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Yangru Wu

Personal Details

First Name:Yangru
Middle Name:
Last Name:Wu
Suffix:
RePEc Short-ID:pwu24
https://www.business.rutgers.edu/faculty/yangru-wu
Terminal Degree:1993 Department of Economics; Ohio State University (from RePEc Genealogy)

Affiliation

Department of Finance and Economics
Business
Rutgers University-Newark

Newark, New Jersey (United States)
http://business.rutgers.edu/default.aspx?id=662
RePEc:edi:dfrutus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Peter C. B. Phillips & Yangru Wu & Jun Yu, 2007. "Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?," Working Papers 222007, Hong Kong Institute for Monetary Research.
  2. Ronald J. Balvers & Yangru Wu, 2005. "Optimal Transaction Filters Under Transitory Trading Opportunities: Theory and Empirical Illustration," Working Papers 022005, Hong Kong Institute for Monetary Research.
  3. Yangru Wu, 2004. "Momentum Trading, Mean Reveral and Overration in Chinese Stock Market," Working Papers 232004, Hong Kong Institute for Monetary Research.
  4. Andy C.C. Kwan & Yangru Wu, 2003. "A Re-examination of the Finite-Sample Properties of Pena and Rodriguez's Portmanteau Test of Lack of Fit for Time Series," Departmental Working Papers _157, Chinese University of Hong Kong, Department of Economics.
  5. Andy C.C. Kwan & Ah-Boon Sim & Yangru Wu, 2002. "On the empirical size and power of normalized autocorrelation coefficients: A Monte Carlo investigation," Departmental Working Papers _142, Chinese University of Hong Kong, Department of Economics.
  6. Andy C.C. Kwan & Yangru Wu, 2002. "On the use of the sample partial autocorrelation for order determination in a pure autoregressive process: A Monte Carlo study and empirical example," Departmental Working Papers _144, Chinese University of Hong Kong, Department of Economics.
  7. Andy C.C. Kwan & Ah-Boon Sim & Yangru Wu, 2002. "On the size and power of portmanteau tests for randomness of a time series," Departmental Working Papers _143, Chinese University of Hong Kong, Department of Economics.
  8. Ronald J. Balvers & Yangru Wu, 2002. "Stock Market Integration, Return Forecastability and Implications for Market Efficiency: A Panel Study," Working Papers 112002, Hong Kong Institute for Monetary Research.
  9. Andy C.C. Kwan & Ah-Boon Sim & Yangru Wu, 2000. "On the Empirical Size of Normalized Autocorrelation Coefficients," Departmental Working Papers _125, Chinese University of Hong Kong, Department of Economics.
  10. Andy C.C. Kwan & Ah-Boon Sim & Yangru Wu, 2000. "Further Results on the Finite-Sample Distribution of Modified Portmanteau Tests for Randomness," Departmental Working Papers _123, Chinese University of Hong Kong, Department of Economics.
  11. Nelson Mark & Yangru Wu, 1998. "Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise," Working Papers 98-05, Ohio State University, Department of Economics.
  12. Nelson C. Mark & Yangru Wu, 1997. "Risk, Policy Rules, and Noise: Rethinking Deviations from Uncovered Interest Parity," Tinbergen Institute Discussion Papers 97-041/2, Tinbergen Institute.
  13. Andy C.C., Kwan & Yangru, Wu & Fassil, Nebebe, 1996. "On the Finite-Sample Distribution of Separate Tests for Univarite Time Series Models," Departmental Working Papers _069, Chinese University of Hong Kong, Department of Economics.
  14. Andy C.C., Kwan & Yangru, Wu, 1996. "Further results on the finite-sample distribution of Monti's portmanteau test for the adequacy of an ARMA (p,q) model," Departmental Working Papers _075, Chinese University of Hong Kong, Department of Economics.
  15. Andy C.C., Kwan & Yangru, Wu, 1995. "On the Finite-Sample Distribution of Monti's Portmanteau Test for the Adequacy of an ARMA (p,q) Model," Departmental Working Papers _062, Chinese University of Hong Kong, Department of Economics.
  16. Yangru, Wu, 1993. "Are There Rational Bubbles in Foreign Exchange Markets? -- Some Direct Tests," Departmental Working Papers _027, Chinese University of Hong Kong, Department of Economics.
    repec:wop:syecwp:2000-3 is not listed on IDEAS
    repec:fth:sydnec:2000-3 is not listed on IDEAS

Articles

  1. Hui-Ju Tsai & Yangru Wu, 2022. "Changes in Corporate Social Responsibility and Stock Performance," Journal of Business Ethics, Springer, vol. 178(3), pages 735-755, July.
  2. Wang, Xinjie & Wu, Yangru & Yan, Hongjun & Zhong, Zhaodong (Ken), 2021. "Funding liquidity shocks in a quasi-experiment: Evidence from the CDS Big Bang," Journal of Financial Economics, Elsevier, vol. 139(2), pages 545-560.
  3. Ming Gu & Minxing Sun & Yangru Wu & Weike Xu, 2021. "Economic policy uncertainty and momentum," Financial Management, Financial Management Association International, vol. 50(1), pages 237-259, March.
  4. Xinjie Wang & Yangru Wu & Zhaodong (Ken) Zhong, 2020. "The Comovements Of Stock, Bond, And Cds Illiquidity Before, During, And After The Global Financial Crisis," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 43(4), pages 965-998, December.
  5. Borochin, Paul & Chang, Hao & Wu, Yangru, 2020. "The information content of the term structure of risk-neutral skewness," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 247-274.
  6. Ming Gu & Yangru Wu, 2020. "Accruals And Momentum," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 43(1), pages 63-93, March.
  7. Li, Guangzhong & Li, Jie & Wu, Yangru, 2019. "Exchange rate uncertainty and firm-level investment: Finding the Hartman–Abel effect," Journal of Comparative Economics, Elsevier, vol. 47(2), pages 441-457.
  8. Dilip Patro & Louis R. Piccotti & Yangru Wu, 2017. "Exploiting Closed-End Fund Discounts: A Systematic Examination Of Alphas," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 40(2), pages 223-248, June.
  9. Lee, Kuan-Hui & Sapriza, Horacio & Wu, Yangru, 2016. "Sovereign debt ratings and stock liquidity around the World," Journal of Banking & Finance, Elsevier, vol. 73(C), pages 99-112.
  10. Hui-Ju Tsai & Yangru Wu, 2015. "Performance of Foreign and Global Mutual Funds: The Role of Security Selection, Region-Shifting, and Style-Shifting Abilities," The Financial Review, Eastern Finance Association, vol. 50(4), pages 517-545, November.
  11. Hui-Ju Tsai & Yangru Wu, 2015. "Optimal portfolio choice with asset return predictability and nontradable labor income," Review of Quantitative Finance and Accounting, Springer, vol. 45(1), pages 215-249, July.
  12. Tsai, Hui-Ju & Wu, Yangru, 2015. "Bond and stock market response to unexpected dividend changes," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 1-15.
  13. Patro, Dilip K. & Wald, John K. & Wu, Yangru, 2014. "Currency devaluation and stock market response: An empirical analysis," Journal of International Money and Finance, Elsevier, vol. 40(C), pages 79-94.
  14. Darius Palia & Yaxuan Qi & Yangru Wu, 2014. "Heterogeneous Background Risks and Portfolio Choice: Evidence from Micro‐level Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(8), pages 1687-1720, December.
  15. Tsai, Hui-Ju & Wu, Yangru, 2014. "Optimal portfolio choice for investors with industry-specific labor income risks," Finance Research Letters, Elsevier, vol. 11(4), pages 429-436.
  16. Wang, Jun & Wu, Yangru, 2011. "Risk adjustment and momentum sources," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1427-1435, June.
  17. Yangru Wu, 2011. "Momentum trading, mean reversal and overreaction in Chinese stock market," Review of Quantitative Finance and Accounting, Springer, vol. 37(3), pages 301-323, October.
  18. Peter C. B. Phillips & Yangru Wu & Jun Yu, 2011. "EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(1), pages 201-226, February.
  19. Balvers, Ronald & Wu, Yangru, 2010. "Optimal transaction filters under transitory trading opportunities: Theory and empirical illustration," Journal of Financial Markets, Elsevier, vol. 13(1), pages 129-156, February.
  20. Chua, Choong Tze & Lai, Sandy & Wu, Yangru, 2008. "Effective fair pricing of international mutual funds," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2307-2324, November.
  21. Balvers, Ronald J. & Wu, Yangru, 2006. "Momentum and mean reversion across national equity markets," Journal of Empirical Finance, Elsevier, vol. 13(1), pages 24-48, January.
  22. Kwan, Andy C.C. & Sim, Ah-Boon & Wu, Yangru, 2005. "A comparative study of the finite-sample performance of some portmanteau tests for randomness of a time series," Computational Statistics & Data Analysis, Elsevier, vol. 48(2), pages 391-413, February.
  23. Andy Kwan & Yangru Wu, 2005. "On the use of the sample partial autocorrelation for order determination in a pure autoregressive process: a Monte Carlo study and empirical example," Applied Economics Letters, Taylor & Francis Journals, vol. 12(3), pages 133-139.
  24. Patro, Dilip K. & Wu, Yangru, 2004. "Predictability of short-horizon returns in international equity markets," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 553-584, September.
  25. Qi, Min & Wu, Yangru, 2003. "Nonlinear prediction of exchange rates with monetary fundamentals," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 623-640, December.
  26. Chaudhuri, Kausik & Wu, Yangru, 2003. "Random walk versus breaking trend in stock prices: Evidence from emerging markets," Journal of Banking & Finance, Elsevier, vol. 27(4), pages 575-592, April.
  27. Yangru Wu & Junxi Zhang, 2003. "Uniqueness and Stability of Equilibria in a Model with Endogenous Markups and Labor Supply," Annals of Economics and Finance, Society for AEF, vol. 4(1), pages 177-191, May.
  28. Dilip K. Patro & John K. Wald & Yangru Wu, 2002. "The Impact of Macroeconomic and Financial Variables on Market Risk: Evidence from International Equity Returns," European Financial Management, European Financial Management Association, vol. 8(4), pages 421-447, December.
  29. Patro, Dilip K. & Wald, John K. & Wu, Yangru, 2002. "Explaining exchange rate risk in world stock markets: A panel approach," Journal of Banking & Finance, Elsevier, vol. 26(10), pages 1951-1972, October.
  30. Wu, Yangru & Zhang, Junxi, 2001. "The Effects of Inflation on the Number of Firms and Firm Size," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 33(2), pages 251-271, May.
  31. Ronald Balvers & Yangru Wu & Erik Gilliland, 2000. "Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies," Journal of Finance, American Finance Association, vol. 55(2), pages 745-772, April.
  32. Wu, Yangru & Zhang, Junxi, 2000. "Monopolistic competition, increasing returns to scale, and the welfare costs of inflation," Journal of Monetary Economics, Elsevier, vol. 46(2), pages 417-440, October.
  33. Wu, Yangru & Zhang, Junxi, 2000. "Endogenous markups and the effects of income taxation:: Theory and evidence from OECD countries," Journal of Public Economics, Elsevier, vol. 77(3), pages 383-406, September.
  34. Kwan, Andy C C & Wu, Yangru & Zhang, Junxi, 1999. "Fixed Investment and Economic Growth in China," Economic Change and Restructuring, Springer, vol. 32(1), pages 67-79.
  35. Mark, Nelson C & Wu, Yangru, 1998. "Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise," Economic Journal, Royal Economic Society, vol. 108(451), pages 1686-1706, November.
  36. Song, Frank M. & Wu, Yangru, 1998. "Hysteresis in unemployment: Evidence from OECD countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(2), pages 181-192.
  37. Wu, Yangru & Zhang, Junxi, 1998. "Endogenous growth and the welfare costs of inflation: a reconsideration," Journal of Economic Dynamics and Control, Elsevier, vol. 22(3), pages 465-482, March.
  38. Wu, Yangru & Zhang, Junxi, 1998. "Are the U.S. Exports to and Imports from Japan Cointegrated?," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 13, pages 626-643.
  39. Wu, Yangru & Zhang, Junxi, 1998. "An empirical investigation on the time-series behavior of the U.S.-China trade deficit," Journal of Asian Economics, Elsevier, vol. 9(3), pages 467-485.
  40. Andy Kwan & Yangru Wu & Junxi Zhang, 1998. "An exogeneity analysis of financial deepening and economic growth: evidence from Hong Kong, South Korea and Taiwan," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 7(3), pages 339-354.
  41. Song, Frank M & Wu, Yangru, 1997. "Hysteresis in Unemployment: Evidence from 48 U.S. States," Economic Inquiry, Western Economic Association International, vol. 35(2), pages 235-243, April.
  42. Wu, Yangru & Zhang, Hua, 1997. "Do Interest Rates Follow Unit-Root Processes? Evidence from Cross-Maturity Treasury Bill Yields," Review of Quantitative Finance and Accounting, Springer, vol. 8(1), pages 69-81, January.
  43. Wu, Yangru, 1997. "Rational Bubbles in the Stock Market: Accounting for the U.S. Stock-Price Volatility," Economic Inquiry, Western Economic Association International, vol. 35(2), pages 309-319, April.
  44. Mark Holmes & Yangru Wu, 1997. "Capital controls and covered interest parity in the EU: Evidence from a panel-data unit root test," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 133(1), pages 76-89, March.
  45. Hai, Weike & Mark, Nelson C & Wu, Yangru, 1997. "Understanding Spot and Forward Exchange Rate Regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(6), pages 715-734, Nov.-Dec..
  46. Yangru Wu & Hua Zhang, 1997. "Forward premiums as unbiased predictors of future currency depreciation: a non-parametric analysis," Journal of International Money and Finance, Elsevier, vol. 16(4), pages 609-623, August.
  47. Yangru Wu, 1997. "The trend behavior of real exchange rates: Evidence from OECD countries," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 133(2), pages 282-296, June.
  48. Wu, Yangru & Zhang, Hua, 1996. "Mean Reversion in Interest Rates: New Evidence from a Panel of OECD Countries," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(4), pages 604-621, November.
  49. Yangru Wu & Hua Zhang, 1996. "Asymmetry in forward exchange rate bias: A puzzling result," Economics Letters, Elsevier, vol. 50(3), pages 407-411, March.
  50. Wu, Yangru, 1996. "Are Real Exchange Rates Nonstationary? Evidence from a Panel-Data Test," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 54-63, February.
  51. Wu, Yangru, 1995. "Are there rational bubbles in foreign exchange markets? Evidence from an alternative test," Journal of International Money and Finance, Elsevier, vol. 14(1), pages 27-46, February.
  52. George R. Parsons & Yangru Wu, 1991. "The Opportunity Cost of Coastal Land-Use Controls: An Empirical Analysis," Land Economics, University of Wisconsin Press, vol. 67(3), pages 308-316.
    RePEc:taf:apfiec:v:15:y:2005:i:1:p:1-11 is not listed on IDEAS

Chapters

  1. Hao Chang & Yangru Wu, 2020. "Application of Filtering Methods in Asset Pricing," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 64, pages 2303-2321, World Scientific Publishing Co. Pte. Ltd..

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Citations
  2. Number of Citations, Discounted by Citation Age
  3. Number of Citations, Weighted by Simple Impact Factor
  4. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  5. Number of Citations, Weighted by Recursive Impact Factor
  6. Number of Citations, Weighted by Number of Authors
  7. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  8. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  9. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  10. h-index
  11. Number of Registered Citing Authors
  12. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  13. Number of Journal Pages
  14. Number of Journal Pages, Weighted by Simple Impact Factor
  15. Number of Journal Pages, Weighted by Number of Authors
  16. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  17. Euclidian citation score
  18. Wu-Index

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (1) 2009-06-17
  2. NEP-FMK: Financial Markets (1) 2009-06-17
  3. NEP-SEA: South East Asia (1) 2010-04-17

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