Эксоцман
на главную поиск contacts

Wu Yangru

Обновлено: 16-05-2011
Образование бакалавр [Guangdong Ocean University, 1982]
магистр [University of Delaware, 1987]
PhD [Ohio State University, 1993]
Место работы Rutgers Business Scholl / professor of finance

Профессиональные интересы:
International Finance, Empirical Asset Pricing

Публикации:
1. “Technical Trading-Rule Profitability, Data Snooping, and Reality Check: Evidence from the Foreign Exchange Market” (with Min Qi), Journal of Money, Credit and Banking 30, 2006, 2135-2158.

2. “Momentum and Mean Reversion across National Equity Markets” (with Ronald Balvers), Journal of Empirical Finance 13, 2006, 24-48.

3. “Predictability of Short-Horizon Equity Returns in International Equity Markets” (with Dilip Patro), Journal of Empirical Finance 11, 2004, 553-584.

4. “On the Size and Power of Normalized Autocorrelation Coefficients” (with Andy Kwan and Ah-Boon Sim), Applied Financial Economics 15, 2005, 1-11.

5. “A Comparative Study of the Finite-sample Performance of Some Portmanteau Tests for Randomness of a Time Series” (with Andy Kwan and Ah-Boon Sim), Computational Statistics and Data Analysis 48(2), 2005, 391-413.

6. “Random Walk versus Breaking Trend in Stock Prices: Evidence from Emerging Markets” (with Kausik Chaudhuri), Journal of Banking and Finance 27, 2003, 575-592.

7. “Mean Reversion in Stock Prices: Evidence from Emerging Market” (with Kausik Chaudhuri), Managerial Finance 30, 2004, 22-37.

8. “Nonlinear Prediction of Exchange Rates with Monetary Fundamentals” (with Min Qi), Journal of Empirical Finance 10, 2003, 623-640.

9. “Uniqueness and Stability of Equilibria in a Model with Endogenous Markups and Labor Supply” (with Junxi Zhang), Annals of Economics and Finance 4, 2003, 353-367.

10. “On the Use of the Sample Partial Autocorrelation for Order Determination in a Pure Autoregressive Process: A Monte Carlo Study and Empirical Example” (with Andy Kwan), Applied Economics Letters 12, 2005, 133-139.

11. “Further Results on the Finite-Sample Distribution of Separate Tests for Univariate Time Series Models” (with Andy Kwan and Fassil Nebebe), Journal of Statistical Research 36(1), June 2002, 99-110. 12. “Explaining Exchange Rate Risk in World Stock Markets: A Panel Approach” (with Dilip Patro and John Wald), Journal of Banking and Finance 26, 2002, 1951-1972. Reprinted in Financial Markets, edited by Jeff Madura, SAGE Library in Business and Management, 2004.

13. “The Impact of Macroeconomic and Financial Variables on Market Risk: Evidence from International Equity Returns” (with Dilip Patro and John Wald), European Financial Management 8(4), 2002, 421-448. 14. “The Effects of Inflation on the Number of Firms and Firm Size” (with Junxi Zhang), Journal of Money, Credit and Banking 33(2), 2001, 251-271.

15. “Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies” (with Ronald Balvers and Erik Gilliland), Journal of Finance 55(2), 2000, 745-772. Summarized (by Roger Ignatius) in The CFA Digest, 34(4), 2000.

16. “Monopolistic Competition, Increasing Returns to Scale and the Welfare Costs of Inflation” (with Junxi Zhang), Journal of Monetary Economics 46(2), 417-440, 2000.

17. “Exchange Rates and Fundamentals: Evidence from Out-of-Sample Forecasting Using Neural Networks,” (with Min Qi), in Computational Finance, a refereed book edited by Y.S. Abu-Mostafa, B. LeBaron, A.W. Lo and A.S. Weigend, Cambridge, MA: MIT Press, 1999, Chapter 18, 271-286.

18. “Endogenous Markups and the Effects of Income Taxation: Theory and Evidence from OECD Countries” (with Junxi Zhang), Journal of Public Economics 77, 2000, 383-406.

19. “Rethinking Deviations from Uncovered Interest Parity: the Role of Covariance Risk and Noise” (with Nelson Mark), The Economic Journal 108, 1998, 1686-1706. Reprinted in New Developments in Exchange Rate Economics, edited by Lucio Sarno and Mark Taylor, Edward Elgar Publishing, 2001.

20. “Are the U.S. Exports to and Imports from Japan Cointegrated?” (with Junxi Zhang), Journal of Economic Integration 13(4), 1998, 626-643. 21. “Identifying Trends and Breaks in Primary Commodity Prices” (with Badillo and Labys), European Journal of Finance 5(4), 1999, 315-330.

22. “Endogenous Growth and the Welfare Costs of Inflation” (with Junxi Zhang), Journal of Economic Dynamics and Control 22(3), 1998, 465-482.

23. “Forward Premiums as Unbiased Predictors of Future Currency Depreciation” (with Hua Zhang), Journal of International Money and Finance 16(4), 1997, 609-623.

24. “An Empirical Investigation on the Time-Series Behavior of the U.S.-China Trade Deficit” (with Junxi Zhang), Journal of Asian Economics 9(3), 1998, 467-485.

25. “Fixed Investment and Economic Growth in China” (with Andy Kwan and Junxi Zhang), Economics of Planning 31(1), 1999, 67-79.

26. “Further Results on the Finite-Sample Distribution of Monti’s Portmanteau Test for the Adequacy of an ARMA(p,q) Model” (with Andy Kwan), Biometrika 84(3), 1997, 733-736.

27. “Hysteresis in Unemployment: Evidence from OECD Countries” (with Frank Song), Quarterly Review of Economics and Finance 38(2), 1998, 181-192.

28. “Rational Bubbles in the Stock Market: Accounting for the U.S. Stock-Price Volatility” Economic Inquiry XXXV, 1997, 309-319.

29. “Understanding Spot and Forward Exchange Rate Regressions” (with Weike Hai and Nelson Mark), Journal of Applied Econometrics 12(6), 1997, 715-734. Reprinted in New Developments in Exchange Rate Economics, edited by Lucio Sarno and Mark Taylor, Edward Elgar Publishing, 2001.

30. “Capital Controls and Covered Interest Parity in the EU” (with Mark J. Holmes), Weltwirtschaftlichcs Archiv 133(1), 1997, 76-89.

31. “Hysteresis in Unemployment: Evidence from 48 U.S. States” (with Frank Song), Economic Inquiry XXXV, 1997, 235-243.

32. “An Exogeneity Analysis of Financial Deepening and Economic Growth: Evidence from Hong Kong, South Korea and Taiwan” (with Andy Kwan and Junxi Zhang), Journal of International Trade and Economic Development 7(3), 1998, 339-354.

33. “The Trend Behavior of Real Exchange Rates: Evidence from OECD Countries,” Weltwirtschaftlichcs Archiv 133(2), 1997, 282-296.

34. “Mean Reversion in Interest Rates: New Evidence from a Panel of OECD Countries” (with Hua Zhang), Journal of Money, Credit and Banking 28, 1996, 604-621.

35. “A Comparative Study of the Finite-Sample Distribution of Some Portmanteau Tests for Univariate Time-Series Models” (with Andy Kwan), Communications in Statistics--Simulation and Computation 25(4), 1996, 867-904. 36. “Are Real Exchange Rates Nonstationary? Evidence from a Panel-Data Test,” Journal of Money, Credit and Banking 28, 1996, 54-63.

37. “Mean Reversion in Equilibrium Real Exchange Rates,” International Economic Journal 10, 1996, 85-104.

38. “Asymmetry in Forward Exchange Rate Bias: A Puzzling Result” (with Hua Zhang), Economics Letters 50, 1996, 407-411.

39. “Do Interest Rates Follow Unit-Root Processes? Evidence from Cross-Maturity Treasury-Bill Yields” (with Hua Zhang), Review of Quantitative Finance and Accounting 8, 1997, 87-99.

40. “Are There Rational Bubbles in Foreign Exchange Markets?” Journal of International Money and Finance 14(1), 1995, 27-46.

41. “The Opportunity Cost of Coastal Land-Use Controls” (with George Parsons), Land Economics 67, 1991, 308-316.

Публикации на портале:
Статьи
Домашняя страница http://andromeda.rutgers.edu/~yangruwu/
E-mail yangruwu@andromeda.rutgers.edu
Телефон 908-790-8675
Факс 973-353-1233
Адрес 590 Snyder Ave Berkeley Heights, NJ 07922 U.S.A.
Ключевые слова

См. также:
Benoit Mulkay, Bronwyn H. Hall, Jacques Mairesse
[Статья]
G. Andrew Karolyi, Rene M. Stulz
[Книга]
Francisko Nadal-De Simon, W.A Razzak
IMF Working Paper Series. 1999.  No. 99/141.
[Статья]
Richard J. Kish
[Учебная программа]
Gregory N. Mankiw
[Книга]
Merton H. Miller, Franco Modigliani
Journal of Business. 1961.  Vol. 34. No. 4. P. 411-433. 
[Статья]