Wenjin Kang

School of Finance, Shanghai University of Finance and Economics

777 Guoding Road

Shanghai, Shanghai 200433

China

SCHOLARLY PAPERS

14

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SSRN CITATIONS
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Top 13,816

in Total Papers Citations

64

CROSSREF CITATIONS

20

Scholarly Papers (14)

1.

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
School of Finance, Shanghai University of Finance and Economics, Yale School of Management - International Center for Finance and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 1,853 (12,751)
Citation 26

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

2.

Crowding and Factor Returns

Number of pages: 51 Posted: 15 Mar 2021
Wenjin Kang, K. Geert Rouwenhorst and Ke Tang
School of Finance, Shanghai University of Finance and Economics, Yale School of Management - International Center for Finance and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 1,696 (14,707)

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

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
School of Finance, Shanghai University of Finance and Economics, National University of Singapore (NUS) - Department of Finance and Duke University - Fuqua School of Business
Downloads 1,588 (16,230)
Citation 31

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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
School of Finance, Shanghai University of Finance and Economics and National University of Singapore (NUS) - Department of Accounting
Downloads 842 (40,866)
Citation 7

Abstract:

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Limit order, Liquidity, Market return, Volatility

5.

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 School of Finance, Shanghai University of Finance and Economics
Downloads 770 (46,045)
Citation 2

Abstract:

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Liquidity, Price Synchronicity, adverse information risk

6.

Relative Basis and Expected Returns in Commodity Futures Markets

Number of pages: 67 Posted: 21 Jun 2019 Last Revised: 28 Oct 2021
Ming Gu, Wenjin Kang, Dong Lou and Ke Tang
Xiamen University - School of Economics, School of Finance, Shanghai University of Finance and Economics, London School of Economics & Political Science (LSE) and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 549 (71,339)

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relative basis, commodity futures, expected return, convenience yield, theory of storage

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, School of Finance, Shanghai University of Finance and Economics and James Cook University - College of Business, Law and Governance,
Downloads 422 (98,336)
Citation 19

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Illiquidity Premium, International Markets, Commonality in Illiquidity Premium

8.

Measuring Liquidity in Emerging Markets

Number of pages: 45 Posted: 17 Sep 2013
Wenjin Kang and Huiping Zhang
School of Finance, Shanghai University of Finance and Economics and James Cook University - College of Business, Law and Governance,
Downloads 257 (166,660)
Citation 2

Abstract:

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Liquidity measure, Emerging markets

9.

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

Number of pages: 56 Posted: 28 Sep 2021 Last Revised: 06 Jul 2022
Frank Yulin Feng, Wenjin Kang and Huiping Zhang
Shanghai University of Finance and Economics, School of Finance, Shanghai University of Finance and Economics and James Cook University - College of Business, Law and Governance,
Downloads 152 (266,888)

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

10.

Closing Pressure, Predatory Trading, and the Negative Price of Oil

Number of pages: 58 Posted: 20 Apr 2022
Yiqing Ge, Wenjin Kang, Ke Tang and Liyan Yang
Tsinghua University - Institute of Economics, School of Finance, Shanghai University of Finance and Economics, Institute of Economics, School of Social Sciences, Tsinghua University and University of Toronto - Rotman School of Management
Downloads 133 (296,279)

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Closing pressure, TAS market, predatory trading, negative oil price

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
School of Finance, Shanghai University of Finance and Economics, National University of Singapore (NUS) and James Cook University - College of Business, Law and Governance,
Downloads 61 (485,944)

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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
School of Finance, Shanghai University of Finance and Economics, Shanghai Jiao Tong University, Antai College of Economics and Management and James Cook University - College of Business, Law and Governance,
Downloads 18 (741,063)

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Liquidity, Information Uncertainty, Stock Return

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, School of Finance, Shanghai University of Finance and Economics, affiliation not provided to SSRN, James Cook University - College of Business, Law and Governance, and affiliation not provided to SSRN
Downloads 75 (430,331)

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

13.

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
School of Finance, Shanghai University of Finance and Economics, Yale School of Management - International Center for Finance and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 70 (446,663)
Citation 1

Abstract:

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

14.

Limit Order Book and Commonality in Liquidity

Number of pages: 46 Posted: 17 Mar 2008
Wenjin Kang and Huiping Zhang
School of Finance, Shanghai University of Finance and Economics and National University of Singapore (NUS) - Department of Accounting
Downloads 10 (788,624)

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Limit order book, Commonality, Liquidity, Specialist firms