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Wang, Zhenyu

Professor of Finance
Indiana University


Educational Background

Ph.D in Economics from University of Minnesota at Twin Cities


Zhenyu Wang is Professor of Finance at the Kelley School of Business in Indiana University (Bloomington). He was formerly a Vice President at the Federal Reserve Bank of New York for seven years, where he was the Head of Financial Intermediation Function. Before joining the Fed, he had been faculty at the University of Texas at Austin and Columbia University.

Honors / Achievements

American Association of Individual Investors Award for Best Paper on Investments at the Western Finance Association Meeting in 1994

Short BIO

Professor Wang specializes in financial markets and institutions, as well as financial econometrics. He has published research papers in top finance journals including the Journal of Finance, the Review of Financial Studies, the Journal of Financial Economics, and Management Science. Professor Wang’s work has influenced academic research, business education, and financial regulations. He designed quantitative models for fees of the Fed's priced services, for the haircuts of the Fed's discount window collaterals, and for the pricing of the Treasury's Capital Assistance Program. His recent work on contingent capital has a significant impact on bank capital regulations.
He currently serves on the editorial boards of five academic journals including Management Science, the Journal of Empirical Finance, and the Quarterly Journal of Finance.


  • 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.