Details about Yangru Wu

Access statistics for papers by Yangru Wu.

Last updated 2022-07-27. Update your information in the RePEc Author Service.

Short-id: pwu24

Working Papers

2009

1. Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?
   Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics
   Also in Working Papers, Hong Kong Institute for Monetary Research (2007) View citations (9)
   Finance Working Papers, East Asian Bureau of Economic Research (2009) View citations (24)
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2009) View citations (24)
   Working Papers, Singapore Management University, School of Economics (2009) View citations (28)
   See also Journal Article EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2011) View citations (578) (2011)

2005

2. Optimal Transaction Filters Under Transitory Trading Opportunities: Theory and Empirical Illustration
   Working Papers, Hong Kong Institute for Monetary Research
   See also Journal Article Optimal transaction filters under transitory trading opportunities: Theory and empirical illustration, Journal of Financial Markets, Elsevier (2010) View citations (2) (2010)

2004

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

2003

4. 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 View citations (1)

2002

5. 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
6. 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
7. 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 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, Taylor & Francis Journals (2005) View citations (1) (2005)
8. Stock Market Integration, Return Forecastability and Implications for Market Efficiency: A Panel Study
   Working Papers, Hong Kong Institute for Monetary Research

2000

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

1998

11. Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise
    Working Papers, Ohio State University, Department of Economics View citations (111)
    See also Journal Article Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise, Economic Journal, Royal Economic Society (1998) View citations (111) (1998)

1997

12. Risk, Policy Rules, and Noise: Rethinking Deviations from Uncovered Interest Parity
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (10)

1996

13. 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
14. 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

15. 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

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

Journal Articles

2022

1. Changes in Corporate Social Responsibility and Stock Performance
   Journal of Business Ethics, 2022, 178, (3), 735-755 View citations (13)

2021

2. Economic policy uncertainty and momentum
   Financial Management, 2021, 50, (1), 237-259 View citations (8)
3. Funding liquidity shocks in a quasi-experiment: Evidence from the CDS Big Bang
   Journal of Financial Economics, 2021, 139, (2), 545-560 View citations (4)

2020

4. ACCRUALS AND MOMENTUM
   Journal of Financial Research, 2020, 43, (1), 63-93 View citations (1)
5. THE COMOVEMENTS OF STOCK, BOND, AND CDS ILLIQUIDITY BEFORE, DURING, AND AFTER THE GLOBAL FINANCIAL CRISIS
   Journal of Financial Research, 2020, 43, (4), 965-998 View citations (3)
6. The information content of the term structure of risk-neutral skewness
   Journal of Empirical Finance, 2020, 58, (C), 247-274 View citations (8)

2019

7. Exchange rate uncertainty and firm-level investment: Finding the Hartman–Abel effect
   Journal of Comparative Economics, 2019, 47, (2), 441-457 View citations (8)

2017

8. EXPLOITING CLOSED-END FUND DISCOUNTS: A SYSTEMATIC EXAMINATION OF ALPHAS
   Journal of Financial Research, 2017, 40, (2), 223-248

2016

9. Sovereign debt ratings and stock liquidity around the World
   Journal of Banking & Finance, 2016, 73, (C), 99-112 View citations (7)

2015

10. Bond and stock market response to unexpected dividend changes
    Journal of Empirical Finance, 2015, 30, (C), 1-15 View citations (17)
11. Optimal portfolio choice with asset return predictability and nontradable labor income
    Review of Quantitative Finance and Accounting, 2015, 45, (1), 215-249 View citations (5)
12. Performance of Foreign and Global Mutual Funds: The Role of Security Selection, Region-Shifting, and Style-Shifting Abilities
    The Financial Review, 2015, 50, (4), 517-545 View citations (3)

2014

13. Currency devaluation and stock market response: An empirical analysis
    Journal of International Money and Finance, 2014, 40, (C), 79-94 View citations (12)
14. Heterogeneous Background Risks and Portfolio Choice: Evidence from Micro‐level Data
    Journal of Money, Credit and Banking, 2014, 46, (8), 1687-1720 View citations (30)
15. Optimal portfolio choice for investors with industry-specific labor income risks
    Finance Research Letters, 2014, 11, (4), 429-436 View citations (2)

2011

16. EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?
    International Economic Review, 2011, 52, (1), 201-226 View citations (578)
    See also Working Paper Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?, Working Papers (2009) (2009)
17. Momentum trading, mean reversal and overreaction in Chinese stock market
    Review of Quantitative Finance and Accounting, 2011, 37, (3), 301-323 View citations (36)
18. Risk adjustment and momentum sources
    Journal of Banking & Finance, 2011, 35, (6), 1427-1435 View citations (24)

2010

19. Optimal transaction filters under transitory trading opportunities: Theory and empirical illustration
    Journal of Financial Markets, 2010, 13, (1), 129-156 View citations (2)
    See also Working Paper Optimal Transaction Filters Under Transitory Trading Opportunities: Theory and Empirical Illustration, Working Papers (2005) (2005)

2008

20. Effective fair pricing of international mutual funds
    Journal of Banking & Finance, 2008, 32, (11), 2307-2324 View citations (3)

2006

21. Momentum and mean reversion across national equity markets
    Journal of Empirical Finance, 2006, 13, (1), 24-48 View citations (82)

2005

22. 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 View citations (2)
23. On the size and power of normalized autocorrelation coefficients
    Applied Financial Economics, 2005, 15, (1), 1-11
24. 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 View citations (1)
    See also Working Paper 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 (2002) View citations (1) (2002)

2004

25. Predictability of short-horizon returns in international equity markets
    Journal of Empirical Finance, 2004, 11, (4), 553-584 View citations (29)

2003

26. Nonlinear prediction of exchange rates with monetary fundamentals
    Journal of Empirical Finance, 2003, 10, (5), 623-640 View citations (40)
27. Random walk versus breaking trend in stock prices: Evidence from emerging markets
    Journal of Banking & Finance, 2003, 27, (4), 575-592 View citations (127)
28. Uniqueness and Stability of Equilibria in a Model with Endogenous Markups and Labor Supply
    Annals of Economics and Finance, 2003, 4, (1), 177-191 View citations (2)

2002

29. Explaining exchange rate risk in world stock markets: A panel approach
    Journal of Banking & Finance, 2002, 26, (10), 1951-1972 View citations (26)
30. The Impact of Macroeconomic and Financial Variables on Market Risk: Evidence from International Equity Returns
    European Financial Management, 2002, 8, (4), 421-447 View citations (3)

2001

31. 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 (15)

2000

32. Endogenous markups and the effects of income taxation:: Theory and evidence from OECD countries
    Journal of Public Economics, 2000, 77, (3), 383-406 View citations (31)
33. Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies
    Journal of Finance, 2000, 55, (2), 745-772 View citations (187)
34. Monopolistic competition, increasing returns to scale, and the welfare costs of inflation
    Journal of Monetary Economics, 2000, 46, (2), 417-440 View citations (16)

1999

35. Fixed Investment and Economic Growth in China
    Economic Change and Restructuring, 1999, 32, (1), 67-79 View citations (13)

1998

36. An empirical investigation on the time-series behavior of the U.S.-China trade deficit
    Journal of Asian Economics, 1998, 9, (3), 467-485 View citations (1)
37. 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 View citations (3)
38. Are the U.S. Exports to and Imports from Japan Cointegrated?
    Journal of Economic Integration, 1998, 13, 626-643 View citations (2)
39. Endogenous growth and the welfare costs of inflation: a reconsideration
    Journal of Economic Dynamics and Control, 1998, 22, (3), 465-482 View citations (26)
40. Hysteresis in unemployment: Evidence from OECD countries
    The Quarterly Review of Economics and Finance, 1998, 38, (2), 181-192 View citations (86)
41. Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise
    Economic Journal, 1998, 108, (451), 1686-1706 View citations (111)
    See also Working Paper Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise, Working Papers (1998) View citations (111) (1998)

1997

42. 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 View citations (15)
43. 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 View citations (16)
44. Forward premiums as unbiased predictors of future currency depreciation: a non-parametric analysis
    Journal of International Money and Finance, 1997, 16, (4), 609-623 View citations (18)
45. Hysteresis in Unemployment: Evidence from 48 U.S. States
    Economic Inquiry, 1997, 35, (2), 235-43 View citations (81)
46. Rational Bubbles in the Stock Market: Accounting for the U.S. Stock-Price Volatility
    Economic Inquiry, 1997, 35, (2), 309-19 View citations (44)
47. The trend behavior of real exchange rates: Evidence from OECD countries
    Review of World Economics (Weltwirtschaftliches Archiv), 1997, 133, (2), 282-296 View citations (11)
48. Understanding Spot and Forward Exchange Rate Regressions
    Journal of Applied Econometrics, 1997, 12, (6), 715-34 View citations (79)

1996

49. Are Real Exchange Rates Nonstationary? Evidence from a Panel-Data Test
    Journal of Money, Credit and Banking, 1996, 28, (1), 54-63 View citations (245)
50. Asymmetry in forward exchange rate bias: A puzzling result
    Economics Letters, 1996, 50, (3), 407-411 View citations (20)
51. Mean Reversion in Interest Rates: New Evidence from a Panel of OECD Countries
    Journal of Money, Credit and Banking, 1996, 28, (4), 604-21 View citations (50)

1995

52. Are there rational bubbles in foreign exchange markets? Evidence from an alternative test
    Journal of International Money and Finance, 1995, 14, (1), 27-46 View citations (38)

1991

53. The Opportunity Cost of Coastal Land-Use Controls: An Empirical Analysis
    Land Economics, 1991, 67, (3), 308-316 View citations (13)

Chapters

2020

1. Application of Filtering Methods in Asset Pricing
   Chapter 64 in HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, 2020, pp 2303-2321