Zhenyu Wang

Indiana University, Kelley School of Business

Professor of Finance

1309 E. 10th St.

Bloomington, IN 47405

United States

http://www.kelley.iu.edu/Finance/Faculty/page12594.cfm?ID=37555

SCHOLARLY PAPERS

11

DOWNLOADS
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Top 15,058

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2,639

CITATIONS
Rank 5,744

SSRN RANKINGS

Top 5,744

in Total Papers Citations

89

Scholarly Papers (11)

1.

Valuing the Treasury’s Capital Assistance Program

FRB of New York Staff Report No. 413
Number of pages: 43 Posted: 22 Dec 2009
Paul Glasserman and Zhenyu Wang
Columbia Business School and Indiana University, Kelley School of Business
Downloads 306 (79,955)
Citation 8

Abstract:

financial crisis, Troubled Asset Relief Program

2.

On the Design of Contingent Capital with a Market Trigger

Journal of Finance, Forthcoming
Number of pages: 57 Posted: 08 Mar 2012 Last Revised: 14 May 2014
Suresh M. Sundaresan and Zhenyu Wang
Columbia Business School - Finance and Economics and Indiana University, Kelley School of Business
Downloads 292 (87,161)
Citation 6

Abstract:

Contingent capital, capital requirements

3.

Bank Liability Structure

Columbia Business School Research Paper No. 14-41, Kelley School of Business Research Paper
Number of pages: 41 Posted: 14 Sep 2014 Last Revised: 13 Apr 2017
Suresh M. Sundaresan and Zhenyu Wang
Columbia Business School - Finance and Economics and Indiana University, Kelley School of Business
Downloads 288 (30,112)
Citation 1

Abstract:

4.
Downloads 165 (114,122)
Citation 5

Performance Maximization of Actively Managed Funds

FRB of New York Staff Report No. 427
Number of pages: 45 Posted: 21 Jan 2010
Paolo Guasoni, Gur Huberman and Zhenyu Wang
Boston University - Department of Mathematics and Statistics, Columbia Business School - Finance and Economics and Indiana University, Kelley School of Business
Downloads 162 (155,591)
Citation 5

Abstract:

alpha, hedge funds, mutual funds, portfolio management, options

Performance Maximization of Actively Managed Funds

CEPR Discussion Paper No. DP7676
Number of pages: 47 Posted: 10 Feb 2010
Paolo Guasoni, Gur Huberman and Zhenyu Wang
Boston University - Department of Mathematics and Statistics, Columbia Business School - Finance and Economics and Indiana University, Kelley School of Business
Downloads 3 (563,670)
Citation 5
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Abstract:

alpha, hedge funds, mutual funds, options, portfolio management

5.

Empirical Evaluation of Asset Pricing Models: Arbitrage and Pricing Errors in Contingent Claims

FRB of New York Staff Report No. 265
Number of pages: 39 Posted: 18 Mar 2008 Last Revised: 14 May 2014
Zhenyu Wang and Xiaoyan Zhang
Indiana University, Kelley School of Business and Purdue University - Krannert School of Management
Downloads 150 (161,386)
Citation 13

Abstract:

asset pricing, arbitrage, contingent claims

6.

Formulating the Imputed Cost of Equity Capital for Priced Services at Federal Reserve Banks

Economic Policy Review, Vol. 9, No. 3, September 2003
Number of pages: 27 Posted: 25 Aug 2005
Edward J. Green, Jose A. Lopez and Zhenyu Wang
Federal Reserve Bank of Chicago, Federal Reserve Bank of San Francisco and Indiana University, Kelley School of Business
Downloads 111 (197,212)
Citation 8

Abstract:

priced services, Federal Reserve Banks, cost of equity, asset pricing

7.

Y2K Options and the Liquidity Premium in Treasury Bond Markets

FRB of New York Staff Report No. 266
Number of pages: 40 Posted: 01 Nov 2006
Zhenyu Wang and Suresh M. Sundaresan
Indiana University, Kelley School of Business and Columbia Business School - Finance and Economics
Downloads 95 (224,824)
Citation 8

Abstract:

Y2K Options, liquidity, treasury bonds

The Effects of Tax on Bank Liability Structure

BIS Working Paper No. 611
Number of pages: 51 Posted: 28 Feb 2017
Bank for International Settlements (BIS), Bank of Italy, Columbia Business School - Finance and Economics and Indiana University, Kelley School of Business
Downloads 49 (342,246)

Abstract:

bank liability structure, corporate tax, leverage

The Effects of Tax on Bank Liability Structure

Bank of Italy Temi di Discussione (Working Paper) No. 1101, Kelley School of Business Research Paper No. 17-27, Columbia Business School Research Paper No. 17-35
Number of pages: 57 Posted: 06 Apr 2017
Bank for International Settlements (BIS), Bank of Italy, Columbia Business School - Finance and Economics and Indiana University, Kelley School of Business
Downloads 21 (461,889)

Abstract:

bank liability structure, corporate tax, leverage

The Effects of Tax on Bank Liability Structure

CEPR Discussion Paper No. DP11893
Number of pages: 50 Posted: 16 Mar 2017
Bank for International Settlements (BIS), Bank of Italy, Columbia Business School - Finance and Economics and Indiana University, Kelley School of Business
Downloads 0
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Abstract:

bank liability structure, corporate tax, leverage

9.

The Effect of the Term Auction Facility on the London Interbank Offered Rate

FRB of New York Staff Report No. 335
Number of pages: 54 Posted: 19 Sep 2015 Last Revised: 05 Jan 2017
James McAndrews, Asani Sarkar and Zhenyu Wang
Federal Reserve Bank of New York, Federal Reserve Bank of New York and Indiana University, Kelley School of Business
Downloads 5 (31,548)
Citation 38

Abstract:

Libor, liquidity, money markets, Term Auction Facility

10.

Dynamics of the Expectation and Risk Premium in the OIS Term Structure

Kelley School of Business Research Paper No. 17-41, Columbia Business School Research Paper No. 17-55
Number of pages: 57 Posted: 15 May 2017 Last Revised: 15 Aug 2017
Suresh M. Sundaresan, Zhenyu Wang and Wei Yang
Columbia Business School - Finance and Economics, Indiana University, Kelley School of Business and Indiana University - Kelley School of Business - Department of Finance
Downloads 0 (298,291)

Abstract:

OIS, FOMC, Term structure, Bayesian inference, MCMC

11.

Y2k Options and the Liquidity Premium in Treasury Markets

The Review of Financial Studies, Vol. 22, Issue 3, pp. 1021-1056, 2009
Posted: 17 Mar 2009
Suresh M. Sundaresan and Zhenyu Wang
Columbia Business School - Finance and Economics and Indiana University, Kelley School of Business

Abstract:

G1, G12, G18