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Details about Zhenyu Wang

Homepage:http://www.ny.frb.org/research/economists/wang/index.html
Workplace:Federal Reserve Bank of New York, (more information at EDIRC)
Research and Statistics Group, Federal Reserve Bank of New York, (more information at EDIRC)

Access statistics for papers by Zhenyu Wang.

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

Short-id: pwa312


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Working Papers

2011

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

2010

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

2009

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

2008

  1. The effect of the Term Auction Facility on the London inter-bank offered rate
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (67)

2006

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

2005

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

2001

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

1999

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

1996

  1. The conditional CAPM and the cross-section of expected returns
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (865)
    See also Journal Article The Conditional CAPM and the Cross-Section of Expected Returns, Journal of Finance, American Finance Association (1996) Downloads View citations (853) (1996)

1994

  1. THE CAPM IS ALIVE AND WELL
    Finance, University Library of Munich, Germany Downloads View citations (7)
    Also in Staff Report, Federal Reserve Bank of Minneapolis (1993) Downloads 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 Downloads View citations (60)

2003

  1. Diversification benefits of emerging markets subject to portfolio constraints
    Journal of Empirical Finance, 2003, 10, (1-2), 57-80 Downloads View citations (91)
  2. Formulating the imputed cost of equity capital for priced services at Federal Reserve banks
    Economic Policy Review, 2003, (Sep), 55-81 Downloads View citations (12)

2002

  1. Generalized Method of Moments: Applications in Finance
    Journal of Business & Economic Statistics, 2002, 20, (4), 470-81 View citations (24)

2001

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

1998

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

1996

  1. The Conditional CAPM and the Cross-Section of Expected Returns
    Journal of Finance, 1996, 51, (1), 3-53 Downloads View citations (853)
    See also Working Paper The conditional CAPM and the cross-section of expected returns, Staff Report (1996) Downloads View citations (865) (1996)

1994

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