Jiang Wang

Mizuho Financial Group Professor of Finance at MIT

About

Jiang Wang is the Mizuho Financial Group Professor of Finance at MIT. He received his Ph.D. in Finance from the University of Pennsylvania in 1990 and his BS in Physics from Nanjing University in 1981. Prior to joining MIT, he was a Research Associate at the National Bureau of Economic Research. His research interests include asset pricing, market microstructure, and corporate finance.

Education

University of Pennsylvania

Ph.D., Finance / 1990

Philadelphia, Pennsylvania, United States of America

Nanjing University

BS, Physics / 1981

Nanjing

Experience

MIT

Mizuho Financial Group Professor of Finance / 2005Present

National Bureau of Economic Research

Research Associate / 1997Present

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

Research Interests

Economics and Econometrics
Finance
Accounting
Economics and Econometrics
Economics and Econometrics
Economics and Econometrics
Finance
Accounting
Strategy and Management
Management Science and Operations Research
Computer Science Applications
Pharmacology (medical)
Management Science and Operations Research
General Business, Management and Accounting
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