Match!
Zijun Wang
University of Texas at San Antonio
49Publications
19H-index
927Citations
Publications 49
Newest
#1Donald Lien (UTSA: University of Texas at San Antonio)H-Index: 29
#2Zijun Wang (UTSA: University of Texas at San Antonio)H-Index: 19
This paper presents a new method to estimate Hasbrouck‐type market information share in price discovery. The prevailing market information share is calculated on the basis of conditional mean. We propose a conditional quantile regression approach to obtain a new market information share measure, quantile information share, which varies across the combinations of different price quantiles. The method is illustrated with two data sets, one on the spot and futures markets in pricing S&P 500 equity ...
Source
#1Zijun Wang (UTSA: University of Texas at San Antonio)H-Index: 19
#2Moosa Khan (PV: Prairie View A&M University)H-Index: 3
We re-examine the risk-return tradeoff in the U.S. equity market by allowing for time variation in the tradeoff and estimating conditional variance by the new mixed data sampling method. The main finding is that the risk-return tradeoff is strongly time-varying with the state of the market and the average of the time-varying tradeoff estimates is 1.43. The lagged market return is found to be the best indicator of market states. The empirical finding holds true for a battery of robustness checks ...
4 CitationsSource
#1Liqun Liu (A&M: Texas A&M University)H-Index: 9
#2Andrew J. Rettenmaier (A&M: Texas A&M University)H-Index: 8
Last.Zijun Wang (UTSA: University of Texas at San Antonio)H-Index: 19
view all 4 authors...
We constructed two theoretical models both of which predict that the federal fund surplus decreases, by an amount less than dollar-for-dollar, in response to an increase in the trust fund surplus. While this prediction is consistent with the empirical estimates based on the cross-sectional country-level data, it is at odds with the estimates based on the U.S. time series data. The paper then extends the existing time series analyses by considering a length-of-lag dimension in differencing the va...
Source
#1Donald Lien (UTSA: University of Texas at San Antonio)H-Index: 29
#2Zijun Wang (UTSA: University of Texas at San Antonio)H-Index: 19
This note investigates via Monte Carlo simulation the finite‐sample performance of two identification schemes that provide unique measures of Hasbrouck‐type information share in price discovery. The Lien and Shrestha (2009) method is based on factorization of the full correlation matrix and the Grammig and Peter (2013) method is based on different correlations of price innovations in the tails and in the center of the distributions. We find that the GP method performs poorly under the chosen dat...
5 CitationsSource
#1Jiadong Tong (NKU: Nankai University)H-Index: 1
#2Zijun Wang (UTSA: University of Texas at San Antonio)H-Index: 19
Last.Jian Yang (DUFE: Dongbei University of Finance and Economics)H-Index: 30
view all 3 authors...
We apply a new model selection approach that allows for the joint determination of structural breaks and cointegration to examine the term structure of Chinese Renminbi (RMB)‐U.S. dollar spot and forward exchange rates during the managed‐floating period of 2005–2013. We find that the RMB market has exhibited different dynamic relationships between spot and forward exchange rates over time, apparently due to significant policy changes. Offshore forward rates with either shorter or longer maturiti...
2 CitationsSource
#1Lin Huang (SWUFE: Southwestern University of Finance and Economics)H-Index: 1
#2Zijun Wang (UTSA: University of Texas at San Antonio)H-Index: 19
Motivated from Fama’s (1991) conjecture of an explicit link between the cross-sectional and time-series stock return predictability, we investigate whether the investment factor constructed from the cross-section of stocks also has time-series predictive power for stock returns within Merton’s (1973) ICAPM framework. The evidence from both US and other G-7 countries (except Japan) suggests that the investment factor is a proxy for time-varying investment opportunities. We also find that the risk...
3 CitationsSource
#1Andrew J. Rettenmaier (A&M: Texas A&M University)H-Index: 8
#2Zijun Wang (A&M: Texas A&M University)H-Index: 19
This article revisits the long-standing issue of the determinants of health outcomes. We make two contributions to the literature. First, we use a large and comprehensive US county level health data set that has only recently become available. This data set includes five measures of health outcomes and 24 health risk factors in the categories of health behaviors, clinical care, social and economic factors, and physical environment. Second, to distinguish causality from correlation, we implement ...
20 CitationsSource
#1Hui Guo (UC: University of Cincinnati)H-Index: 17
#2Zijun Wang (A&M: Texas A&M University)H-Index: 19
Last.Jian Yang (University of Colorado Denver)H-Index: 30
view all 3 authors...
We uncover a strong comovement of the stock market risk–return trade-off with the consumption–wealth ratio (CAY). The finding reflects time-varying investment opportunities rather than countercyclical aggregate relative risk aversion. Specifically, the partial risk–return trade-off is positive and constant when we control for CAY as a proxy for investment opportunities. Moreover, conditional market variance scaled by CAY is negatively priced in the cross-section of stock returns. Our results are...
10 CitationsSource
#1Zijun Wang (A&M: Texas A&M University)H-Index: 19
We study the information content of two new return factors, the investment factor (IA) and the return-on-equity factor (ROE), as proposed by Chen, Novy-Marx, and Zhang in 2011. First, IA is a strong predictor for future gross domestic product (GDP) growth despite the presence of other financial and economic variables. IA subsumes the pricing power of the GDP factor for the cross section of asset returns. Second, ROE is closely related to innovations in dividend yield and term spread. When modele...
7 CitationsSource
#1David A. Bessler (A&M: Texas A&M University)H-Index: 35
#2Zijun Wang (A&M: Texas A&M University)H-Index: 19
The paper considers the conjecture that forecasts from preferred economic models or theories d-separate forecasts from less preferred models or theories from the Actual realization of the variable for which a scientific explanation is sought. D-separation provides a succinct notion to represent forecast dominance of one set of forecasts over another; it provides, as well, a criterion for model preference as a fundamental device for progress in economic science. We demonstrate these ideas with ex...
4 CitationsSource
12345