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Yangru Wu - Publications

Affiliations: 
Finance and Economics Rutgers The State University of New Jersey - Newark, United States 
Area:
Management Business Administration, General Economics
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48 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

Year Citation  Score
2020 Borochin P, Chang H, Wu Y. The Information Content of the Term Structure of Risk-Neutral Skewness Journal of Empirical Finance. 58: 247-274. DOI: 10.2139/Ssrn.2971057  0.338
2020 Gu M, Wu Y. Accruals and Momentum Journal of Financial Research. 43: 63-93. DOI: 10.2139/Ssrn.1785554  0.371
2016 Patro DK, Piccotti LR, Wu Y. Exploiting Closed-End Fund Discounts: A Systematic Examination of Alphas Journal of Financial Research. 40: 223-248. DOI: 10.2139/Ssrn.2468061  0.358
2016 Lee KH, Sapriza H, Wu Y. Sovereign debt ratings and stock liquidity around the World Journal of Banking and Finance. 73: 99-112. DOI: 10.1016/J.Jbankfin.2016.09.011  0.341
2015 Tsai H, Wu Y. Performance of Foreign and Global Mutual Funds: The Role of Security Selection, Region-Shifting, and Style-Shifting Abilities Financial Review. 50: 517-545. DOI: 10.1111/Fire.12076  0.496
2015 Tsai H, Wu Y. Bond and stock market response to unexpected dividend changes Journal of Empirical Finance. 30: 1-15. DOI: 10.1016/J.Jempfin.2014.11.001  0.553
2014 Palia D, Qi Y, Wu Y. Heterogeneous Background Risks and Portfolio Choice: Evidence from Micro-Level Data Journal of Money, Credit and Banking. 46: 1687-1720. DOI: 10.1111/Jmcb.12163  0.527
2014 Patro DK, Wald JK, Wu Y. Currency devaluation and stock market response: An empirical analysis Journal of International Money and Finance. 40: 79-94. DOI: 10.1016/J.Jimonfin.2013.09.005  0.485
2014 Tsai H, Wu Y. Optimal portfolio choice for investors with industry-specific labor income risks Finance Research Letters. 11: 429-436. DOI: 10.1016/J.Frl.2014.07.004  0.57
2014 Tsai H, Wu Y. Optimal portfolio choice with asset return predictability and nontradable labor income Review of Quantitative Finance and Accounting. 45: 215-249. DOI: 10.1007/S11156-014-0435-7  0.602
2011 Wu Y. Momentum Trading, Mean Reversal and Overreaction in Chinese Stock Market Review of Quantitative Finance and Accounting. 37: 301-323. DOI: 10.2139/Ssrn.1009054  0.467
2011 Phillips PCB, Wu Y, Yu J. Explosive Behavior In The 1990S Nasdaq: When Did Exuberance Escalate Asset Values?* International Economic Review. 52: 201-226. DOI: 10.1111/J.1468-2354.2010.00625.X  0.435
2011 Wang J, Wu Y. Risk adjustment and momentum sources Journal of Banking and Finance. 35: 1427-1435. DOI: 10.1016/J.Jbankfin.2010.10.021  0.305
2008 Chua CT, Lai S, Wu Y. Effective Fair Pricing of International Mutual Funds Journal of Banking and Finance. 32: 2307-2324. DOI: 10.1016/J.Jbankfin.2007.06.014  0.443
2006 Qi M, Wu Y. Technical trading-rule profitability, data snooping, and reality check: Evidence from the foreign exchange market Journal of Money, Credit and Banking. 38: 2135-2158. DOI: 10.1353/Mcb.2007.0006  0.454
2006 Balvers RJ, Wu Y. Momentum and mean reversion across national equity markets Journal of Empirical Finance. 13: 24-48. DOI: 10.1016/J.Jempfin.2005.05.001  0.429
2005 Kwan ACC, Sim A, Wu Y. On the size and power of normalized autocorrelation coefficients Applied Financial Economics. 15: 1-11. DOI: 10.1080/0960310042000236149  0.321
2005 Kwan ACC, Sim A, Wu Y. A comparative study of the finite-sample performance of some portmanteau tests for randomness of a time series Computational Statistics & Data Analysis. 48: 391-413. DOI: 10.1016/J.Csda.2004.01.003  0.307
2004 Patro DK, Wu Y. Predictability of Short-horizon Returns in International Equity Markets Journal of Empirical Finance. 11: 553-584. DOI: 10.1016/J.Jempfin.2004.02.003  0.454
2003 Chaudhuri K, Wu Y. Mean reversion in stock prices: evidence from emerging markets Managerial Finance. 29: 22-37. DOI: 10.1108/03074350310768490  0.459
2003 Qi M, Wu Y. Nonlinear prediction of exchange rates with monetary fundamentals Journal of Empirical Finance. 10: 623-640. DOI: 10.1016/S0927-5398(03)00008-2  0.397
2003 Chaudhuri K, Wu Y. Random walk versus breaking trend in stock prices: Evidence from emerging markets Journal of Banking and Finance. 27: 575-592. DOI: 10.1016/S0378-4266(01)00252-7  0.457
2002 Patro DK, Wald JK, Wu Y. The Impact of Macroeconomic and Financial Variables on Market Risk: Evidence from International Equity Returns European Financial Management. 8: 421-447. DOI: 10.1111/1468-036X.00198  0.463
2002 Patro DK, Wald JK, Wu Y. Explaining Exchange Rate Risk in World Stock Markets: A Panel Approach Journal of Banking and Finance. 26: 1951-1972. DOI: 10.1016/S0378-4266(01)00178-9  0.451
2001 Wu Y, Zhang J. The Effects of Inflation on the Number of Firms and Firm Size Journal of Money, Credit and Banking. 33: 251-271. DOI: 10.2307/2673884  0.385
2000 Balvers R, Wu Y, Gilliland E. Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies Journal of Finance. 55: 745-772. DOI: 10.1111/0022-1082.00225  0.471
2000 Wu Y, Zhang J. Monopolistic Competition, Increasing Returns to Scale, and the Welfare Costs of Inflation Journal of Monetary Economics. 46: 417-440. DOI: 10.1016/S0304-3932(00)00036-2  0.365
2000 Wu Y, Zhang J. Endogenous markups and the effects of income taxation: Theory and evidence from OECD countries Journal of Public Economics. 77: 383-406. DOI: 10.1016/S0047-2727(99)00081-X  0.437
1999 Badillo D, Labys WC, Wu Y. Identifying trends and breaks in primary commodity prices European Journal of Finance. 5: 315-330. DOI: 10.1080/135184799336984  0.366
1999 Kwan ACC, Wu Y, Zhang J. Fixed Investment and Economic Growth in China Economics of Planning. 32: 67-79. DOI: 10.1023/A:1003424418042  0.361
1998 Wu Y, Zhang J. Are the U.S. Exports to and Imports from Japan Cointegrated Journal of Economic Integration. 13: 626-643. DOI: 10.11130/Jei.1998.13.4.62  0.337
1998 Mark NC, Wu Y. Rethinking deviations from uncovered interest parity: The role of covariance risk and noise Economic Journal. 108: 1686-1706. DOI: 10.1111/1468-0297.00367  0.363
1998 Kwan ACC, Wu Y, Zhang J. An exogeneity analysis of financial deepening and economic growth: evidence from Hong Kong, South Korea and Taiwan Journal of International Trade & Economic Development. 7: 339-354. DOI: 10.1080/09638199800000018  0.396
1998 Song FM, Wu Y. Hysteresis in unemployment: Evidence from OECD countries The Quarterly Review of Economics and Finance. 38: 181-192. DOI: 10.1016/S1062-9769(99)80111-2  0.388
1998 Wu Y, Zhang J. An empirical investigation on the time-series behavior of the U.S.-China trade deficit Journal of Asian Economics. 9: 467-485. DOI: 10.1016/S1049-0078(99)80098-0  0.373
1998 Wu Y, Zhang J. Endogenous growth and the welfare costs of inflation: a reconsideration Journal of Economic Dynamics and Control. 22: 465-482. DOI: 10.1016/S0165-1889(97)00067-5  0.344
1997 Wu Y. Rational Bubbles In The Stock Market: Accounting For The U.S. Stock‐Price Volatility Economic Inquiry. 35: 309-319. DOI: 10.1111/J.1465-7295.1997.Tb01912.X  0.441
1997 Song FM, Wu Y. Hysteresis in Unemployment: Evidence from 48 U.S. States Economic Inquiry. 35: 235-243. DOI: 10.1111/J.1465-7295.1997.Tb01906.X  0.335
1997 Kwan CCK, Wu Y. Further results on the finite-sample distribution of Monti's portmanteau test for the adequacy of an ARMA (p, q) model Biometrika. 84: 733-736. DOI: 10.1093/Biomet/84.3.733  0.31
1997 Wu Y, Zhang H. Do Interest Rates Follow Unit-Root Processes? Evidence from Cross-Maturity Treasury Bill Yields Review of Quantitative Finance and Accounting. 8: 69-81. DOI: 10.1023/A:1008244721492  0.348
1997 Wu Y. The trend behavior of real exchange rates: Evidence from OECD countries Review of World Economics. 133: 282-296. DOI: 10.1007/Bf02707464  0.383
1997 Hai W, Mark NC, Wu Y. Understanding spot and forward exchange rate regressions Journal of Applied Econometrics. 12: 715-734. DOI: 10.1002/(Sici)1099-1255(199711/12)12:6<715::Aid-Jae470>3.0.Co;2-C  0.37
1996 Wu Y, Zhang H. Mean Reversion in Interest Rates: New Evidence from a Panel of OECD Countries Journal of Money, Credit and Banking. 28: 604-621. DOI: 10.2307/2078073  0.353
1996 Wu Y. Are Real Exchange Rates Nonstationary? Evidence from a Panel-Data Test Journal of Money, Credit and Banking. 28: 54-63. DOI: 10.2307/2077966  0.371
1996 Wu Y. Mean Reversion in Equilibrium Real Exchange Rates International Economic Journal. 10: 85-104. DOI: 10.1080/10168739600000021  0.357
1996 Kwan ACC, Wu Y. A comparative study of the finite-sample distribution of some portmanteau tests for univariate time series models Communications in Statistics - Simulation and Computation. 25: 867-904. DOI: 10.1080/03610919608813348  0.327
1996 Wu Y, Zhang H. Asymmetry in forward exchange rate bias: A puzzling result Economics Letters. 50: 407-411. DOI: 10.1016/0165-1765(95)00759-8  0.375
1995 Wu Y. Are there rational bubbles in foreign exchange markets? Evidence from an alternative test Journal of International Money and Finance. 14: 27-46. DOI: 10.1016/0261-5606(94)00002-I  0.404
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