Huijun Wang

Auburn University

415 West Magnolia Avenue

Auburn, AL 36849

United States

University of Melbourne

198 Berkeley Street

Carlton, Victoria 3053

Australia

SCHOLARLY PAPERS

13

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6,065

SSRN CITATIONS
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Top 14,949

in Total Papers Citations

28

CROSSREF CITATIONS

40

Scholarly Papers (13)

1.

Dissecting the Profitability Premium

AFA 2013 San Diego Meetings Paper
Number of pages: 69 Posted: 21 Nov 2010 Last Revised: 08 Feb 2015
Huijun Wang and Jianfeng Yu
Auburn University and Tsinghua University - PBC School of Finance
Downloads 1,338 (15,552)
Citation 22

Abstract:

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profitability, anomaly, limit of arbitrage, information uncertainty, underreaction

Lottery-Related Anomalies: The Role of Reference-Dependent Preferences

PBCSF-NIFR Research Paper No. 15-04
Number of pages: 71 Posted: 28 Jul 2015 Last Revised: 31 Jul 2018
Li An, Huijun Wang, Jian Wang and Jianfeng Yu
Tsinghua University - PBC School of Finance, Auburn University, The Chinese University of Hong Kong, Shenzhen and Tsinghua University - PBC School of Finance
Downloads 681 (40,489)
Citation 17

Abstract:

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prospect theory, lottery, reference point, skewness, default, failure probability, capital gains overhang

Lottery-Related Anomalies: The Role of Reference-Dependent Preferences

Globalization and Monetary Policy Institute Working Paper No. 259
Number of pages: 52 Posted: 28 Jan 2016
Li An, Huijun Wang, Jian Wang and Jianfeng Yu
Tsinghua University - PBC School of Finance, Auburn University, The Chinese University of Hong Kong, Shenzhen and Tsinghua University - PBC School of Finance
Downloads 92 (307,479)
Citation 3

Abstract:

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3.

Characteristics-Based Factors

Number of pages: 65 Posted: 06 Feb 2018 Last Revised: 22 Jan 2020
Tsinghua University, Tsinghua University - PBC School of Finance, Auburn University, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 694 (40,052)
Citation 3

Abstract:

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Factor, Beta, Characteristics, Performance Evaluation, Anomalies

4.

Expected Investment Growth and the Cross Section of Stock Returns

Number of pages: 57 Posted: 09 Dec 2016 Last Revised: 18 Dec 2018
Jun Li and Huijun Wang
University of Texas at Dallas and Auburn University
Downloads 587 (50,012)
Citation 2

Abstract:

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Expected investment growth, cross-sectional stock returns, financial distress

5.

An Empirical Assessment of Models of the Value Premium

AFA 2013 San Diego Meetings Paper
Number of pages: 55 Posted: 19 Jun 2011 Last Revised: 08 Apr 2014
Huijun Wang and Jianfeng Yu
Auburn University and Tsinghua University - PBC School of Finance
Downloads 534 (56,379)

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value premium, mispricing, limits to arbitrage, financial distress, default risk, profitability, duration, cash flow risk, operating leverage

6.

Time-Varying Demand for Lottery: Speculation Ahead of Earnings Announcements

Number of pages: 81 Posted: 08 Dec 2016 Last Revised: 19 Nov 2019
Bibo Liu, Huijun Wang, Jianfeng Yu and Shen Zhao
Tsinghua University - PBC School of Finance, Auburn University, Tsinghua University - PBC School of Finance and Chinese university of Hong Kong (Shenzhen)
Downloads 512 (59,448)

Abstract:

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speculation, lottery, earnings announcements, skewness

7.

Reference-Dependent Preferences and the Risk-Return Trade-Off

Number of pages: 56 Posted: 30 May 2012 Last Revised: 17 Jun 2016
Huijun Wang, Jinghua Yan and Jianfeng Yu
Auburn University, SAC Capital Advisors and Tsinghua University - PBC School of Finance
Downloads 461 (67,700)
Citation 11

Abstract:

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Prospect theory, Risk-return trade-off, Risk, Uncertainty, Capital gains overhang

Aggregate Expected Investment Growth and Stock Market Returns

Asian Finance Association (AsianFA) 2018 Conference, 29th Annual Conference on Financial Economics & Accounting 2018, Journal of Monetary Economics, Forthcoming
Number of pages: 61 Posted: 22 May 2017 Last Revised: 30 Mar 2020
Jun Li, Huijun Wang and Jianfeng Yu
University of Texas at Dallas, Auburn University and Tsinghua University - PBC School of Finance
Downloads 359 (90,193)
Citation 3

Abstract:

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investment plan, investment lags, time-varying risk premium, investor sentiment, stock market prediction

9.

Is the Size Premium Really Driven by Firm Size?

Number of pages: 47 Posted: 17 Jan 2017 Last Revised: 05 Aug 2020
Zhiyao Chen, Jun Li and Huijun Wang
The Chinese University of Hong Kong (CUHK) - Department of Finance, University of Texas at Dallas and Auburn University
Downloads 296 (112,527)
Citation 2

Abstract:

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Firm Size, Size Premium, Decomposition

10.

So Sue Me! Stock Market Reactions to Alleged Patent Infringers

Number of pages: 70 Posted: 21 Dec 2017 Last Revised: 29 Jun 2020
University of Missouri, National Tsing Hua University - Department of Quantitative Finance, University of Delaware - Department of Economics and Auburn University
Downloads 236 (142,187)
Citation 1

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Patent Litigation, Stock Returns, Information Delay, Underpricing

11.

The Expected Investment Growth Premium

Number of pages: 46 Posted: 27 Jun 2018 Last Revised: 30 Jul 2020
Jun Li, Huijun Wang and Jianfeng Yu
University of Texas at Dallas, Auburn University and Tsinghua University
Downloads 156 (206,832)

Abstract:

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Investment Plan, Expected Investment Growth, Risk Premium

12.

Investor Sentiment and the Pricing of Characteristics-Based Factors

Number of pages: 65 Posted: 25 Feb 2020 Last Revised: 27 Feb 2020
Tsinghua University, Tsinghua University - PBC School of Finance, Auburn University, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 95 (300,947)

Abstract:

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Factor beta, Investor sentiment, Mispricing, Risk

13.

Lottery-Related Anomalies: The Roles of Reference-Dependent Preferences

Number of pages: 51 Posted: 29 Jul 2015 Last Revised: 13 Feb 2019
Li An, Huijun Wang, Jian Wang and Jianfeng Yu
Tsinghua University - PBC School of Finance, Auburn University, The Chinese University of Hong Kong, Shenzhen and Tsinghua University - PBC School of Finance
Downloads 24 (542,673)

Abstract:

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prospect theory, lottery, reference point, skewness, default, failure probability, capital gains overhang