Huijun Wang

University of Melbourne

198 Berkeley Street

Carlton, Victoria 3053

Australia

SCHOLARLY PAPERS

12

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Top 14,357

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21

CROSSREF CITATIONS

43

Scholarly Papers (12)

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
University of Melbourne and Tsinghua University - PBC School of Finance
Downloads 1,275 (15,734)
Citation 21

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, University of Melbourne, Dallas Fed and Tsinghua University - PBC School of Finance
Downloads 637 (41,800)
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, University of Melbourne, The Chinese University of Hong Kong, Shenzhen and Tsinghua University - PBC School of Finance
Downloads 91 (295,084)
Citation 1

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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, University of Melbourne, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 632 (42,860)
Citation 2

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 University of Melbourne
Downloads 565 (49,582)
Citation 2

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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
University of Melbourne and Tsinghua University - PBC School of Finance
Downloads 528 (54,055)
Citation 1

Abstract:

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

6.

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
University of Melbourne, SAC Capital Advisors and Tsinghua University - PBC School of Finance
Downloads 448 (66,217)
Citation 10

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

7.

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, University of Melbourne, Tsinghua University - PBC School of Finance and Chinese university of Hong Kong (Shenzhen)
Downloads 429 (70,211)

Abstract:

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speculation, lottery, earnings announcements, skewness

Aggregate Expected Investment Growth and Stock Market Returns

Asian Finance Association (AsianFA) 2018 Conference, 29th Annual Conference on Financial Economics & Accounting 2018
Number of pages: 52 Posted: 22 May 2017 Last Revised: 15 Dec 2019
Jun Li, Huijun Wang and Jianfeng Yu
University of Texas at Dallas, University of Melbourne and Tsinghua University - PBC School of Finance
Downloads 323 (96,240)
Citation 3

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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: 30 May 2019
Zhiyao Chen, Jun Li and Huijun Wang
The Chinese University of Hong Kong (CUHK) - Department of Finance, University of Texas at Dallas and University of Melbourne
Downloads 267 (118,916)
Citation 2

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Firm Size, Size Premium, Decomposition

10.

So Sue Me! Patent Litigation and the Cross-section of Stock Returns

Number of pages: 51 Posted: 21 Dec 2017 Last Revised: 02 Dec 2018
University of Missouri, National Tsing Hua University - Department of Quantitative Finance, University of Delaware - Department of Economics and University of Melbourne
Downloads 214 (148,211)
Citation 1

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Patent Litigation, Stock Returns, Information Delay, Underpricing

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, University of Melbourne, The Chinese University of Hong Kong, Shenzhen and Tsinghua University - PBC School of Finance
Downloads 18 (554,390)

Abstract:

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

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, University of Melbourne, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 13 (585,676)

Abstract:

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Factor beta, Investor sentiment, Mispricing, Risk