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

10

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2,904

SSRN CITATIONS
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Top 10,583

in Total Papers Citations

17

CROSSREF CITATIONS

99

Scholarly Papers (10)

1.

Strategic Bank Liability Structure Under Capital Requirements

Number of pages: 56 Posted: 14 Sep 2014 Last Revised: 04 Apr 2022
Suresh M. Sundaresan and Zhenyu Wang
Columbia University - Columbia Business School, Finance and Indiana University, Kelley School of Business
Downloads 861 (39,743)
Citation 9

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2.

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: 04 Apr 2022
James McAndrews, Asani Sarkar and Zhenyu Wang
Wharton Financial Institutions Center, Federal Reserve Bank of New York and Indiana University, Kelley School of Business
Downloads 713 (51,142)
Citation 13

Abstract:

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Libor, liquidity, money markets, Term Auction Facility

3.

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 University - Columbia Business School and Indiana University, Kelley School of Business
Downloads 326 (130,779)
Citation 8

Abstract:

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financial crisis, Troubled Asset Relief Program

4.
Downloads 189 (167,575)
Citation 6

Performance Maximization of Actively Managed Funds

FRB of New York Staff Report No. 427
Number of pages: 45 Posted: 21 Jan 2010
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences, Columbia University - Columbia Business School, Finance and Indiana University, Kelley School of Business
Downloads 186 (225,570)
Citation 3

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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
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences, Columbia University - Columbia Business School, Finance and Indiana University, Kelley School of Business
Downloads 3 (900,336)
Citation 1
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alpha, hedge funds, mutual funds, options, portfolio management

5.

Arbitrage Pricing Theory

Staff Report No. 216
Number of pages: 20 Posted: 01 Sep 2005 Last Revised: 04 Apr 2022
Gur Huberman and Zhenyu Wang
Columbia University - Columbia Business School, Finance and Indiana University, Kelley School of Business
Downloads 241 (177,671)

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arbitrage, asset pricing model, factor model

6.

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 Tsinghua University - PBC School of Finance
Downloads 180 (232,081)
Citation 14

Abstract:

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asset pricing, arbitrage, contingent claims

7.

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 152 (267,295)
Citation 2

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

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 University - Columbia Business School, Finance and Indiana University, Kelley School of Business
Downloads 128 (306,820)

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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 University - Columbia Business School, Finance and Indiana University, Kelley School of Business
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bank liability structure, corporate tax, leverage

9.

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 University - Columbia Business School, Finance
Downloads 114 (331,974)
Citation 1

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Y2K Options, liquidity, treasury bonds

10.

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 University - Columbia Business School, Finance and Indiana University, Kelley School of Business

Abstract:

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G1, G12, G18