Details about Zhenyu Wang

Access statistics for papers by Zhenyu Wang.

Last updated 2008-05-15. Update your information in the RePEc Author Service.

Short-id: pwa312

Working Papers

2011

1. Did the Fed’s Term Auction Facility Work?
   Liberty Street Economics, Federal Reserve Bank of New York

2010

2. Design of contingent capital with a stock price trigger for mandatory conversion
   Staff Reports, Federal Reserve Bank of New York View citations (13)
3. Performance maximization of actively managed funds
   Staff Reports, Federal Reserve Bank of New York

2009

4. Valuing the Treasury's Capital Assistance Program
   Staff Reports, Federal Reserve Bank of New York View citations (1)

2008

5. The effect of the Term Auction Facility on the London inter-bank offered rate
   Staff Reports, Federal Reserve Bank of New York View citations (66)

2006

6. Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims
   Staff Reports, Federal Reserve Bank of New York View citations (3)
7. Y2K options and the liquidity premium in Treasury bond markets
   Staff Reports, Federal Reserve Bank of New York View citations (6)

2005

8. Arbitrage pricing theory
   Staff Reports, Federal Reserve Bank of New York View citations (8)

2001

9. Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (14)
10. The Federal Reserve banks' imputed cost of equity capital
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (2)

1999

11. Assessing the impact of short-sale constraints on the gains from international diversification
    Staff Reports, Federal Reserve Bank of New York

1996

12. The conditional CAPM and the cross-section of expected returns
    Staff Report, Federal Reserve Bank of Minneapolis View citations (872)
    See also Journal Article The Conditional CAPM and the Cross-Section of Expected Returns, Journal of Finance, American Finance Association (1996) View citations (860) (1996)

1994

13. THE CAPM IS ALIVE AND WELL
    Finance, University Library of Munich, Germany View citations (7)
    Also in Staff Report, Federal Reserve Bank of Minneapolis (1993) View citations (30)

Journal Articles

2005

1. A Shrinkage Approach to Model Uncertainty and Asset Allocation
   The Review of Financial Studies, 2005, 18, (2), 673-705 View citations (61)

2003

2. Diversification benefits of emerging markets subject to portfolio constraints
   Journal of Empirical Finance, 2003, 10, (1-2), 57-80 View citations (93)
3. Formulating the imputed cost of equity capital for priced services at Federal Reserve banks
   Economic Policy Review, 2003, (Sep), 55-81 View citations (12)

2002

4. Generalized Method of Moments: Applications in Finance
   Journal of Business & Economic Statistics, 2002, 20, (4), 470-81 View citations (25)

2001

5. The Federal Reserve's imputed cost of equity capital: a survey
   Chicago Fed Letter, 2001, (Jul) View citations (1)

1998

6. Efficiency loss and constraints on portfolio holdings
   Journal of Financial Economics, 1998, 48, (3), 359-375 View citations (44)

1996

7. The Conditional CAPM and the Cross-Section of Expected Returns
   Journal of Finance, 1996, 51, (1), 3-53 View citations (860)
   See also Working Paper The conditional CAPM and the cross-section of expected returns, Staff Report (1996) View citations (872) (1996)

1994

8. Portfolio characterization of risk aversion
   Economics Letters, 1994, 45, (2), 259-265 View citations (3)