Wei Dai

Princeton University - Department of Operations Research & Financial Engineering (ORFE)

Sherrerd Hall, Charlton Street

Princeton, NJ 08544

United States

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

Robust Measures of Earnings Surprises

Journal of Finance, Forthcoming
Number of pages: 52 Posted: 29 Jul 2014 Last Revised: 06 May 2018
Independent, Princeton University - Department of Operations Research & Financial Engineering (ORFE), Princeton University - Bendheim Center for Finance, Columbia University, Graduate School of Arts and Sciences, Department of Economics and Singapore Management University
Downloads 1,301 (14,219)

Abstract:

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Event Studies, Efficient Markets, Earnings Announcements, Post-Earnings Announcement Drift

2.

What Does the Volatility Risk Premium Say About Liquidity Provision and Demand for Hedging Tail Risk?

Journal of Business and Economic Statistics (Forthcoming)
Number of pages: 58 Posted: 17 Mar 2013 Last Revised: 03 Feb 2016
Princeton University - Bendheim Center for Finance, Claremont Colleges - Peter F. Drucker Graduate School of Management and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 500 (54,342)

Abstract:

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volatility risk premium, integrated volatility, ultra-high-frequency data, microstructure noise, Fourier transform, tail risk, Big Data risk analytics