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

DOWNLOADS
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in Total Papers Downloads

9,577

SSRN CITATIONS
Rank 10,349

SSRN RANKINGS

Top 10,349

in Total Papers Citations

87

CROSSREF CITATIONS

48

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 3,106 (6,499)
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 1,230 (27,466)
Citation 18

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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 636 (67,816)
Citation 1

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

4.

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 458 (101,609)
Citation 3

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

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 249 (196,236)
Citation 25

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

6.

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 407 (116,739)

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Institutional investors, Capital market anomalies, Performance enhancement

7.

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 388 (123,298)
Citation 2

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Foreign Exchange, Technical Trading, Data Snooping, Reality Check

8.

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 371 (129,697)

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

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 349 (138,775)
Citation 5

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

10.

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 343 (141,360)
Citation 1

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momentum, accruals, earnings overestimation, earnings manipulation

11.

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

Number of pages: 48 Posted: 03 Feb 2019 Last Revised: 06 Feb 2022
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 314 (155,378)
Citation 1

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

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, Clemson University - Department of Finance, Rutgers University, Newark - School of Business - Department of Finance & Economics and Clemson University - Department of Finance
Downloads 262 (187,286)
Citation 7

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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 256 (191,639)
Citation 15

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

14.

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 190 (253,720)

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15.

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, Faculty of Business Economics (HKU Business School), Rutgers University, Newark - School of Business - Department of Finance & Economics and Singapore Management University, LKCSB
Downloads 181 (265,013)

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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 175 (272,888)
Citation 1

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

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 143 (323,016)

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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, Faculty of Business Economics (HKU Business School), Rutgers University, Newark - School of Business - Department of Finance & Economics and Singapore Management University, LKCSB
Downloads 134 (339,850)
Citation 1

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19.

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 112 (387,786)

Abstract:

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portfolio choice, consumption, predictability, labor income

20.

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 110 (392,780)

Abstract:

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Ambiguity aversion, Empirical asset pricing, Risk premium

21.

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

Number of pages: 64 Posted: 27 Apr 2022
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 90 (449,511)

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 73 (508,451)

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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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