Junbo L. Wang

Louisiana State University, Baton Rouge

Visiting Assistant Professor

Baton Rouge, LA 70803

United States

SCHOLARLY PAPERS

6

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Scholarly Papers (6)

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 and Finance, University of Missouri, Columbia, California Institute of Technology and Louisiana State University, Baton Rouge
Downloads 621 (40,481)

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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 and Finance, University of Missouri, Columbia, California Institute of Technology and Louisiana State University, Baton Rouge
Downloads 292 (101,394)

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

2.

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 209 (143,138)

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error-in-variables, instruments, asset pricing

3.

A Toolkit for Factor-Mimicking Portfolios

Number of pages: 62 Posted: 18 Mar 2019
University of Missouri, Columbia, California Institute of Technology, Louisiana State University, Baton Rouge and Louisiana State University, Baton Rouge
Downloads 120 (228,999)

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Factor-Mimicking Portfolios, Non-Traded Factors, Instrumental Variables, Risk Premia

4.

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 62 (344,664)

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5.

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 38 (424,623)

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6.

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

Number of pages: 64 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
Downloads 14 (546,665)

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