Kevin Q. Wang

University of Toronto - Joseph L. Rotman School of Management

105 St. George Street

Toronto, Ontario M5S 3E6

Canada

SCHOLARLY PAPERS

12

DOWNLOADS
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Top 4,777

in Total Papers Downloads

7,018

CITATIONS
Rank 3,669

SSRN RANKINGS

Top 3,669

in Total Papers Citations

148

Scholarly Papers (12)

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 1,875 (5,314)

Abstract:

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 1,092 (13,245)

Abstract:

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 897 (16,444)
Citation 2

Abstract:

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 545 (32,213)
Citation 5

Abstract:

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 472 (46,068)

Abstract:

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

6.

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 357 (61,209)
Citation 34

Abstract:

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

7.

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
Singapore Management University, University of Toronto - Joseph L. Rotman School of Management and Iowa State University
Downloads 352 (56,398)

Abstract:

Price shocks, disclosures, disagreement, drift, stock return

8.

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

EFA 2004 Maastricht Meetings Paper No. 3184
Number of pages: 41 Posted: 02 Jul 2004
Kevin Q. Wang
University of Toronto - Joseph L. Rotman School of Management
Downloads 268 (87,826)
Citation 3

Abstract:

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

9.

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 237 (100,910)
Citation 62

Abstract:

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 157 (133,954)
Citation 37

Abstract:

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 124 (180,147)
Citation 3

Abstract:

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

12.

Estimation of Structural Nonlinear Errors-in-Varibles Models by Simulated Least-Squares Method

International Economic Review, Vol. 41, No. 2, May 2000
Number of pages: 20 Posted: 28 Mar 2001 Last Revised: 10 Feb 2009
Cheng Hsiao and Kevin Q. Wang
University of Southern California - Department of Economics and University of Toronto - Joseph L. Rotman School of Management
Downloads 49 (311,241)
Citation 2

Abstract: