Yangru Wu
Professor
of Finance
Director,
Master of Quantitative Finance Program
Biographical Information
Hi! Welcome to my homepage! I am Professor of Finance and
Director of the Master of Quantitative Finance Program at the Rutgers Business
School-Newark & New Brunswick. I obtained my Ph.D. from the
To know more about my research interests and publications, please see my cv in .pdf file below.
My Best Two Pieces of Work
The 1988 Piece (click to see)
The 1996 Piece
(click to see)
Contact Information
Department of Finance & Economics
Rutgers Business School-Newark & New Brunswick
1
Tel: 973-353-1146
Fax: 973-353-1006
Email: yangruwu@andromeda.rutgers.edu
Homepage: http://andromeda.rutgers.edu/~yangruwu
Honors and Awards
Ranked among the top 500
economists worldwide based on Tom’s ranking
(Source:
Tom’s ranking, http://student.ulb.ac.be/~tcoupe/ranklab6.html)
Ranked among the most prolific authors in the finance by
Jean Heck and Philip Cooley, 2009
Best of the Best Competitive Paper Award, FMA, 1999
Competitive Paper Award in Investments, FMA, 1999
Senior Faculty Research Award,
Rutgers Business School-Newark & New Brunswick, 2003
Crowell Award Finalist, PanAgora Asset Management,
Outstanding Research Award, College of Business, West Virginia University, 1996-1997
Teaching Schedule
1. International Capital Markets
Presentation Slides:
Ch1,
Solution to end-of-chapter problems
Ch4,
Some Published and Working
Papers (in .pdf files)
“Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?” (with Peter Phillips and Jun Yu). (TEXT, International Economic Review, forthcoming).
“Optimal Transaction Filters under Transitory Trading Opportunities: Theory and Empirical Illustration” (with Ronald Balvers). (TEXT, Journal of Financial Markets, forthcoming).
“Effective Fair Pricing of International Mutual Funds” (with Choong Tze Chua and Sandy Lai). (TEXT, Journal of Banking and Finance, 2008).
“Momentum and Mean Reversion across National Equity Markets” (with Ronald Balvers). (TEXT, Journal of Empirical Finance, 2006).
“Technical Trading-Rule Profitability, Data Snooping, and Reality Check: Evidence from the Foreign Exchange Market” (with Min Qi). (TEXT, Journal of Money Credit and Banking, 2006).
“A Comparative Study of the Finite-sample Performance of Some Portmanteau Tests for Randomness of a Time Series” (with Andy Kwan and Ah-Boon Sim), (TEXT, Computational Statistics and Data Analysis, 2005).
“Mean Reversion across National Equity Markets and Parametric Contrarian Investment Strategies” (with Ronald Balvers and Erik Gilliland). (TEXT, Journal of Finance April 2000).
“Predictability of Short-Horizon Equity Returns in International Equity Markets” (with Dilip Patro). (TEXT, Journal of Empirical Finance 11, 2004, 553-584.)
"Explaining Exchange Rate Risk in World Stock Markets: A Panel Approach" (with Dilip Patro and John Wald). (TEXT, Journal of Banking and Finance 26, 2002).
“The Impact of Macroeconomic and Financial Variables on Market Risk: Evidence from International Equity Returns” (with Dilip Patro and John Wald) (TEXT, European Financial Management, 2002).
"Nonlinear Prediction of Exchange Rates with Monetary Fundamentals" (with Min Qi). (TEXT, Journal of Empirical Finance 10, 2003, 623-640).
“Random Walk versus Breaking Trend in Stock Prices: Evidence from Emerging Markets” (with Kausik Chaudhuri). (TEXT, Journal of Banking and Finance, 27, 2003, 575-592)
"Rethinking Deviations from Uncovered Interest Parity " (with Nelson Mark). (TEXT, The Economic Journal, 1998).
"Understanding Spot and Forward Exchange Rate Regressions" (with Weike Hai and Nelson Mark). (TEXT, Journal of Applied Econometrics, 1997).
"Are Real Exchange Rates Non-stationary? (TEXT, Journal of Money Credit and Banking, 1996).
“Mean Reversion in Interest Rates: New Evidence from a Panel
of OECD Countries” (with Hua Zhang), (TEXT, Journal
of Money, Credit and Banking, 1996).
“Asymmetry in Forward Exchange Rate Bias: A
Puzzling Result” (with Hua Zhang), (TEXT, Economics
Letters, 1996).
“Forward Premiums as Unbiased Predictors of
Future Currency Depreciation” (with Hua Zhang), (TEXT, Journal
of International Money and Finance, 1997).
"Monopolistic Competition, Increasing Returns to Scale and the Welfare Costs of Inflation” (with Junxi Zhang) (TEXT, Journal of Monetary Economics, 2000).
“Endogenous Markups and the Effects of Income Taxation: Theory and Evidence from OECD Countries” (with Junxi Zhang), (TEXT, Journal of Public Economics, September 2000, 383-406.)
“Endogenous Growth and the Welfare Costs of Inflation” (with Junxi Zhang), (TEXT, Journal of Economic Dynamics and Control, 1998).
“The Effects of Inflation on the Number of
Firms and Firm Size” (with Junxi Zhang), (TEXT, Journal
of Money, Credit and Banking, May 2001).
“Hysteresis in
Unemployment: Evidence from 48
“Further Results on the Finite-Sample Distribution of Monti’s Portmanteau Test for the Adequacy of an ARMA(p,q) Model” (with Andy Kwan), (Biometrika, 1997).
“Rational Bubbles in the Stock Market: Accounting for the
"Are There Rational Bubbles in Foreign Exchange Markets.” (TEXT, Journal of International Money and Finance, 1995).
Useful Links
Journal of Finance: http://www.cob.ohio-state.edu/~fin/journal/jof.htm
List of Economic & Finance Journals: http://www.helsinki.fi/WebEc/journals.html
JSTOR: http://www.jstor.org
Last updated January 16, 2009
