Huijun Wang

Auburn University

415 West Magnolia Avenue

Auburn, AL 36849

United States

University of Melbourne

198 Berkeley Street

Carlton, Victoria 3053

Australia

  • Auburn University

SCHOLARLY PAPERS

11

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33

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39

Scholarly Papers (11)

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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 1,471 (15,560)
Citation 24

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

2.

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

Downloads 873 ( 33,469)
Citation 15

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 778 (38,661)
Citation 16

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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 95 (334,890)
Citation 4

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3.

Characteristics-Based Factors

PBCSF-NIFR Research Paper
Number of pages: 72 Posted: 06 Feb 2018 Last Revised: 29 Oct 2020
Zhuo Chen, Bibo Liu, Huijun Wang, Zhengwei Wang and Jianfeng Yu
Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance, Auburn University, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 831 (35,811)
Citation 3

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Factor, Beta, Characteristics, Performance Evaluation, Anomalies

4.

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

PBCSF-NIFR Research Paper
Number of pages: 81 Posted: 08 Dec 2016 Last Revised: 29 Oct 2020
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 641 (50,824)
Citation 1

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speculation, lottery, earnings announcements, skewness

5.

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 634 (51,580)
Citation 3

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

6.

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 596 (55,865)

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

7.

Aggregate Expected Investment Growth and Stock Market Returns

Downloads 441 ( 62,079)
Citation 2

Aggregate Expected Investment Growth and Stock Market Returns

Asian Finance Association (AsianFA) 2018 Conference, 29th Annual Conference on Financial Economics & Accounting 2018, PBCSF-NIFR Research Paper, Journal of Monetary Economics, Forthcoming
Number of pages: 61 Posted: 22 May 2017 Last Revised: 29 Oct 2020
Jun Li, Huijun Wang and Jianfeng Yu
University of Texas at Dallas, Auburn University and Tsinghua University - PBC School of Finance
Downloads 441 (80,201)
Citation 4

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

8.

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 492 (70,942)
Citation 18

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

9.

Investor Sentiment and the Pricing of Characteristics-Based Factors

PBCSF-NIFR Research Paper
Number of pages: 65 Posted: 25 Feb 2020 Last Revised: 29 Oct 2020
Zhuo Chen, Bibo Liu, Huijun Wang, Zhengwei Wang and Jianfeng Yu
Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance, Auburn University, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 197 (188,891)

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Factor beta, Investor sentiment, Mispricing, Risk

10.

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 191 (194,243)

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Investment Plan, Expected Investment Growth, Risk Premium

11.

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 27 (580,868)

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