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Details about Yangru Wu

E-mail:
Homepage:http://andromeda.rutgers.edu/~yangruwu
Workplace:Department of Finance and Economics, Business, Rutgers University-Newark, (more information at EDIRC)

Access statistics for papers by Yangru Wu.

Last updated 2016-02-18. Update your information in the RePEc Author Service.

Short-id: pwu24


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Working Papers

2009

  1. Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?
    Finance Working Papers, East Asian Bureau of Economic Research Downloads View citations (5)
    Also in Working Papers, Hong Kong Institute for Monetary Research (2007) Downloads View citations (2)
    Working Papers, Singapore Management University, School of Economics (2009) Downloads View citations (9)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2009) Downloads View citations (5)

    See also Journal Article in International Economic Review (2011)

2005

  1. Optimal Transaction Filters Under Transitory Trading Opportunities: Theory and Empirical Illustration
    Working Papers, Hong Kong Institute for Monetary Research Downloads
    See also Journal Article in Journal of Financial Markets (2010)

2004

  1. Momentum Trading, Mean Reveral and Overration in Chinese Stock Market
    Working Papers, Hong Kong Institute for Monetary Research Downloads

2003

  1. A Re-examination of the Finite-Sample Properties of Pena and Rodriguez's Portmanteau Test of Lack of Fit for Time Series
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics

2002

  1. On the empirical size and power of normalized autocorrelation coefficients: A Monte Carlo investigation
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
  2. On the size and power of portmanteau tests for randomness of a time series
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
  3. On the use of the sample partial autocorrelation for order determination in a pure autoregressive process: A Monte Carlo study and empirical example
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics View citations (1)
    See also Journal Article in Applied Economics Letters (2005)
  4. Stock Market Integration, Return Forecastability and Implications for Market Efficiency: A Panel Study
    Working Papers, Hong Kong Institute for Monetary Research Downloads

2000

  1. Further Results on the Finite-Sample Distribution of Modified Portmanteau Tests for Randomness
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
  2. On the Empirical Size of Normalized Autocorrelation Coefficients
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics

1998

  1. Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise
    Working Papers, Ohio State University, Department of Economics Downloads View citations (63)
    See also Journal Article in Economic Journal (1998)

1997

  1. Risk, Policy Rules, and Noise: Rethinking Deviations from Uncovered Interest Parity
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads

1996

  1. Further results on the finite-sample distribution of Monti's portmanteau test for the adequacy of an ARMA (p,q) model
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
  2. On the Finite-Sample Distribution of Separate Tests for Univarite Time Series Models
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics

1995

  1. On the Finite-Sample Distribution of Monti's Portmanteau Test for the Adequacy of an ARMA (p,q) Model
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics

1993

  1. Are There Rational Bubbles in Foreign Exchange Markets? -- Some Direct Tests
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics

Journal Articles

2015

  1. Bond and stock market response to unexpected dividend changes
    Journal of Empirical Finance, 2015, 30, (C), 1-15 Downloads View citations (3)
  2. Optimal portfolio choice with asset return predictability and nontradable labor income
    Review of Quantitative Finance and Accounting, 2015, 45, (1), 215-249 Downloads View citations (1)

2014

  1. Currency devaluation and stock market response: An empirical analysis
    Journal of International Money and Finance, 2014, 40, (C), 79-94 Downloads View citations (1)
  2. Heterogeneous Background Risks and Portfolio Choice: Evidence from Micro‐level Data
    Journal of Money, Credit and Banking, 2014, 46, (8), 1687-1720 Downloads View citations (7)
  3. Optimal portfolio choice for investors with industry-specific labor income risks
    Finance Research Letters, 2014, 11, (4), 429-436 Downloads View citations (1)

2011

  1. EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?
    International Economic Review, 2011, 52, (1), 201-226 View citations (145)
    See also Working Paper (2009)
  2. Momentum trading, mean reversal and overreaction in Chinese stock market
    Review of Quantitative Finance and Accounting, 2011, 37, (3), 301-323 Downloads View citations (7)
  3. Risk adjustment and momentum sources
    Journal of Banking & Finance, 2011, 35, (6), 1427-1435 Downloads View citations (8)

2010

  1. Optimal transaction filters under transitory trading opportunities: Theory and empirical illustration
    Journal of Financial Markets, 2010, 13, (1), 129-156 Downloads View citations (2)
    See also Working Paper (2005)

2008

  1. Effective fair pricing of international mutual funds
    Journal of Banking & Finance, 2008, 32, (11), 2307-2324 Downloads View citations (2)

2006

  1. Momentum and mean reversion across national equity markets
    Journal of Empirical Finance, 2006, 13, (1), 24-48 Downloads View citations (32)

2005

  1. A comparative study of the finite-sample performance of some portmanteau tests for randomness of a time series
    Computational Statistics & Data Analysis, 2005, 48, (2), 391-413 Downloads View citations (2)
  2. On the size and power of normalized autocorrelation coefficients
    Applied Financial Economics, 2005, 15, (1), 1-11 Downloads
  3. On the use of the sample partial autocorrelation for order determination in a pure autoregressive process: a Monte Carlo study and empirical example
    Applied Economics Letters, 2005, 12, (3), 133-139 Downloads
    See also Working Paper (2002)

2004

  1. Predictability of short-horizon returns in international equity markets
    Journal of Empirical Finance, 2004, 11, (4), 553-584 Downloads View citations (14)

2003

  1. Nonlinear prediction of exchange rates with monetary fundamentals
    Journal of Empirical Finance, 2003, 10, (5), 623-640 Downloads View citations (28)
  2. Random walk versus breaking trend in stock prices: Evidence from emerging markets
    Journal of Banking & Finance, 2003, 27, (4), 575-592 Downloads View citations (78)
  3. Uniqueness and Stability of Equilibria in a Model with Endogenous Markups and Labor Supply
    Annals of Economics and Finance, 2003, 4, (1), 177-191 Downloads View citations (1)

2002

  1. Explaining exchange rate risk in world stock markets: A panel approach
    Journal of Banking & Finance, 2002, 26, (10), 1951-1972 Downloads View citations (14)
  2. The Impact of Macroeconomic and Financial Variables on Market Risk: Evidence from International Equity Returns
    European Financial Management, 2002, 8, (4), 421-447 Downloads

2001

  1. The Effects of Inflation on the Number of Firms and Firm Size
    Journal of Money, Credit and Banking, 2001, 33, (2), 251-71 View citations (6)

2000

  1. Endogenous markups and the effects of income taxation:: Theory and evidence from OECD countries
    Journal of Public Economics, 2000, 77, (3), 383-406 Downloads View citations (21)
  2. Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies
    Journal of Finance, 2000, 55, (2), 745-772 Downloads View citations (100)
  3. Monopolistic competition, increasing returns to scale, and the welfare costs of inflation
    Journal of Monetary Economics, 2000, 46, (2), 417-440 Downloads View citations (7)

1999

  1. Fixed Investment and Economic Growth in China
    Economic Change and Restructuring, 1999, 32, (1), 67-79 Downloads View citations (11)

1998

  1. An empirical investigation on the time-series behavior of the U.S.-China trade deficit
    Journal of Asian Economics, 1998, 9, (3), 467-485 Downloads
  2. An exogeneity analysis of financial deepening and economic growth: evidence from Hong Kong, South Korea and Taiwan
    The Journal of International Trade & Economic Development, 1998, 7, (3), 339-354 Downloads View citations (3)
  3. Are the U.S. Exports to and Imports from Japan Cointegrated?
    Journal of Economic Integration, 1998, 13, 626-643 View citations (1)
  4. Endogenous growth and the welfare costs of inflation: a reconsideration
    Journal of Economic Dynamics and Control, 1998, 22, (3), 465-482 Downloads View citations (24)
  5. Hysteresis in unemployment: Evidence from OECD countries
    The Quarterly Review of Economics and Finance, 1998, 38, (2), 181-192 Downloads View citations (37)
  6. Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise
    Economic Journal, 1998, 108, (451), 1686-1706 Downloads View citations (81)
    See also Working Paper (1998)

1997

  1. Capital controls and covered interest parity in the EU: Evidence from a panel-data unit root test
    Review of World Economics (Weltwirtschaftliches Archiv), 1997, 133, (1), 76-89 Downloads View citations (13)
  2. Do Interest Rates Follow Unit-Root Processes? Evidence from Cross-Maturity Treasury Bill Yields
    Review of Quantitative Finance and Accounting, 1997, 8, (1), 69-81 Downloads View citations (13)
  3. Forward premiums as unbiased predictors of future currency depreciation: a non-parametric analysis
    Journal of International Money and Finance, 1997, 16, (4), 609-623 Downloads View citations (13)
  4. Hysteresis in Unemployment: Evidence from 48 U.S. States
    Economic Inquiry, 1997, 35, (2), 235-43 View citations (33)
  5. Rational Bubbles in the Stock Market: Accounting for the U.S. Stock-Price Volatility
    Economic Inquiry, 1997, 35, (2), 309-19 View citations (29)
  6. The trend behavior of real exchange rates: Evidence from OECD countries
    Review of World Economics (Weltwirtschaftliches Archiv), 1997, 133, (2), 282-296 Downloads View citations (9)
  7. Understanding Spot and Forward Exchange Rate Regressions
    Journal of Applied Econometrics, 1997, 12, (6), 715-34 Downloads View citations (67)

1996

  1. Are Real Exchange Rates Nonstationary? Evidence from a Panel-Data Test
    Journal of Money, Credit and Banking, 1996, 28, (1), 54-63 Downloads View citations (136)
  2. Asymmetry in forward exchange rate bias: A puzzling result
    Economics Letters, 1996, 50, (3), 407-411 Downloads View citations (16)
  3. Mean Reversion in Interest Rates: New Evidence from a Panel of OECD Countries
    Journal of Money, Credit and Banking, 1996, 28, (4), 604-21 Downloads View citations (35)

1995

  1. Are there rational bubbles in foreign exchange markets? Evidence from an alternative test
    Journal of International Money and Finance, 1995, 14, (1), 27-46 Downloads View citations (24)

1991

  1. The Opportunity Cost of Coastal Land-Use Controls: An Empirical Analysis
    Land Economics, 1991, 67, (3), 308-316 Downloads View citations (11)
 
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