Jiang Wang
Mizuho Financial Group Professor of Finance at MIT
Research Expertise
About
Publications
Trading Volume and Serial Correlation in Stock Returns
The Quarterly Journal of Economics / Nov 01, 1993
Campbell, J. Y., Grossman, S. J., & Wang, J. (1993). Trading Volume and Serial Correlation in Stock Returns. The Quarterly Journal of Economics, 108(4), 905–939. https://doi.org/10.2307/2118454
Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation
The Journal of Finance / Aug 01, 2000
Lo, A. W., Mamaysky, H., & Wang, J. (2000). Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation. The Journal of Finance, 55(4), 1705–1765. Portico. https://doi.org/10.1111/0022-1082.00265
A Model of Competitive Stock Trading Volume
Journal of Political Economy / Feb 01, 1994
Wang, J. (1994). A Model of Competitive Stock Trading Volume. Journal of Political Economy, 102(1), 127–168. https://doi.org/10.1086/261924
The Illiquidity of Corporate Bonds
The Journal of Finance / May 23, 2011
BAO, J., PAN, J., & WANG, J. (2011). The Illiquidity of Corporate Bonds. The Journal of Finance, 66(3), 911–946. Portico. https://doi.org/10.1111/j.1540-6261.2011.01655.x
Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory
Review of Financial Studies / Apr 01, 2000
Lo, A. W., & Wang, J. (2000). Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory. Review of Financial Studies, 13(2), 257–300. https://doi.org/10.1093/rfs/13.2.257
Dynamic Volume-Return Relation of Individual Stocks
Review of Financial Studies / Jul 01, 2002
Llorente, G., Michaely, R., Saar, G., & Wang, J. (2002). Dynamic Volume-Return Relation of Individual Stocks. Review of Financial Studies, 15(4), 1005–1047. https://doi.org/10.1093/rfs/15.4.1005
A Model of Intertemporal Asset Prices Under Asymmetric Information
The Review of Economic Studies / Apr 01, 1993
Wang, J. (1993). A Model of Intertemporal Asset Prices Under Asymmetric Information. The Review of Economic Studies, 60(2), 249. https://doi.org/10.2307/2298057
Optimal trading strategy and supply/demand dynamics
Journal of Financial Markets / Feb 01, 2013
Obizhaeva, A. A., & Wang, J. (2013). Optimal trading strategy and supply/demand dynamics. Journal of Financial Markets, 16(1), 1–32. https://doi.org/10.1016/j.finmar.2012.09.001
Differential Information and Dynamic Behavior of Stock Trading Volume
Review of Financial Studies / Oct 01, 1995
He, H., & Wang, J. (1995). Differential Information and Dynamic Behavior of Stock Trading Volume. Review of Financial Studies, 8(4), 919–972. https://doi.org/10.1093/rfs/8.4.919
Noise as Information for Illiquidity
The Journal of Finance / Nov 12, 2013
HU, G. X., PAN, J., & WANG, J. (2013). Noise as Information for Illiquidity. The Journal of Finance, 68(6), 2341–2382. Portico. https://doi.org/10.1111/jofi.12083
Asset Prices and Trading Volume under Fixed Transactions Costs
Journal of Political Economy / Oct 01, 2004
Lo, A. W., Mamaysky, H., & Wang, J. (2004). Asset Prices and Trading Volume under Fixed Transactions Costs. Journal of Political Economy, 112(5), 1054–1090. https://doi.org/10.1086/422565
The Price Impact and Survival of Irrational Traders
The Journal of Finance / Jan 20, 2006
KOGAN, L., ROSS, S. A., WANG, J., & WESTERFIELD, M. M. (2006). The Price Impact and Survival of Irrational Traders. The Journal of Finance, 61(1), 195–229. Portico. https://doi.org/10.1111/j.1540-6261.2006.00834.x
The term structure of interest rates in a pure exchange economy with heterogeneous investors
Journal of Financial Economics / May 01, 1996
Wang, J. (1996). The term structure of interest rates in a pure exchange economy with heterogeneous investors. Journal of Financial Economics, 41(1), 75–110. https://doi.org/10.1016/0304-405x(95)00854-8
Implementing Option Pricing Models When Asset Returns Are Predictable
The Journal of Finance / Mar 01, 1995
LO, A. W., & WANG, J. (1995). Implementing Option Pricing Models When Asset Returns Are Predictable. The Journal of Finance, 50(1), 87–129. Portico. https://doi.org/10.1111/j.1540-6261.1995.tb05168.x
Trading and Returns under Periodic Market Closures
The Journal of Finance / Feb 01, 2000
Hong, H., & Wang, J. (2000). Trading and Returns under Periodic Market Closures. The Journal of Finance, 55(1), 297–354. Portico. https://doi.org/10.1111/0022-1082.00207
Liquidity and Market Crashes
Review of Financial Studies / Oct 04, 2008
Huang, J., & Wang, J. (2008). Liquidity and Market Crashes. Review of Financial Studies, 22(7), 2607–2643. https://doi.org/10.1093/rfs/hhn086
Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model
The Journal of Finance / Dec 01, 2006
LO, A. W., & WANG, J. (2006). Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model. The Journal of Finance, 61(6), 2805–2840. Portico. https://doi.org/10.1111/j.1540-6261.2006.01005.x
Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition
The Review of Financial Studies / Nov 25, 2011
Vayanos, D., & Wang, J. (2011). Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition. The Review of Financial Studies, 25(5), 1339–1365. https://doi.org/10.1093/rfs/hhr128
Asset Pricing and the Credit Market
Review of Financial Studies / Oct 15, 2012
Longstaff, F. A., & Wang, J. (2012). Asset Pricing and the Credit Market. Review of Financial Studies, 25(11), 3169–3215. https://doi.org/10.1093/rfs/hhs086
Market Liquidity—Theory and Empirical Evidence
Handbook of the Economics of Finance / Jan 01, 2013
Vayanos, D., & Wang, J. (2013). Market Liquidity—Theory and Empirical Evidence. Handbook of the Economics of Finance, 1289–1361. https://doi.org/10.1016/b978-0-44-459406-8.00019-6
Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation
Mar 01, 2000
Lo, A., Mamaysky, H., & Wang, J. (2000). Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation. https://doi.org/10.3386/w7613
Fama-French in China: Size and Value Factors in Chinese Stock Returns
International Review of Finance / Jan 23, 2018
Hu, G. X., Chen, C., Shao, Y., & Wang, J. (2018). Fama-French in China: Size and Value Factors in Chinese Stock Returns. International Review of Finance, 19(1), 3–44. Portico. https://doi.org/10.1111/irfi.12177
Market liquidity, asset prices, and welfare
Journal of Financial Economics / Jan 01, 2010
Huang, J., & Wang, J. (2010). Market liquidity, asset prices, and welfare. Journal of Financial Economics, 95(1), 107–127. https://doi.org/10.1016/j.jfineco.2008.08.008
A Model of Trading Volume with Tax-Induced Heterogeneous Valuation and Transaction Costs
Journal of Financial Intermediation / Oct 01, 1996
Michaely, R., Vila, J.-L., & Wang, J. (1996). A Model of Trading Volume with Tax-Induced Heterogeneous Valuation and Transaction Costs. Journal of Financial Intermediation, 5(4), 340–371. https://doi.org/10.1006/jfin.1996.0020
Firms as buyers of last resort
Journal of Financial Economics / Apr 01, 2008
Hong, H., Wang, J., & Yu, J. (2008). Firms as buyers of last resort. Journal of Financial Economics, 88(1), 119–145. https://doi.org/10.1016/j.jfineco.2007.04.004
Stock Market Trading Volume
Handbook of Financial Econometrics: Applications / Jan 01, 2010
Lo, A. W., & Wang, J. (2010). Stock Market Trading Volume. Handbook of Financial Econometrics: Applications, 241–342. https://doi.org/10.1016/b978-0-444-53548-1.50007-6
Market selection
Journal of Economic Theory / Mar 01, 2017
Kogan, L., Ross, S. A., Wang, J., & Westerfield, M. M. (2017). Market selection. Journal of Economic Theory, 168, 209–236. https://doi.org/10.1016/j.jet.2016.12.002
Early peek advantage? Efficient price discovery with tiered information disclosure
Journal of Financial Economics / Nov 01, 2017
Hu, G. X., Pan, J., & Wang, J. (2017). Early peek advantage? Efficient price discovery with tiered information disclosure. Journal of Financial Economics, 126(2), 399–421. https://doi.org/10.1016/j.jfineco.2017.07.007
Theories of Liquidity
Foundations and Trends® in Finance / Jan 01, 2011
Vayanos, D. (2011). Theories of Liquidity. Foundations and Trends® in Finance, 6(4), 221–317. https://doi.org/10.1561/0500000014
Tri-Party Repo Pricing
Journal of Financial and Quantitative Analysis / Jun 05, 2020
Hu, G. X., Pan, J., & Wang, J. (2020). Tri-Party Repo Pricing. Journal of Financial and Quantitative Analysis, 56(1), 337–371. https://doi.org/10.1017/s0022109019000863
Chinese Capital Market: An Empirical Overview
Feb 01, 2018
Hu, G. X., Pan, J., & Wang, J. (2018). Chinese Capital Market: An Empirical Overview. https://doi.org/10.3386/w24346
Evaluating Portfolio Policies: A Duality Approach
Operations Research / Jun 01, 2006
Haugh, M. B., Kogan, L., & Wang, J. (2006). Evaluating Portfolio Policies: A Duality Approach. Operations Research, 54(3), 405–418. https://doi.org/10.1287/opre.1060.0279
Dynamic Portfolio Execution
Management Science / Oct 27, 2017
Tsoukalas, G., Wang, J., & Giesecke, K. (2017). Dynamic Portfolio Execution. Management Science. https://doi.org/10.1287/mnsc.2017.2865
Premium for Heightened Uncertainty: Solving the FOMC Puzzle
SSRN Electronic Journal / Jan 01, 2018
Hu, G. X., Pan, J., Wang, J., & Zhu, H. (2018). Premium for Heightened Uncertainty: Solving the FOMC Puzzle. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3290649
MARKET STRUCTURE, SECURITY PRICES, AND INFORMATIONAL EFFICIENCY
Macroeconomic Dynamics / Jan 01, 1997
HUANG, J., & WANG, J. (1997). MARKET STRUCTURE, SECURITY PRICES, AND INFORMATIONAL EFFICIENCY. Macroeconomic Dynamics, 1(1), 169–205. https://doi.org/10.1017/s136510059700206x
Fields below their lower critical dimension: Applications to liquid crystals
Physical Review A / Jan 01, 1984
Lubensky, T. C., & McKane, A. J. (1984). Fields below their lower critical dimension: Applications to liquid crystals. Physical Review A, 29(1), 317–329. https://doi.org/10.1103/physreva.29.317
Network Transport Circuit Breakers
Mar 01, 2017
Fairhurst, G. (2017). Network Transport Circuit Breakers. https://doi.org/10.17487/rfc8084
Percolation conductivity exponenttto second order inε=6-d
Physical Review B / Apr 01, 1986
Lubensky, T. C., & Wang, J. (1986). Percolation conductivity exponenttto second order inε=6-d. Physical Review B, 33(7), 4998–5009. https://doi.org/10.1103/physrevb.33.4998
Asset prices under short-sale constraints
Bai, Y. (n.d.). Asset prices under short-sale constraints. https://doi.org/10.5353/th_b3693434
Asset Pricing Under Heterogeneous Information
SSRN Electronic Journal / Jan 01, 2010
Qiu, W., & Wang, J. (2010). Asset Pricing Under Heterogeneous Information. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.1573423
Liquidity and Market Crashes
SSRN Electronic Journal / Jan 01, 2007
Huang, J. C., & Wang, J. (2007). Liquidity and Market Crashes. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.925888
Market Liquidity, Asset Prices and Welfare
Jun 01, 2008
Huang, J., & Wang, J. (2008). Market Liquidity, Asset Prices and Welfare. https://doi.org/10.3386/w14058
Asset Prices and Welfare Under Short-Sales Constraints
SSRN Electronic Journal / Jan 01, 2005
Bai, Y., Chang, E. C., & Wang, J. (2005). Asset Prices and Welfare Under Short-Sales Constraints. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.687581
Trading and information in futures markets
Journal of Futures Markets / Dec 03, 2019
Llorente, G., & Wang, J. (2019). Trading and information in futures markets. Journal of Futures Markets, 40(8), 1231–1263. Portico. https://doi.org/10.1002/fut.22079
How to Tell if a Money Manager Knows More?
Jun 01, 2003
Iskoz, S., & Wang, J. (2003). How to Tell if a Money Manager Knows More? https://doi.org/10.3386/w9791
The Market Impact of Options
SSRN Electronic Journal / Jan 01, 2016
Gao, F., & Wang, J. (2016). The Market Impact of Options. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2808340
Liquidity and Asset Prices: A Unified Framework
Aug 01, 2009
Vayanos, D., & Wang, J. (2009). Liquidity and Asset Prices: A Unified Framework. https://doi.org/10.3386/w15215
Dynamic Portfolio Execution
SSRN Electronic Journal / Jan 01, 2011
Tsoukalas, G., Wang, J., & Giesecke, K. (2011). Dynamic Portfolio Execution. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2089837
Evaluating Portfolio Policies: A Duality Approach
Jul 01, 2003
Haugh, M., Kogan, L., & Wang, J. (2003). Evaluating Portfolio Policies: A Duality Approach. https://doi.org/10.3386/w9861
Editorial, NBER Macroeconomics Annual 2000
NBER Macroeconomics Annual / Jan 01, 2000
Bernanke, B. S., & Rogoff, K. (2000). Editorial, NBER Macroeconomics Annual 2000. NBER Macroeconomics Annual, 15, 1–4. https://doi.org/10.1086/654401
Education
University of Pennsylvania
Ph.D., Finance / 1990
Nanjing University
BS, Physics / 1981
Experience
MIT
Mizuho Financial Group Professor of Finance / 2005 — Present
National Bureau of Economic Research
Research Associate / 1997 — Present
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