Yangru Wu

Rutgers University, Newark - School of Business - Department of Finance & Economics

Professor

1 Washington Park

Newark, NJ 07102

United States

http://andromeda.rutgers.edu/~yangruwu

SCHOLARLY PAPERS

28

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Top 7,910

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11,936

TOTAL CITATIONS
Rank 8,586

SSRN RANKINGS

Top 8,586

in Total Papers Citations

111

Scholarly Papers (28)

1.

Exploiting Closed-End Fund Discounts: A Systematic Examination of Alphas

Patro, Dilip, Piccotti, Louis R. and Wu, Yangru. (2017). Exploiting Closed-End Fund Discounts: A Systematic Examination of Alphas, Journal of Financial Research 40, 223-248
Number of pages: 50 Posted: 19 Jul 2014 Last Revised: 16 Jun 2017
OCC, Oklahoma State University - Stillwater - Spears School of Business and Rutgers University, Newark - School of Business - Department of Finance & Economics
Downloads 3,231 (8,124)
Citation 1

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Closed-end fund puzzle, limits to arbitrage, market efficiency

2.

Geopolitical Risk and Investment

Journal of Money, Credit and Banking, Forthcoming
Number of pages: 59 Posted: 07 Jan 2019 Last Revised: 09 Jan 2023
Xinjie Wang, Yangru Wu and Weike Xu
Southern University of Science and Technology, Rutgers University, Newark - School of Business - Department of Finance & Economics and Clemson University - Department of Finance
Downloads 2,268 (14,272)
Citation 30

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geopolitical risk, uncertainty, corporate investment, irreversibility, convexity

3.

The Impact of Macroeconomic and Financial Variables on Market Risk: Evidence from International Equity Returns

Number of pages: 40 Posted: 23 Feb 2001
Dilip K. Patro, Yangru Wu and John K. Wald
OCC, Rutgers University, Newark - School of Business - Department of Finance & Economics and University of Texas at San Antonio
Downloads 728 (75,399)
Citation 1

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World market risk, determinants of country risk exposure, panel estimation

Explosive Behavior in the 1990s Nasdaq: When did Exuberance Escalate Asset Values?

Cowles Foundation Discussion Paper No. 1699
Number of pages: 37 Posted: 05 Jun 2009
Peter C. B. Phillips, Yangru Wu and Jun Yu
University of Auckland Business School, Rutgers University, Newark - School of Business - Department of Finance & Economics and Singapore Management University - School of Economics
Downloads 284 (226,740)
Citation 25

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explosive root, irrational exuberance, mildly explosive process, Nasdaq bubble, periodically collapsing bubble, sup test, unit root test

5.

Changes in Ownership Breadth and Capital Market Anomalies

Journal of Portfolio Management, Forthcoming
Number of pages: 28 Posted: 19 Jun 2017 Last Revised: 07 Jun 2021
Yangru Wu and Weike Xu
Rutgers University, Newark - School of Business - Department of Finance & Economics and Clemson University - Department of Finance
Downloads 546 (108,920)

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Institutional investors, Capital market anomalies, Performance enhancement

6.

A Seesaw Effect in the Cryptocurrency Market: Understanding the Lead–Lag Effect Among Cryptocurrencies

Number of pages: 70 Posted: 17 Oct 2019 Last Revised: 25 May 2023
Yuecheng Jia, Yangru Wu, Shu Yan and Chenxi YIN
Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development, Rutgers University, Newark - School of Business - Department of Finance & Economics, Oklahoma State University - Stillwater - Department of Finance and Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development
Downloads 536 (111,465)
Citation 1

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Cryptocurrency, Cross Predictability, Lead–Lag, Seesaw Effect, LASSO, Money Flow

7.

Funding Liquidity Shocks in a Quasi-Experiment: Evidence from the CDS Big Bang

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 45 Posted: 12 Feb 2016 Last Revised: 11 May 2020
Southern University of Science and Technology, Rutgers University, Newark - School of Business - Department of Finance & Economics, DePaul University and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 514 (117,095)
Citation 16

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funding liquidity, arbitrage, basis, CDS Big Bang, standardization, central clearing

8.

Technical Trading-Rule Profitability, Data Snooping, and Reality Check: Evidence from the Foreign Exchange Market

Journal of Money, Credit and Banking, Vol. 38, pp. 2135-2158, December 8, 2005
Number of pages: 35 Posted: 15 Mar 2010
Min Qi and Yangru Wu
Government of the United States of America - Office of the Comptroller of the Currency (OCC) and Rutgers University, Newark - School of Business - Department of Finance & Economics
Downloads 467 (131,401)
Citation 2

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Foreign Exchange, Technical Trading, Data Snooping, Reality Check

9.

The Information Content of the Term Structure of Risk-Neutral Skewness

Number of pages: 54 Posted: 20 May 2017 Last Revised: 21 Sep 2018
Paul Borochin, Hao Chang and Yangru Wu
University of Florida - Department of Finance, Insurance and Real Estate, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Rutgers University, Newark - School of Business - Department of Finance & Economics
Downloads 461 (133,466)
Citation 5

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Risk-Neutral Skewness, Term Structure, Return Predictability, Hedging Demand, Informed Trading, Skewness Preference

10.

Information Spillovers and Predictable Currency Returns: An Analysis via Machine Learning

Number of pages: 69 Posted: 03 Feb 2019 Last Revised: 16 Mar 2024
Yuecheng Jia, Yangru Wu and Shu Yan
Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development, Rutgers University, Newark - School of Business - Department of Finance & Economics and Oklahoma State University - Stillwater - Department of Finance
Downloads 413 (151,909)
Citation 1

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Foreign Exchange, Currency Return, Post — LASSO, Information Spillovers

11.

Accruals and Momentum

AFA 2012 Chicago Meetings Paper
Number of pages: 45 Posted: 15 Mar 2011 Last Revised: 02 Mar 2015
Ming Gu and Yangru Wu
Xiamen University - School of Economics and Rutgers University, Newark - School of Business - Department of Finance & Economics
Downloads 379 (167,259)
Citation 1

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momentum, accruals, earnings overestimation, earnings manipulation

12.

Economic Policy Uncertainty and Momentum

Financial Management, Forthcoming
Number of pages: 52 Posted: 04 Mar 2018 Last Revised: 09 Jul 2020
Ming Gu, Minxing Sun, Yangru Wu and Weike Xu
Xiamen University - School of Economics, University of North Georgia, Rutgers University, Newark - School of Business - Department of Finance & Economics and Clemson University - Department of Finance
Downloads 339 (189,129)
Citation 12

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Economic Policy Uncertainty, Time-Series Variation of Momentum, Fund-Flow-Induced Trading

13.

Heterogeneous Background Risks and Portfolio Choice: Evidence from Micro-Level Data

Journal of Money, Credit and Banking, Forthcoming
Number of pages: 50 Posted: 16 Feb 2009 Last Revised: 05 Nov 2014
Darius Palia, Yaxuan Qi and Yangru Wu
Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics, City University of Hong Kong (CityU) - Department of Economics & Finance and Rutgers University, Newark - School of Business - Department of Finance & Economics
Downloads 287 (225,880)
Citation 14

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background risks, stock market participation, portfolio choice, asset returns

14.

Productivity, Asset Return, and International Index Momentum

EFA 2008 Athens Meetings
Number of pages: 38 Posted: 26 Feb 2008
Zhiwu Chen, Yangru Wu and Hong Zhang
The University of Hong Kong - Faculty of Business and Economics, Rutgers University, Newark - School of Business - Department of Finance & Economics and Singapore Management University - Lee Kong Chian School of Business
Downloads 244 (266,319)

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15.

Monopolistic Competition, Increasing Returns to Scale, and the Welfare Costs of Inflation

Number of pages: 32 Posted: 25 Mar 1998
Junxi Zhang and Yangru Wu
The University of Hong Kong - School of Economics and Finance and Rutgers University, Newark - School of Business - Department of Finance & Economics
Downloads 215 (300,909)

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16.

Effective Fair Pricing of International Mutual Funds

Number of pages: 52 Posted: 17 Mar 2005 Last Revised: 03 Jun 2012
Choong Tze Chua, Sandy Lai and Yangru Wu
Singapore Management University, University of Hong Kong and Rutgers University, Newark - School of Business - Department of Finance & Economics
Downloads 198 (325,026)
Citation 1

Abstract:

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Stale pricing, Fair pricing, International mutual funds, Stepwise regression

17.

Ambiguity Aversion and Asset Price Dynamics

Number of pages: 61 Posted: 04 Oct 2016 Last Revised: 14 Aug 2019
Louis R. Piccotti and Yangru Wu
Oklahoma State University - Stillwater - Spears School of Business and Rutgers University, Newark - School of Business - Department of Finance & Economics
Downloads 178 (358,326)

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Ambiguity aversion, Empirical asset pricing, Risk premium

18.

Sovereign Debt Ratings and Stock Liquidity Around the World

Published: Journal of Banking & Finance 73, 99-112, 2016
Number of pages: 49 Posted: 02 Dec 2013 Last Revised: 10 Feb 2017
Kuan-Hui Lee, Horacio Sapriza and Yangru Wu
Seoul National University Business School, Federal Reserve Banks - Federal Reserve Bank of Richmond and Rutgers University, Newark - School of Business - Department of Finance & Economics
Downloads 156 (401,714)

Abstract:

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sovereign bond; credit rating; liquidity; emerging market; developed market; international financial market

19.

Productivity, Asset Returns, and International Index Momentum

Number of pages: 38 Posted: 17 Mar 2008
Zhiwu Chen, Yangru Wu and Hong Zhang
The University of Hong Kong - Faculty of Business and Economics, Rutgers University, Newark - School of Business - Department of Finance & Economics and Singapore Management University - Lee Kong Chian School of Business
Downloads 152 (410,549)
Citation 1

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20.

Optimal Consumption and Portfolio Choice For Long-Horizon Investors with Nontradable Labor Income When Asset Returns are Predictable

Number of pages: 49 Posted: 01 Oct 2011 Last Revised: 22 Feb 2012
Hui-Ju Tsai and Yangru Wu
Washington College - Department of Business Management and Rutgers University, Newark - School of Business - Department of Finance & Economics
Downloads 131 (462,645)

Abstract:

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portfolio choice, consumption, predictability, labor income

21.

An 'Online' Growth Premium: What Does Daily Online Sales Growth Say About Retail Investors’ Behavior and Stock Returns?

Number of pages: 65 Posted: 27 Apr 2022 Last Revised: 29 Feb 2024
Yuecheng Jia and Yangru Wu
Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development and Rutgers University, Newark - School of Business - Department of Finance & Economics
Downloads 117 (505,071)

Abstract:

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Daily Online Sales Growth, Growth Premium, Retail Investors

22.

The Co-Movements of Stock, Bond, and CDS Illiquidity Before, During and After the Global Financial Crisis

Journal of Financial Research, Forthcoming
Number of pages: 56 Posted: 28 Dec 2018 Last Revised: 12 Oct 2020
Xinjie Wang, Yangru Wu and Zhaodong Zhong
Southern University of Science and Technology, Rutgers University, Newark - School of Business - Department of Finance & Economics and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 92 (598,471)

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23.

Predictability of Short-Horizon Returns in International Equity Markets

Posted: 03 Jun 2004
Dilip K. Patro and Yangru Wu
OCC and Rutgers University, Newark - School of Business - Department of Finance & Economics

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International equity markets, Predictability, Variance ratio, Momentum strategies

24.

Explaining Exchange Rate Risk in World Stock Markets: A Panel Approach

Posted: 06 Oct 2002
Dilip K. Patro, John K. Wald and Yangru Wu
OCC, University of Texas at San Antonio and Rutgers University, Newark - School of Business - Department of Finance & Economics

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Foreign exchange exposure, Determinants of currency risk, Panel estimation

25.

Mean Reversion in Interest Rates: New Evidence from a Panel of OECD Countries

Posted: 11 May 2000
Hua Zhang and Yangru Wu
The Chinese University of Hong Kong (CUHK) - Department of Finance and Rutgers University, Newark - School of Business - Department of Finance & Economics

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26.

Are Real Exchange Rates Non-Stationary? Evidence from a Panel-Data Test

JOURNAL OF MONEY, CREDIT, AND BANKING Vol 28 No 1 February 1995
Posted: 23 Aug 1998
Yangru Wu
Rutgers University, Newark - School of Business - Department of Finance & Economics

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27.

Hysteresis in Unemployment: Evidence from 48 U.S. States

Economic Inquiry, Vol. 35, No. 2, April 1997
Posted: 17 Jul 1998
Frank M. Song and Yangru Wu
The University of Hong Kong - School of Economics and Finance and Rutgers University, Newark - School of Business - Department of Finance & Economics

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28.

Rational Bubbles in the Stock Market: Accounting for the U.S. Stock-Price Volatility

Economic Inquiry, Volume XXXV, Number 2, April 1997
Posted: 13 May 1998
Yangru Wu
Rutgers University, Newark - School of Business - Department of Finance & Economics

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