Kai Wang

Central University of Finance and Economics (CUFE)

Assistant Professor of Finance

39 South College Road

Haidian District

Beijing, Beijing 100081

China

SCHOLARLY PAPERS

6

DOWNLOADS

1,378

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (6)

1.

Frequent Batch Auctions vs. Continuous Trading: Evidence from Taiwan

Number of pages: 52 Posted: 29 Jan 2021 Last Revised: 31 Dec 2022
Peking University - Guanghua School of Management, Norwegian School of Economics (NHH) - Department of Finance and Central University of Finance and Economics (CUFE)
Downloads 576 (72,595)

Abstract:

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frequent batch auction, continuous trading, market quality, market efficiency, abnormal return, investor performance

2.

The Cross-Sectional Variation of Skewness Risk Premia

Number of pages: 48 Posted: 30 Aug 2017 Last Revised: 14 Nov 2018
Kai Wang
Central University of Finance and Economics (CUFE)
Downloads 264 (176,052)

Abstract:

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Skewness risk premia, Cross section, Variance risk premium, Linear factor models, Consumption-based models

3.

Risk-Neutral Cumulants, Expected Risk Premia, and Future Stock Returns

Number of pages: 77 Posted: 07 Dec 2018
Kai Wang
Central University of Finance and Economics (CUFE)
Downloads 199 (229,591)
Citation 1

Abstract:

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Risk-Neutral Cumulants, Expected Risk Premium, Cross-Section Return Predictability, Partial Least Squares Estimation, Short-Selling Constraints, Informed Trading

4.

Climate Concern and Return Predictability: International Evidence

Number of pages: 34 Posted: 10 Mar 2022
Yulong Sun and Kai Wang
University of Science and Technology of China (USTC) and Central University of Finance and Economics (CUFE)
Downloads 156 (283,331)

Abstract:

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Asset pricing, Climate change, Media coverage, CO2 emissions, Return predictability

5.

Fear Propagation and Return Dynamics

Number of pages: 48 Posted: 12 Feb 2021 Last Revised: 01 Oct 2022
Yulong Sun and Kai Wang
University of Science and Technology of China (USTC) and Central University of Finance and Economics (CUFE)
Downloads 118 (351,386)

Abstract:

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Business cycles; Fear propagation; Precious metals; Return predictability; State-switching model; Tail risk.

6.

The Empirical Performance of Option Implied Volatility Surface-Driven Optimal Portfolios

BAFFI CAREFIN Centre Research Paper No. 190
Number of pages: 45 Posted: 06 Dec 2022 Last Revised: 19 Dec 2022
Massimo Guidolin and Kai Wang
University of Liverpool Management School and Central University of Finance and Economics (CUFE)
Downloads 65 (506,954)

Abstract:

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Equity options, Implied volatility surface, Predictability, optimal portfolios