Tianyu Wang

Tsinghua University, School of Economics and Management

Beijing, 100084

China

  • Tsinghua University, School of Economics and Management

SCHOLARLY PAPERS

8

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2,292

SSRN CITATIONS
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SSRN RANKINGS

Top 7,863

in Total Papers Citations

175

CROSSREF CITATIONS

28

Scholarly Papers (8)

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1.

Do Foreign Institutional Investors Improve Price Efficiency?

Downloads 63 (17,183)
Citation 36

Do Foreign Investors Improve Market Efficiency?

NBER Working Paper No. w24765
Number of pages: 67 Posted: 06 Jul 2018 Last Revised: 03 Mar 2023
Marcin T. Kacperczyk, Savitar Sundaresan and Tianyu Wang
Imperial College London - Accounting, Finance, and Macroeconomics, Imperial College Business School and Tsinghua University, School of Economics and Management
Downloads 63 (601,533)
Citation 4

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2.

Currency Mispricing and Dealer Balance Sheets

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Citation 49

Currency Mispricing and Dealer Balance Sheets

Journal of Finance, Forthcoming
Number of pages: 89 Posted: 12 Feb 2019 Last Revised: 12 Dec 2020
Gino Cenedese, Pasquale Della Corte and Tianyu Wang
Fulcrum Asset Management, Imperial College Business School and Tsinghua University, School of Economics and Management
Downloads 409 (123,824)
Citation 9

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Exchange rates, dollar basis covered interest parity condition, arbitrage opportunities

Currency Mispricing and Dealer Balance Sheets

Bank of England Working Paper No. 779
Number of pages: 55 Posted: 19 Feb 2019
Gino Cenedese, Pasquale Della Corte and Tianyu Wang
Fulcrum Asset Management, Imperial College Business School and Tsinghua University, School of Economics and Management
Downloads 316 (164,825)
Citation 14

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exchange rates, dollar basis covered interest parity condition, arbitrage opportunities

Currency Mispricing and Dealer Balance Sheets

CEPR Discussion Paper No. DP15569
Number of pages: 92 Posted: 23 Dec 2020
Gino Cenedese, Pasquale Della Corte and Tianyu Wang
Fulcrum Asset Management, Imperial College Business School and Tsinghua University, School of Economics and Management
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Citation 28
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3.

Overnight-Intraday Reversal Everywhere

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Citation 1

Overnight-Intraday Reversal Everywhere

Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 52 Posted: 11 Feb 2016 Last Revised: 13 Sep 2023
Robert Kosowski, Chun Liu, Chun Liu, Yang Liu and Tianyu Wang
Imperial College Business School, University of TorontoTsinghua University - School of Economics and Management, Hunan University - College of Finance and Statistics and Tsinghua University, School of Economics and Management
Downloads 407 (124,505)
Citation 1

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Overnight return, Intraday return, Short-term reversal, Liquidity provision

Overnight-Intraday Reversal Everywhere

Number of pages: 52 Posted: 17 Oct 2023
Robert Kosowski, Chun Liu, Chun Liu, Yang Liu and Tianyu Wang
Imperial College Business School, University of TorontoTsinghua University - School of Economics and Management, Hunan University - College of Finance and Statistics and Tsinghua University, School of Economics and Management
Downloads 279 (189,224)

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Overnight return, Intraday return, Short-term reversal, Liquidity provision

4.

The Correlation Risk Premium: International Evidence

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Citation 6

The Correlation Risk Premium: International Evidence

CEPR Discussion Paper No. DP16389
Number of pages: 46 Posted: 22 Sep 2021
Gonçalo Faria, Robert Kosowski and Tianyu Wang
Catholic University of Portugal (UCP) - School of Economics and Management and CEGE, Imperial College Business School and Tsinghua University, School of Economics and Management
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correlation risk premium, implied correlation, international equity options, realized correlation, variance risk premium

5.

Global Volatility and Firm-Level Capital Flows

Number of pages: 64 Posted: 13 Apr 2022 Last Revised: 08 May 2023
Marcin T. Kacperczyk, Jaromir Nosal and Tianyu Wang
Imperial College London - Accounting, Finance, and Macroeconomics, Boston College and Tsinghua University, School of Economics and Management
Downloads 328 (159,482)

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global financial flows, global volatility, institutional flows, information choice, emerging markets

6.

Informed Trading in Government Bond Markets

Downloads 82 (180,233)
Citation 18

Informed trading in government bond markets

Bank of England Working Paper No. 871
Number of pages: 55 Posted: 18 Jun 2020
Robert Czech, Shiyang Huang, Dong Lou and Tianyu Wang
Bank of England, The University of Hong Kong - Faculty of Business and Economics, London School of Economics & Political Science (LSE) and Tsinghua University, School of Economics and Management
Downloads 82 (517,599)
Citation 15

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Government bonds, informed trading, return predictability, asset managers

7.

Variation in Put-Call Parity Violation and Option Returns

Number of pages: 51 Posted: 04 Aug 2022 Last Revised: 11 Nov 2022
Chun Liu, Chun Liu, Tianyu Wang, Yintian Wang and Hong Xiang
University of TorontoTsinghua University - School of Economics and Management, Tsinghua University, School of Economics and Management, Tsinghua University and The Hong Kong Polytechnic University
Downloads 221 (237,396)

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put-call parity, options return predictability

8.

An Unintended Consequence of Holding Dollar Assets

Bank of England Working Paper No. 953
Number of pages: 56 Posted: 08 Mar 2022
Robert Czech, Shiyang Huang, Dong Lou and Tianyu Wang
Bank of England, The University of Hong Kong - Faculty of Business and Economics, London School of Economics & Political Science (LSE) and Tsinghua University, School of Economics and Management
Downloads 187 (276,431)

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Covid crisis, gilt yields, variation margin, FX derivatives, global reserve currency, currency hedging