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Zhenyu Wang
Professor of Finance, Indiana University
  • PROFILE
  • RESEARCH
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Zhenyu Wang is a Special-Term Professor of Finance at Shanghai Advanced Institute of Finance (SAIF), and Edward E. Edwards Professor of Finance at the Kelley School of Business in Indiana University (Bloomington). He was formerly a Vice President at the Federal Reserve Bank of New York, where he was the Head of Financial Intermediation Function. Before working in the Fed, he had been a tenured faculty member at the University of Texas at Austin and an associate professor at Columbia University.
 
Professor Wang specializes in financial markets, financial intermediation, derivatives securities, risk management, portfolio management, and financial econometrics. He has published research papers in top finance journals including the Journal of Finance, the Review of Financial Studies, the Journal of Financial Economics, and Management Science. He won the American Association of Individual Investors Award for Best Paper on Investments at the Western Finance Association Meeting in 1994. He has served on the editorial boards of multiple academic journals including Management Science, the Journal of Empirical Finance, and the Quarterly Journal of Finance, etc.
 
Professor Wang’s work has impacts on academic research, business education, and financial regulations. He helped the U.S. Treasury to reform the Treasury’s Tax and Loans Investment Program in 1999. He designed a pricing method for the Fed's services in its payment system; the U.S. Federal Reserve System adopted the pricing method in 2002. During the recent financial crisis, he contributed directly to the design of several Fed emergency liquidity facilities, the reform of the Fed discount window collateral management system, the bailout of Bear Stearns and AIG, the setup of Maiden Lane II and III portfolios, and the financial terms of TARP. In the post-crisis era, he has influenced the U.S. and international regulatory standards of bank capital.
 
Professor Wang has extensive teaching experience on a variety of courses including Investments, Financial Derivatives, Asset Pricing Theory, and Financial Econometrics in undergraduate, MBA, executive MBA, and Ph.D. programs.
 
Professor Wang holds an M.A. (1993) and a Ph.D. (1995) in economics from University of Minnesota at Twin Cities. He is a recipient of the Alfred Sloan Doctoral Dissertation Fellowship.

Research Interests
Financial markets, Financial intermediation, Derivatives securities, Risk management, Portfolio management, Financial econometrics

Journal Publications & Working Papers
1. Suresh Sundaresan, Zhenyu Wang, 2015, On the Design of Contingent Capital with a Market Trigger, Journal of Finance.
2. Zhenyu Wang, Xiaoyan Zhang, 2012, Empirical Evaluation of Asset Pricing Models: Arbitrage and Pricing Errors in Contingent Claims, Journal of Empirical Finance.
3. Paolo Guasoni, Gur Huberman, Zhenyu Wang, 2011, Performance Maximization of Actively Managed Funds, Journal of Financial Economics.
4. Paul Glasserman, Zhenyu Wang, 2011, Valuing the Treasury’s Capital Assistance Pro-gram, Management Science.
5. Suresh Sundaresan, Zhenyu Wang, 2009, Y2K Options and the Liquidity Premium in Treasury Markets, Review of Financial Studies.
6. Ravi Jagannathan, Georgios Skoulakis, Zhenyu Wang, 2009, Analysis of Large Cross Sections of Security Returns, Handbook of Financial Econometrics.
7. Gur Huberman, Zhenyu Wang, 2005, Arbitrage Pricing Theory, The New Palgrave Dictionary of Economics.
8. Zhenyu Wang, 2005, A Shrinkage Approach to Model Uncertainty and Asset Allocation, Review of Financial Studies.
9. Edward Green, Jose A. Lopez, Zhenyu Wang, 2003, Formulating the Imputed Cost of Equity Capital for the Priced Services at Federal Reserve Banks, Economic Policy Review.
10. Kai Li, Asani Sarkar, Zhenyu Wang, 2003, Diversication Benets of Emerging Markets Subject to Portfolio Constraints, Journal of Empirical Finance.
11. Ravi Jagannathan, Zhenyu Wang, 2002, Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods, Journal of Finance.
12. Ravi Jagannathan, Georgios Skoulakis, Zhenyu Wang, 2002, Generalized Method of Moments: Applications in Finance, Journal of Business and Economic Statistics.
13. Zhenyu Wang, 2001, Discussion” (on ‘The Equity Premium and Structural Breaks’ by Pastor and Stambaugh), Journal of Finance.
14. Ravi Jagannathan, Zhenyu Wang, 1998, An Asymptotic Theory for Estimating Beta-Pricing Models Using Cross-Sectional Regression, Journal of Finance.
15. Zhenyu Wang, 1998, Eciency Loss and Constraints on Portfolio Holdings, Journal of Financial Economics.
16. Ravi Jagannathan, Zhenyu Wang, 1998, A Note on the Asymptotic Covariance in Fama-MacBeth Regression, Journal of Finance.
17. Ravi Jagannathan, Zhenyu Wang, 1996, The Conditional CAPM and the Cross-Section of Expected Returns, Journal of Finance.
18. Zhenyu Wang, Jan Werner, 1994, Portfolio Characterization of Risk Aversion, Economics Letters.
19. Suresh Sundaresan and Zhenyu Wang, On the Design of Contingent Capital with Market Trigger.
20. James McAndrews, Asani Sarkar and Zhenyu Wang, The Eect of the Term Auction Facility on the London Inter-Bank O?ered Rate.
21. Suresh Sundaresan and Zhenyu Wang, Bank Liability Structure.

Teaching Interests
No current data at this time.

Current Courses
No current courses at this time.

Faculty & Research
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