Yajun Wang

City University of NY, Baruch College, Zicklin School of Business

One Bernard Baruch Way

New York , NY 10010

United States

http://sites.google.com/site/yajunwangfin/

SCHOLARLY PAPERS

11

DOWNLOADS
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Top 24,967

in Total Papers Downloads

1,983

SSRN CITATIONS
Rank 22,633

SSRN RANKINGS

Top 22,633

in Total Papers Citations

20

CROSSREF CITATIONS

15

Scholarly Papers (11)

1.

Smooth Trading with Overconfidence and Market Power

Review of Economic Studies, Forthcoming
Number of pages: 94 Posted: 10 Apr 2014 Last Revised: 31 Aug 2017
University of Maryland, New Economic School (NES) and City University of NY, Baruch College, Zicklin School of Business
Downloads 438 (68,785)
Citation 15

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market microstructure, price impact, liquidity, transaction costs, double auctions, information aggregation, rational expectations, agreement-to-disagree, imperfect competition, Keynesian beauty contest, overconfidence, strategic trading, dynamic trading, flash crash

Asymmetric Information, Endogenous Illiquidity, and Asset Pricing with Imperfect Competition

AFA 2011 Denver Meetings Paper
Number of pages: 45 Posted: 22 Mar 2010 Last Revised: 26 Dec 2010
Hong Liu and Yajun Wang
Washington University in St. Louis - Olin Business School and City University of NY, Baruch College, Zicklin School of Business
Downloads 265 (120,410)

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Illiquidity, Bid-Ask Spread, Asymmetric Information, Imperfect Competition, Welfare

Market Making with Asymmetric Information and Inventory Risk

Journal of Economic Theory, Vol. 163, 2016
Number of pages: 55 Posted: 22 Nov 2009 Last Revised: 30 Aug 2017
Hong Liu and Yajun Wang
Washington University in St. Louis - Olin Business School and City University of NY, Baruch College, Zicklin School of Business
Downloads 141 (216,350)
Citation 5

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Illiquidity, Asymmetric Information, Imperfect Competition, Welfare

3.

Beliefs Aggregation and Return Predictability

Number of pages: 81 Posted: 06 Nov 2015 Last Revised: 30 Mar 2020
University of Maryland, New Economic School (NES) and City University of NY, Baruch College, Zicklin School of Business
Downloads 248 (129,713)
Citation 1

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asset pricing, predictability, market microstructure, market efficiency, momentum, mean-reversion, anomalies, agreement to disagree

Portfolio Choice with Market Closure and Implications for Liquidity Premia

Management Science 62(2):368-386, 2015
Number of pages: 50 Posted: 14 Dec 2008 Last Revised: 30 Aug 2017
Min Dai, Peifan Li, Hong Liu and Yajun Wang
National University of Singapore (NUS) - Department of Mathematics, National University of Singapore (NUS) - Department of Mathematics, Washington University in St. Louis - Olin Business School and City University of NY, Baruch College, Zicklin School of Business
Downloads 119 (247,085)
Citation 6

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Market Closure, Liquidity Premia, Portfolio Selection, Optimal Investment

5.

Trading in Crowded Markets

Number of pages: 50 Posted: 03 Apr 2018 Last Revised: 18 Nov 2019
Anna A. Obizhaeva and Yajun Wang
New Economic School (NES) and City University of NY, Baruch College, Zicklin School of Business
Downloads 141 (215,823)
Citation 1

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Asset Pricing, Market Liquidity, Market Microstructure, Crowding, Price Impact, Strategic Trading, Transaction Costs

6.

Asset Pricing Implications of Short-sale Constraints in Imperfectly Competitive Markets

Number of pages: 60 Posted: 04 Apr 2013 Last Revised: 30 Aug 2017
Hong Liu and Yajun Wang
Washington University in St. Louis - Olin Business School and City University of NY, Baruch College, Zicklin School of Business
Downloads 124 (238,515)
Citation 1

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Short-sale Constraints, Bid-Ask Spread, Information Acquisition, Imperfect Competition, Welfare

7.

Why Can Margin Requirements Increase Volatility and Benefit Margin Constrained Investors?

Review of Finance (2016) 20 (4): 1449-1485
Number of pages: 56 Posted: 09 Feb 2012 Last Revised: 30 Aug 2017
Yajun Wang
City University of NY, Baruch College, Zicklin School of Business
Downloads 123 (239,972)
Citation 6

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Margin Requirements, Short-sale Constraints, Volatility, Liquidity, Welfare

8.

A Theory of Correlated-Demand Driven Liquidity Commonality

Number of pages: 48 Posted: 19 Mar 2012 Last Revised: 02 Apr 2013
Hong Liu and Yajun Wang
Washington University in St. Louis - Olin Business School and City University of NY, Baruch College, Zicklin School of Business
Downloads 120 (244,426)

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commonality in liquidity, bid-ask spread, asymmetric information

9.

Index Investing and Price Discovery

Number of pages: 38 Posted: 22 Apr 2018 Last Revised: 27 May 2018
Hong Liu and Yajun Wang
Washington University in St. Louis - Olin Business School and City University of NY, Baruch College, Zicklin School of Business
Downloads 100 (278,059)

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10.

Dynamic Market Making and Asset Pricing

Number of pages: 52 Posted: 01 Aug 2018 Last Revised: 02 Aug 2018
Wen Chen and Yajun Wang
The Chinese University of Hong Kong, Shenzhen and City University of NY, Baruch College, Zicklin School of Business
Downloads 84 (310,549)

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market making, liquidity, asset pricing, imperfect competition, bid-ask spread, trading volume

11.

Increases in Risk Aversion and the Distribution of Portfolio Payoffs

Journal of Economic Theory, Vol. 147, No. 1222-1246, 2012
Number of pages: 47 Posted: 14 Dec 2009 Last Revised: 13 Apr 2014
Philip H. Dybvig and Yajun Wang
Washington University in St. Louis - John M. Olin Business School and City University of NY, Baruch College, Zicklin School of Business
Downloads 80 (319,700)
Citation 2

Abstract:

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risk aversion, portfolio theory, stochastic dominance, complete markets, two-fund separation