Author Page for Junbo L. Wang

1.

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

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Citation 9

2

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

Narasimhan Jegadeesh, Joonki Noh, Kuntara Pukthuanthong, Richard Roll and Junbo L. Wang

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 746 (34,882)

Citation 4

Abstract:

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

Narasimhan Jegadeesh, Joonki Noh, Kuntara Pukthuanthong, Richard Roll and Junbo L. Wang

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 305 (105,850)

Citation 7

Abstract:

2.

A Toolkit for Factor-Mimicking Portfolios

Number of pages: 79 Posted: 18 Mar 2019 Last Revised: 15 Feb 2020

Kuntara Pukthuanthong, Richard Roll, Junbo L. Wang and Tengfei Zhang

University of Missouri, Columbia, California Institute of Technology, Louisiana State University, Baton Rouge and Louisiana State University, Baton Rouge

Downloads 390 (81,046)

Abstract:

3.

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 236 (138,885)

Citation 1

Abstract:

4.

Very Noisy Option Prices and Inferences Regarding Option Returns

Number of pages: 56 Posted: 03 Dec 2019

Jefferson Duarte, Christopher S. Jones and Junbo L. Wang

Rice University, University of Southern California - Marshall School of Business - Finance and Business Economics Department and Louisiana State University, Baton Rouge

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Citation 1

Abstract:

5.

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 92 (298,667)

Citation 1

Abstract:

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 55 (396,554)

Citation 1

Abstract:

7.

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 40 (452,363)

Citation 1

Junbo L. Wang

Louisiana State University, Baton Rouge

Visiting Assistant Professor

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Scholarly Papers (7)

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

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

Abstract:

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

Abstract:

A Toolkit for Factor-Mimicking Portfolios

Abstract:

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

Abstract:

Very Noisy Option Prices and Inferences Regarding Option Returns

Abstract:

Holdings-Based Fund Performance Measures: Estimation and Inference

Abstract:

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

Abstract:

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

Abstract: