Wei Liu

Texas A&M University - Department of Finance

430 Wehner

College Station, TX 77843-4218

United States

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 26,034

SSRN RANKINGS

Top 26,034

in Total Papers Downloads

1,756

CITATIONS

2

Scholarly Papers (7)

1.

Two Market Forces in Asset Prices

Number of pages: 63 Posted: 15 Mar 2012 Last Revised: 05 Aug 2018
Texas A&M University - Department of Finance, Texas A&M University - Department of Finance and Texas A&M University - Department of Statistics
Downloads 434 (65,040)

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asset pricing, zero-beta CAPM, market volatility

2.

A New Investment Technology: The ZCAPM

Mays Business School Research Paper No. 2885467
Number of pages: 31 Posted: 24 May 2017 Last Revised: 03 Apr 2019
Texas A&M University - Department of Finance, Texas A&M University - Department of Finance and Texas A&M University - Department of Statistics
Downloads 387 (74,589)

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Investment Portfolios, Market Index, Return Dispersion

3.

The CAPM Works Better for Average Daily Returns

Mays Business School Research Paper No. 2826683
Number of pages: 27 Posted: 21 Aug 2016 Last Revised: 06 Sep 2018
Texas A&M University - Department of Finance, Texas A&M University - Department of Finance and University of Vaasa, Department of Mathematics and Statistics
Downloads 334 (88,395)

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CAPM, cross-sectional tests, expected returns, realized returns

4.

Return Dispersion and the Cross-Section of Stock Returns

Number of pages: 86 Posted: 29 Jun 2018 Last Revised: 23 Jun 2019
Texas A&M University - Department of Finance, Texas A&M University - Department of Finance and Texas A&M University - Department of Statistics
Downloads 221 (136,298)
Citation 2

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Asset Pricing, Cross-sectional Stock Returns, EM Regression, Return Dispersion

5.

Market Risk and the Momentum Mystery

Number of pages: 39 Posted: 21 Nov 2018 Last Revised: 09 Feb 2019
James W. Kolari and Wei Liu
Texas A&M University - Department of Finance and Texas A&M University - Department of Finance
Downloads 183 (162,473)

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momentum, market risk, return dispersion, asset pricing

6.

CAPM: A Covariance Adjustment Approach for Estimating Market Beta

Number of pages: 47 Posted: 10 Mar 2016 Last Revised: 25 May 2016
Texas A&M University - Department of Finance, Texas A&M University - Department of Finance and University of Vaasa, Department of Mathematics and Statistics
Downloads 136 (208,812)

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asset pricing, CAPM, cross-sectional tests, market beta

7.

Multifactor Market Indexes

Mays Business School Research Paper No. 3086832
Number of pages: 44 Posted: 15 Dec 2017 Last Revised: 11 Apr 2019
Wei Liu and James W. Kolari
Texas A&M University - Department of Finance and Texas A&M University - Department of Finance
Downloads 61 (349,039)

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efficient portfolios, market, beta, market index, multifactors