Junbo L. Wang

Louisiana State University, Baton Rouge

Visiting Assistant Professor

Baton Rouge, LA 70803

United States

SCHOLARLY PAPERS

13

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SSRN CITATIONS
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Top 12,090

in Total Papers Citations

118

CROSSREF CITATIONS

12

Scholarly Papers (13)

From Man vs. Machine to Man Machine: The Art and AI of Stock Analyses

Journal of Financial Economics forthcoming; Columbia Business School Research Paper
Number of pages: 80 Posted: 06 May 2021 Last Revised: 26 Jan 2024
Sean Cao, Wei Jiang, Junbo L. Wang and Baozhong Yang
University of Maryland - Robert H. Smith School of Business, Emory University Goizueta Business School, Louisiana State University, Baton Rouge and Georgia State University
Downloads 4,151 (4,681)
Citation 12

Abstract:

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Artificial Intelligence; Machine Learning; FinTech; Stock Analyst; Alternative Data; Disruptive Innovation

From Man vs. Machine to Man + Machine: The Art and Ai of Stock Analyses

NBER Working Paper No. w28800
Number of pages: 52 Posted: 17 May 2021 Last Revised: 12 Mar 2023
Sean Cao, Wei Jiang, Junbo L. Wang and Baozhong Yang
University of Maryland - Robert H. Smith School of Business, Emory University Goizueta Business School, Louisiana State University, Baton Rouge and Georgia State University
Downloads 103 (483,792)
Citation 4

Abstract:

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2.

A New Method for Factor-Mimicking Portfolio Construction

Number of pages: 79 Posted: 18 Mar 2019 Last Revised: 14 Apr 2022
University of Missouri, Columbia, California Institute of Technology, Louisiana State University, Baton Rouge and Rutgers University - Rutgers School of Business-Camden
Downloads 1,604 (21,647)

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factor-mimicking portfolios, nontraded factors, risk premium

Empirical Tests of Asset Pricing Models with Individual Assets: Resolving the Errors-in-Variables Bias in Risk Premium Estimation

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 86 Posted: 11 Jan 2017 Last Revised: 06 Aug 2018
Emory University - Department of Finance, Case Western Reserve University - Department of Banking & Finance, University of Missouri, Columbia, California Institute of Technology and Louisiana State University, Baton Rouge
Downloads 1,161 (34,371)
Citation 35

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Risk Premium Estimation, Errors-in-Variables Bias, Instrumental Variables, Individual Stocks, Asset Pricing Models

Empirical Tests of Asset Pricing Models with Individual Assets: Resolving the Errors-in-Variables Bias in Risk Premium Estimation

Number of pages: 67 Posted: 24 Sep 2015
Emory University - Department of Finance, Case Western Reserve University - Department of Banking & Finance, University of Missouri, Columbia, California Institute of Technology and Louisiana State University, Baton Rouge
Downloads 388 (142,278)
Citation 9

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Risk Premium Estimation, Errors-in-Variables Bias, Instrumental Variables, Individual Stocks, Asset Pricing Models

4.

Too Good to Be True: Look-ahead Bias in Empirical Options Research

Number of pages: 64 Posted: 31 Oct 2023 Last Revised: 11 Apr 2024
Rice University - Jesse H. Jones Graduate School of Business, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Rochester Institute of Technology (RIT), University of Kansas and Louisiana State University, Baton Rouge
Downloads 578 (89,528)

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Options; look-ahead bias

5.

Very Noisy Option Prices and Inference Regarding the Volatility Risk Premium

Journal of Finance forthcoming
Number of pages: 65 Posted: 25 Jul 2022 Last Revised: 19 Jan 2023
Rice University - Jesse H. Jones Graduate School of Business, University of Southern California - Marshall School of Business - Finance and Business Economics Department and Louisiana State University, Baton Rouge
Downloads 475 (113,425)
Citation 7

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Options; Volatility risk premium; Microstructure bias; Robustness

6.

Resolving the Errors-in-Variables Bias in Risk Premium Estimation

Number of pages: 69 Posted: 28 Jul 2014 Last Revised: 19 Jun 2018
Kuntara Pukthuanthong, Richard Roll and Junbo L. Wang
University of Missouri, Columbia, California Institute of Technology and Louisiana State University, Baton Rouge
Downloads 379 (147,310)
Citation 1

Abstract:

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error-in-variables, instruments, asset pricing

7.

An Agnostic and Practically Useful Estimator of the Stochastic Discount Factor

Number of pages: 94 Posted: 01 Jan 2020 Last Revised: 04 Oct 2021
Kuntara Pukthuanthong, Richard Roll and Junbo L. Wang
University of Missouri, Columbia, California Institute of Technology and Louisiana State University, Baton Rouge
Downloads 264 (215,903)
Citation 2

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stochastic discount factor, pricing kernel, cross-sectional test

8.

Factor Model Comparisons with Conditioning Information

Number of pages: 53 Posted: 24 Sep 2021 Last Revised: 20 Jul 2022
Wayne Ferson, Andrew F. Siegel and Junbo L. Wang
University of Southern California, University of Washington - Department of Finance and Business Economics and Louisiana State University, Baton Rouge
Downloads 225 (252,338)

Abstract:

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Asset Pricing test, Model Comparison, Asymptotic variance

9.

Holdings-Based Fund Performance Measures: Estimation and Inference

Number of pages: 105 Posted: 16 Jun 2018 Last Revised: 19 Dec 2018
Wayne E. Ferson and Junbo L. Wang
University of Southern California and Louisiana State University, Baton Rouge
Downloads 197 (285,313)
Citation 1

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10.

Second Moment Asset Pricing

Number of pages: 51 Posted: 19 Jun 2023
Sina Ehsani and Junbo L. Wang
Northern Illinois University and Louisiana State University, Baton Rouge
Downloads 101 (487,043)

Abstract:

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11.

Can Weight-Based Measures Distinguish between Informed and Uninformed Fund Managers?

Number of pages: 47 Posted: 10 Nov 2014
Junbo L. Wang
Louisiana State University, Baton Rouge
Downloads 67 (621,860)
Citation 1

Abstract:

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12.

A Panel Regression Approach to Holdings-Based Fund Performance Measures

NBER Working Paper No. w28238
Number of pages: 65 Posted: 21 Dec 2020 Last Revised: 27 Feb 2022
Wayne Ferson and Junbo L. Wang
University of Southern California and Louisiana State University, Baton Rouge
Downloads 22 (936,482)
Citation 2

Abstract:

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13.

Asymptotic Variances for Tests of Portfolio Efficiency and Factor Model Comparisons with Conditioning Information

Posted: 24 Feb 2019
Wayne E. Ferson, Andrew F. Siegel and Junbo L. Wang
University of Southern California, University of Washington - Department of Finance and Business Economics and Louisiana State University, Baton Rouge

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