NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Jiang Wang

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers only

Working Papers

July 2012Market Liquidity — Theory and Empirical Evidence
with Dimitri Vayanos: w18251
October 2010Noise as Information for Illiquidity
with Xing Hu, Jun Pan: w16468

Published: “Noise as Information for Illiquidi ty,” (with Xing Hu and Jiang Wang), Journal of Finance , volume 68, pages 2223-2772, 2013.

August 2009Liquidity and Asset Prices: A Unified Framework
with Dimitri Vayanos: w15215

Published: Liquidity and Asset Prices under Asymmetric Information and Imperfect Competition, Review of Financial Studies, 2012, 25, 1339-1365. (With Jiang Wang) Previously circulated under the title: Liquidity and Asset Prices: A Unified Framework.

July 2009Market Selection
with Leonid Kogan, Stephen Ross, Mark M. Westerfield: w15189
June 2008Market Liquidity, Asset Prices and Welfare
with Jennifer Huang: w14058

Published: Huang, Jennifer & Wang, Jiang, 2010. "Market liquidity, asset prices, and welfare," Journal of Financial Economics, Elsevier, vol. 95(1), pages 107-127, January. citation courtesy of

May 2008Liquidity and Market Crashes
with Jennifer Huang: w14013

Published: Jennifer Huang & Jiang Wang, 2009. "Liquidity and Market Crashes," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 22(7), pages 2407-2443, July.

June 2005Optimal Trading Strategy and Supply/Demand Dynamics
with Anna Obizhaeva: w11444
July 2003Evaluating Portfolio Policies: A Duality Approach
with Martin B. Haugh, Leonid Kogan: w9861

Published: Haugh, M., Kogan, L., and J. Wang. “Evaluating Portfolio Policies: A Duality Approach." Operations Research 54 (2004): 405-418.

June 2003How to Tell if a Money Manager Knows More?
with Sergey Iskoz: w9791
January 2003The Price Impact and Survival of Irrational Traders
with Leonid Kogan, Stephen Ross, Mark Westerfield: w9434

Published: Kogan, Leonid, Stephen Ross, Jiang Wang, and Mark Westerfield. "The Price Impact and Survival of Irrational Traders", Journal of Finance vol. 61, issue 1, 195-229, 2006. citation courtesy of

October 2001Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model
with Andrew W. Lo: w8565

Published: Andrew W. Lo & Jiang Wang, 2006. "Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model," Journal of Finance, American Finance Association, vol. 61(6), pages 2805-2840, December. citation courtesy of

May 2001Asset Prices and Trading Volume Under Fixed Transactions Costs
with Andrew W. Lo, Harry Mamaysky: w8311

Published: Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2004. "Asset Prices and Trading Volume under Fixed Transactions Costs," Journal of Political Economy, University of Chicago Press, vol. 112(5), pages 1054-1090, October. citation courtesy of

Dynamic Volume-Return Relation of Individual Stocks
with Guillermo Llorente, Roni Michaely, Gideon Saar: w8312

Published: Llorente, G., R. Michaely, G. Saar and J. Wang. "Dynamic Volume-Return Relation Of Individual Stocks," Review of Financial Studies, 2002, v15(4), 1005-1047. citation courtesy of

March 2000Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation
with Andrew W. Lo, Harry Mamaysky: w7613

Published: Lo, Andrew W., Harry Mamaysky and Jiang Wang. "Foundations Of Technical Analysis: Computational Algorithms, Statistical Inference, And Empirical Implementation," Journal of Finance, 2000, v55(4,Aug), 1705-1765. citation courtesy of

Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory
with Andrew W. Lo: w7625

Published: Lo, A. W. and J. Wang. "Trading Volume: Definitions, Data Analysis, And Implications Of Portfolio Theory," Review of Financial Studies, 2000, v13(2,Summer), 257-300. citation courtesy of

July 1995The Term Structure of Interest Rates in a Pure Exchange Economy with Heterogeneous Investors
w5172

Published: Journal of Financial Economics, Vol. 41, no. 1 (May 1996): 75-110.

February 1995Differential Information and Dynamic Behavior of Stock Trading Volume
with Hua He: w5010

Published: Review of Financial Studies, Vol. 8, no. 4 (Winter 1995): 919-972. citation courtesy of

April 1994Implementing Option Pricing Models When Asset Returns Are Predictable
with Andrew W. Lo: w4720

Published: Journal of Finance, vol. 50, no. 1, March 1995. citation courtesy of

October 1992Trading Volume and Serial Correlation in Stock Returns
with John Y. Campbell, Sanford J. Grossman: w4193

Published: Quarterly Journal of Economics, vol cviii (4), November 1993, pp. 905-939 citation courtesy of

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers only

 
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