Wenjin Kang

Faculty of Business Administration, University of Macau

Macau

Macau

SCHOLARLY PAPERS

16

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Top 7,359

in Total Papers Downloads

11,359

SSRN CITATIONS
Rank 6,731

SSRN RANKINGS

Top 6,731

in Total Papers Citations

242

CROSSREF CITATIONS

20

Scholarly Papers (16)

1.

Crowding and Factor Returns

Number of pages: 51 Posted: 15 Mar 2021
Wenjin Kang, K. Geert Rouwenhorst and Ke Tang
Faculty of Business Administration, University of Macau, Yale School of Management - International Center for Finance and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 2,532 (10,529)

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Crowding, Factor Investing, Carry, Momentum, Value, Commodity Futures, Commodities

2.

A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets

Journal of Finance, Forthcoming
Number of pages: 61 Posted: 14 Jun 2014 Last Revised: 22 Apr 2019
Wenjin Kang, K. Geert Rouwenhorst and Ke Tang
Faculty of Business Administration, University of Macau, Yale School of Management - International Center for Finance and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 2,432 (11,216)
Citation 68

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Commodity futures, liquidity provision, return predictability, theory of normal backwardation, hedging pressure, risk premium

3.

Stock Market Declines and Liquidity

Journal of Finance, Forthcoming, AFA 2007 Chicago Meetings Paper, EFA 2007 Ljubljana Meetings Paper
Number of pages: 49 Posted: 09 Mar 2006 Last Revised: 13 Nov 2008
Wenjin Kang, Allaudeen Hameed and S. Viswanathan
Faculty of Business Administration, University of Macau, National University of Singapore (NUS) - Department of Finance and Duke University - Fuqua School of Business
Downloads 1,638 (20,974)
Citation 85

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Liquidity, Market decline, Liquidity commonality, Price reversal

4.

Liquidity Beyond the Best Quote: A Study of the NYSE Limit Order Book

EFA 2007 Conference Paper, WFA 2008 Conference Paper
Number of pages: 58 Posted: 07 Mar 2006 Last Revised: 08 Feb 2009
Wenjin Kang and Wee Yong Yeo
Faculty of Business Administration, University of Macau and National University of Singapore (NUS) - Department of Accounting
Downloads 929 (47,847)
Citation 7

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Limit order, Liquidity, Market return, Volatility

5.

Relative Basis: A Better Measure of the Convenience Yield

Number of pages: 61 Posted: 21 Jun 2019 Last Revised: 19 Jun 2023
Ming Gu, Wenjin Kang, Dong Lou and Ke Tang
Xiamen University - School of Economics, Faculty of Business Administration, University of Macau, London School of Economics & Political Science (LSE) and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 848 (54,250)

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commodity markets, futures basis, convenience yield, commodity futures returns, theory of storage

6.

Stock Price Synchronicity and Liquidity

Number of pages: 38 Posted: 18 Mar 2008 Last Revised: 01 Jan 2013
Kalok Chan, Allaudeen Hameed and Wenjin Kang
CUHK Business School, National University of Singapore (NUS) - Department of Finance and Faculty of Business Administration, University of Macau
Downloads 806 (58,076)
Citation 15

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Liquidity, Price Synchronicity, adverse information risk

7.

The Illiquidity Premium: International Evidence

Journal of Financial Economics (JFE), Vol. 117, No. 2, 2015
Number of pages: 52 Posted: 28 Jan 2013 Last Revised: 27 Jan 2016
New York University - Stern School of Business, National University of Singapore (NUS) - Department of Finance, Faculty of Business Administration, University of Macau and James Cook University - College of Business, Law and Governance,
Downloads 544 (96,173)
Citation 74

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Illiquidity Premium, International Markets, Commonality in Illiquidity Premium

8.

The Road to Negative Futures Prices Is Paved with Financialization

Number of pages: 38 Posted: 20 Apr 2022 Last Revised: 13 May 2024
Tsinghua University - Institute of Economics, Faculty of Business Administration, University of Macau, Institute of Economics, School of Social Sciences, Tsinghua University, DePaul University and University of Toronto - Rotman School of Management
Downloads 357 (157,318)

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Commodity financialization, closing pressure, manipulation, TAS, negative oil futures price

9.

Measuring Liquidity in Emerging Markets

Number of pages: 45 Posted: 17 Sep 2013
Wenjin Kang and Huiping Zhang
Faculty of Business Administration, University of Macau and James Cook University - College of Business, Law and Governance,
Downloads 301 (188,660)
Citation 2

Abstract:

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Liquidity measure, Emerging markets

Liquidity Shocks and the Negative Premium of Liquidity Volatility Around the World

Number of pages: 56 Posted: 28 Sep 2021 Last Revised: 11 Mar 2023
Frank Yulin Feng, Wenjin Kang and Huiping Zhang
Shanghai University of Finance and Economics, Faculty of Business Administration, University of Macau and James Cook University - College of Business, Law and Governance,
Downloads 198 (283,112)

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Stock return; Liquidity volatility; Liquidity shock; Negative premium; International equity market

Liquidity Shocks and the Negative Premium of Liquidity Volatility Around the World

Journal of International Money and Finance, Forthcoming
Number of pages: 51 Posted: 27 Mar 2023 Last Revised: 03 Oct 2023
Frank Yulin Feng, Wenjin Kang and Huiping Zhang
Shanghai University of Finance and Economics, Faculty of Business Administration, University of Macau and James Cook University - College of Business, Law and Governance,
Downloads 44 (772,825)

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Stock return, Liquidity volatility, Liquidity decrease, International equity market, Return predictability

11.

Financialization of Commodity Markets Ten Years Later

Journal of Commodity Markets, Forthcoming
Number of pages: 41 Posted: 31 Dec 2022 Last Revised: 19 Jan 2023
Wenjin Kang, Ke Tang and Ningli Wang
Faculty of Business Administration, University of Macau, Institute of Economics, School of Social Sciences, Tsinghua University and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 201 (279,997)

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financialization, cross-market return correlation, pairwise return correlation, basis, traders composition, commodity markets.

12.

Is Value Strategy Still Alive? Evidence from the Chinese A-Share Market

Number of pages: 63 Posted: 09 Feb 2022
Shanghai University of Finance and Economics, Faculty of Business Administration, University of Macau, affiliation not provided to SSRN, James Cook University - College of Business, Law and Governance, and affiliation not provided to SSRN
Downloads 155 (351,611)

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Value investment; Chinese stock market; Value premium; Profitability premium; International diversification

13.

Self-Collateral and Crypto Run

Number of pages: 30 Posted: 25 Sep 2023 Last Revised: 10 Oct 2023
Wenjin Kang, Ke Tang, Yang You and Jiaqing Zeng
Faculty of Business Administration, University of Macau, Institute of Economics, School of Social Sciences, Tsinghua University, The University of Hong Kong and University of Macau
Downloads 120 (429,409)

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Cryptocurrency Exchanges, Self-collateralness, FTX Collapse, Global Game, Bank Run

Information Uncertainty and the Pricing of Liquidity

Journal of Empirical Finance, Forthcoming
Number of pages: 64 Posted: 08 Jan 2013 Last Revised: 01 Sep 2019
Wenjin Kang, Nan Li and Huiping Zhang
Faculty of Business Administration, University of Macau, National University of Singapore (NUS) and James Cook University - College of Business, Law and Governance,
Downloads 81 (565,974)

Abstract:

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Liquidity, Information Uncertainty, Stock Return

Information Uncertainty and the Pricing of Liquidity

Journal of Empirical Finance, Vol. 54, 2019
Number of pages: 63 Posted: 17 Mar 2022
Wenjin Kang, Nan Li and Huiping Zhang
Faculty of Business Administration, University of Macau, Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University and James Cook University - College of Business, Law and Governance,
Downloads 39 (810,934)

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Liquidity, Information Uncertainty, Stock Return

15.

Internet Appendix to 'A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets'

Journal of Finance, Forthcoming, Yale ICF Working Paper No. 2019-09
Number of pages: 14 Posted: 21 May 2019
Wenjin Kang, K. Geert Rouwenhorst and Ke Tang
Faculty of Business Administration, University of Macau, Yale School of Management - International Center for Finance and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 98 (496,709)
Citation 1

Abstract:

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commodity futures, liquidity provision, return predictability, theory of normal backwardation, hedging pressure, risk premium

16.

Limit Order Book and Commonality in Liquidity

Number of pages: 46 Posted: 17 Mar 2008
Wenjin Kang and Huiping Zhang
Faculty of Business Administration, University of Macau and National University of Singapore (NUS) - Department of Accounting
Downloads 36 (812,820)

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Limit order book, Commonality, Liquidity, Specialist firms