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

30

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7,130

CITATIONS
Rank 12,981

SSRN RANKINGS

Top 12,981

in Total Papers Citations

57

Scholarly Papers (30)

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 2,747 (4,202)
Citation 1

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

2.

Momentum Trading, Mean Reversal and Overreaction in Chinese Stock Market

HKIMR Working Paper No. 23/2004
Number of pages: 23 Posted: 23 Aug 2007
Yangru Wu
Rutgers University, Newark - School of Business - Department of Finance & Economics
Downloads 679 (37,000)
Citation 2

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Chinese Stocks, Mean Reversal, Momentum, Overreaction

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 594 (43,575)
Citation 1

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

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

European Financial Management, Vol. 8, pp. 421-447, 2002
Number of pages: 27 Posted: 13 Feb 2003
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 25 (505,534)
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4.

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
Office of the Comptroller of the Currency - Credit Risk Analysis Division and Rutgers University, Newark - School of Business - Department of Finance & Economics
Downloads 309 (97,062)
Citation 1

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Foreign Exchange, Technical Trading, Data Snooping, Reality Check

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
Yale University - Cowles Foundation, Rutgers University, Newark - School of Business - Department of Finance & Economics and Singapore Management University
Downloads 184 (162,948)
Citation 11

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

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

HKIMR Working Paper No. 22/2007
Number of pages: 40 Posted: 12 Feb 2008
Peter C. B. Phillips, Yangru Wu and Jun Yu
Yale University - Cowles Foundation, Rutgers University, Newark - School of Business - Department of Finance & Economics and Singapore Management University
Downloads 117 (237,262)
Citation 5

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Explosive root, irrational exuberance, mildly explosive process, Nasdaq bubble, periodically collapsing bubble, sup test, time-varying discount rate, unit root test

Explosive Behavior in the 1990s' NASDAQ: When Did Exuberance Escalate Asset Values?

International Economic Review, Vol. 52, No. 1, pp. 201-226, 2011
Number of pages: 26 Posted: 09 Mar 2011
Peter C. B. Phillips and Yangru Wu
Yale University - Cowles Foundation and Rutgers University, Newark - School of Business - Department of Finance & Economics
Downloads 2 (666,657)
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6.

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

29th Australasian Finance and Banking Conference 2016
Number of pages: 57 Posted: 12 Feb 2016 Last Revised: 26 Oct 2018
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 272 (111,303)
Citation 3

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

7.

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 230 (132,095)
Citation 1

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momentum, accruals, earnings overestimation, earnings manipulation

8.

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 (CityUHK) - Department of Economics & Finance and Rutgers University, Newark - School of Business - Department of Finance & Economics
Downloads 218 (139,184)
Citation 7

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

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 Miami, 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 166 (178,452)
Citation 3

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

10.

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
University of Hong Kong, Rutgers University, Newark - School of Business - Department of Finance & Economics and Tsinghua University - PBC School of Finance
Downloads 156 (188,122)

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11.

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

Number of pages: 44 Posted: 03 Feb 2019
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 155 (189,165)

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

12.

Stock Market Integration, Return Forecastability and Implications for Market Efficiency: A Panel Study

HKIMR Working Paper No. 11/2002
Number of pages: 29 Posted: 25 Aug 2007
Ronald J. Balvers and Yangru Wu
McMaster University - Michael G. DeGroote School of Business and Rutgers University, Newark - School of Business - Department of Finance & Economics
Downloads 155 (189,165)

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13.

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 147 (197,598)

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14.

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 146 (198,725)

Abstract:

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

15.

Economic Policy Uncertainty and Momentum

Number of pages: 41 Posted: 04 Mar 2018 Last Revised: 14 May 2019
Ming Gu, Minxing Sun, Yangru Wu and Weike Xu
Xiamen University - School of Economics, Clemson University - Department of Finance, Rutgers University, Newark - School of Business - Department of Finance & Economics and Clemson University - Department of Finance
Downloads 140 (205,593)
Citation 2

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

16.

Changes in Ownership Breadth and Capital Market Anomalies

Number of pages: 50 Posted: 19 Jun 2017 Last Revised: 20 Oct 2018
Yangru Wu and Weike Xu
Rutgers University, Newark - School of Business - Department of Finance & Economics and Clemson University - Department of Finance
Downloads 118 (234,771)

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Institutional investors, Capital market anomalies, Market efficiency

17.

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, Board of Governors of the Federal Reserve System and Rutgers University, Newark - School of Business - Department of Finance & Economics
Downloads 114 (240,644)

Abstract:

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

18.

Productivity, Asset Returns, and International Index Momentum

Number of pages: 38 Posted: 17 Mar 2008
Zhiwu Chen, Yangru Wu and Hong Zhang
University of Hong Kong, Rutgers University, Newark - School of Business - Department of Finance & Economics and Tsinghua University - PBC School of Finance
Downloads 111 (245,233)

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19.

Optimal Transaction Filters Under Transitory Trading Opportunities: Theory and Empirical Illustration

HKIMR Working Paper No. 02/2005
Number of pages: 36 Posted: 23 Aug 2007
Ronald J. Balvers and Yangru Wu
McMaster University - Michael G. DeGroote School of Business and Rutgers University, Newark - School of Business - Department of Finance & Economics
Downloads 99 (265,437)

Abstract:

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Transaction Costs, Filter Rules, Trading Strategies, Foreign Exchange

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 85 (292,595)

Abstract:

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portfolio choice, consumption, predictability, labor income

21.

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 74 (317,622)

Abstract:

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Ambiguity aversion, Empirical asset pricing, Risk premium

22.

Geopolitical Risk and Investment

Number of pages: 52 Posted: 07 Jan 2019 Last Revised: 02 Aug 2019
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 68 (332,785)

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geopolitical risk, uncertainty, corporate investment, irreversibility, convexity

23.

Do Post-Crisis Regulations Affect Market Liquidity? Evidence from the Co-Movement of Stock, Bond, and CDS Illiquidity

Number of pages: 51 Posted: 28 Dec 2018
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 19 (525,076)

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24.

Performance of Foreign and Global Mutual Funds: The Role of Security Selection, Region‐Shifting, and Style‐Shifting Abilities

Financial Review, Vol. 50, Issue 4, pp. 517-545, 2015
Number of pages: 29 Posted: 26 Oct 2015
Hui‐Ju Tsai and Yangru Wu
Washington College and Rutgers University, Newark - School of Business - Department of Finance & Economics
Downloads 0 (666,709)
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global and foreign funds, performance persistence, region‐shifting abilities, style‐shifting abilities, security selection abilities

25.

Predictability of Short-Horizon Returns in International Equity Markets

Journal of Empirical Finance, Forthcoming
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

26.

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

Journal of Banking and Finance, Vol. 26, pp. 1951-1972, 2002
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

27.

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

JOURNAL OF MONEY, CREDIT AND BANKING, Vol. 28, No. 4, Part 1, November 1996
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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28.

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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29.

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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30.

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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