Kevin Q. Wang

University of Toronto - Joseph L. Rotman School of Management

105 St. George Street

Toronto, Ontario M5S 3E6

Canada

  • University of Toronto - Joseph L. Rotman School of Management

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SCHOLARLY PAPERS

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Scholarly Papers (11)

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1.

Buy High and Sell Low

Number of pages: 42 Posted: 26 Mar 2008 Last Revised: 10 Jan 2011
Kevin Q. Wang
University of Toronto - Joseph L. Rotman School of Management
Downloads 2,354 (10,863)

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Relative price level, mean-reversion, trading range, investor conservatism, underreaction, technical analysis

2.

Market Volatility and Momentum

Number of pages: 37 Posted: 16 Feb 2009 Last Revised: 23 Nov 2009
Kevin Q. Wang and Jianguo Xu
University of Toronto - Joseph L. Rotman School of Management and McGill University
Downloads 1,492 (22,177)
Citation 21

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Market volatility, momentum effect, time-series predictability of momentum, asymmetric predictability, default risk, volatile down markets, realized volatility

3.

Time-Varying Momentum Profitability

Number of pages: 49 Posted: 14 Jan 2010 Last Revised: 19 Oct 2010
Kevin Q. Wang and Jianguo Xu
University of Toronto - Joseph L. Rotman School of Management and Beijing University
Downloads 1,194 (30,806)
Citation 8

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Momentum; time-series predictability; market volatility; time-varying sentiment

4.

Multifactor Evaluation of Style Rotation

Journal of Financial and Quantitative Analysis (JFQA), Vol. 40, No. 2, 2005
Number of pages: 45 Posted: 08 Feb 2009 Last Revised: 10 Feb 2009
Kevin Q. Wang
University of Toronto - Joseph L. Rotman School of Management
Downloads 792 (54,689)
Citation 2

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5.

Exploring Multifactor Models: Horse Races, Forecasts, and Bootstrap

U of Toronto, Management Working Paper
Number of pages: 49 Posted: 03 Dec 2001
Kevin Q. Wang
University of Toronto - Joseph L. Rotman School of Management
Downloads 542 (88,857)

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Multifactor models, asset pricing, model selection, forecasts, horse races, bootstrap

6.

Price Shocks, News Disclosures, and Asymmetric Drifts

Accounting Review, Vol. 89, No. 5, 2014
Number of pages: 52 Posted: 08 Aug 2009 Last Revised: 13 Jan 2016
Hai Lu, Kevin Q. Wang and Xiaolu Wang
University of Toronto - Rotman School of Management, University of Toronto - Joseph L. Rotman School of Management and Iowa State University
Downloads 537 (89,928)
Citation 3

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Price shocks, disclosures, disagreement, drift, stock return

7.

Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns

Journal of Finance, Vol. 59, pp. 2211-2252, 2004
Number of pages: 42 Posted: 04 Mar 2002 Last Revised: 10 Feb 2009
Kris Jacobs and Kevin Q. Wang
University of Houston - C.T. Bauer College of Business and University of Toronto - Joseph L. Rotman School of Management
Downloads 441 (113,953)
Citation 22

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Cross-sectional Asset Pricing, Consumption-based Model, Idiosyncratic Consumption Risk, Incomplete Markets, Measurement Error

8.

Time-Varying Risk Aversion and Unexpected Inflation

Journal of Monetary Economics, Vol. 50, 2003
Number of pages: 42 Posted: 08 Feb 2009 Last Revised: 10 Feb 2009
Michael W. Brandt and Kevin Q. Wang
Duke University - Fuqua School of Business and University of Toronto - Joseph L. Rotman School of Management
Downloads 381 (134,887)
Citation 13

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9.

Conditioning Information, Out-of-Sample Validation, and the Cross-Section of Stock Returns

Number of pages: 41 Posted: 02 Jul 2004
Kevin Q. Wang
University of Toronto - Joseph L. Rotman School of Management
Downloads 332 (156,636)
Citation 5

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Credit Spread, Credit risk modelling, Corporate bonds, Correlation, GARCH models

10.

Asset Pricing with Conditioning Information: A New Test

Journal of Finance, Vol. 58, pp. 161-196, 2003
Number of pages: 36 Posted: 17 Jun 2003 Last Revised: 10 Feb 2009
Kevin Q. Wang
University of Toronto - Joseph L. Rotman School of Management
Downloads 226 (231,324)
Citation 10

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11.

Nonparametric Tests of Conditional Mean-Variance Efficiency of a Benchmark Portfolio

Journal of Empirical Finance, Vol. 9, 2002
Number of pages: 37 Posted: 11 Feb 2009
Kevin Q. Wang
University of Toronto - Joseph L. Rotman School of Management
Downloads 166 (305,069)

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Mean-variance efficiency, Nonparametric tests, Conditional CAPM, Portfolio choice, Nonparametric discount factor