.” Journal of Finance, 53 (4), 1285-1309.

  Zhenyu Wang (1998): “Efficiency Loss and Constraints on Portfolio Holdings.” Journal of Financial Economics, 48 (3), 359-375.

  Ravi Jagannathan and Zhenyu Wang (1998): “A Note on the Asymptotic Covariance in Fama-MacBeth Regression.” Journal of Finance, 53 (2), 799-801.

  Ravi Jagannathan and Zhenyu Wang (1996): “The Conditional CAPM and the Cross-Section of Expected Returns.” Journal of Finance, 51 (1), 3-53.

  Zhenyu Wang and Jan Werner (1994): “Portfolio Characterization of Risk Aversion.” Economics Letters, 45 (2), 259-265.

Working Paper

• Suresh Sundaresan and Zhenyu Wang (2011): “On the Design of Contingent Capital with Market Trigger.” Federal Reserve Bank of New York Staff Reports no. 448.

  James McAndrews, Asani Sarkar and Zhenyu Wang (2008): “The Effect of the Term Auction Facility on the London Inter-Bank Offered Rate." Federal Reserve Bank of New York Staff Reports no. 335.