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

16

DOWNLOADS
Rank 25,420

SSRN RANKINGS

Top 25,420

in Total Papers Downloads

3,767

SSRN CITATIONS
Rank 15,178

SSRN RANKINGS

Top 15,178

in Total Papers Citations

80

CROSSREF CITATIONS

15

Scholarly Papers (16)

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 591 (85,324)
Citation 30

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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

2.

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 562 (90,938)
Citation 1

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

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 312 (177,983)

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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 213 (261,156)
Citation 7

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Illiquidity, Asymmetric Information, Imperfect Competition, Welfare

4.

Trading in Crowded Markets

Number of pages: 56 Posted: 03 Apr 2018 Last Revised: 20 Sep 2023
University of Maryland, New Economic School (NES) and City University of NY, Baruch College, Zicklin School of Business
Downloads 341 (163,054)

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

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: 20 Apr 2022
Min Dai, Peifan Li, Hong Liu and Yajun Wang
The Hong Kong Polytechnic University, 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 171 (318,899)
Citation 17

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Market Closure, Liquidity Premia, Portfolio Selection, Optimal Investment

6.

Dynamic Market Making with Asymmetric Information and Market Power

Number of pages: 58 Posted: 01 Aug 2018 Last Revised: 12 Aug 2020
Wen Chen and Yajun Wang
The Chinese University of Hong Kong, Shenzhen and City University of NY, Baruch College, Zicklin School of Business
Downloads 299 (187,454)

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

7.

Mapping Causes to Consequences: The Impact of Indexing

Number of pages: 44 Posted: 22 Apr 2018 Last Revised: 14 Nov 2023
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 242 (232,973)
Citation 1

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Indexing, Information Acquisition, Risk Premium, Capital Allocation, Correlations, Welfare

8.

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

Management Science, 2019, 65 (9), 4422-4439
Number of pages: 60 Posted: 04 Apr 2013 Last Revised: 12 Aug 2020
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 171 (319,121)
Citation 5

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

9.

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 166 (327,420)

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commonality in liquidity, bid-ask spread, asymmetric information

10.

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 157 (343,257)
Citation 10

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

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 127 (406,451)
Citation 3

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

12.

Negative Information Revelation: Informed Sales Meet Short Sales

Number of pages: 78 Posted: 31 Jan 2023 Last Revised: 13 Jul 2023
Xi Dong, Hong Liu, Siyi Shen and Yajun Wang
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Washington University in St. Louis - Olin Business School, The Chinese University of Hong Kong, Shenzhen - School of Management and Economics and City University of NY, Baruch College, Zicklin School of Business
Downloads 121 (421,333)

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Short-sale constraints, Information acquisition, Return predictability, Institutional trading, Market efficiency

13.

Do Position Limits on Futures Trading Benefit Commodity Markets?

Number of pages: 59 Posted: 16 Dec 2022
Wen Chen, Bo Hu and Yajun Wang
The Chinese University of Hong Kong, Shenzhen, George Mason University and City University of NY, Baruch College, Zicklin School of Business
Downloads 113 (443,388)

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Position limits, speculation, hedging, liquidity, information asymmetry, imperfect competition, futures, commodity markets

14.

How Does Benchmarking Affect Market Efficiency? The Role of Learning Technology

Number of pages: 60 Posted: 15 Nov 2022 Last Revised: 03 Apr 2024
Wen Chen, Bo Hu and Yajun Wang
The Chinese University of Hong Kong, Shenzhen, George Mason University and City University of NY, Baruch College, Zicklin School of Business
Downloads 109 (474,393)

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benchmarking, learning technology, attention allocation, price informativeness, market efficiency, asset comovements

15.

The Welfare Implication of Information Disclosure Frequency

Number of pages: 65 Posted: 05 Feb 2024
Wen Chen and Yajun Wang
The Chinese University of Hong Kong, Shenzhen and City University of NY, Baruch College, Zicklin School of Business
Downloads 42 (758,919)

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Frequency of information disclosures, Risk sharing, Welfare, Imperfect competition, Market Liquidity, Information asymmetry

16.

Intraday Dynamics of NASDAQ Stocks in the Electronic Trading Era: Uncovering Strong U-Shape Patterns in Trading Volume and Bid-Ask Spread

Number of pages: 51 Posted: 16 Apr 2024
Jian Hua, Lingyi Kong and Yajun Wang
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, City University of NY, Baruch College, Zicklin School of Business and City University of NY, Baruch College, Zicklin School of Business
Downloads 30 (877,081)

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Intraday, liquidity, imperfect competition, bid-ask spread, trading volume