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
Rank 27,271

SSRN RANKINGS

Top 27,271

in Total Papers Downloads

2,343

SSRN CITATIONS
Rank 18,058

SSRN RANKINGS

Top 18,058

in Total Papers Citations

45

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 476 (76,902)
Citation 22

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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 276 (140,921)

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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 172 (220,964)
Citation 7

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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 343 (112,312)
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
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 136 (268,631)
Citation 12

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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 197 (195,900)

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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

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 137 (266,188)
Citation 2

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

7.

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 132 (273,895)

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

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 132 (273,895)

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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 130 (276,931)
Citation 1

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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 125 (285,310)
Citation 8

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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 87 (363,779)
Citation 2

Abstract:

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