J
Jiang Wang
Researcher at Massachusetts Institute of Technology
Publications - 87
Citations - 13234
Jiang Wang is an academic researcher from Massachusetts Institute of Technology. The author has contributed to research in topics: Market liquidity & Capital asset pricing model. The author has an hindex of 44, co-authored 87 publications receiving 12468 citations. Previous affiliations of Jiang Wang include National Bureau of Economic Research & Autonomous University of Madrid.
Papers
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Trading Volume and Serial Correlation in Stock Returns
TL;DR: In this paper, the authors investigated the relationship between aggregate stock market trading volume and the serial correlation of daily stock returns and found that the first-order daily return autocorrelation tends to decline with volume.
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A Model of Competitive Stock Trading Volume
TL;DR: In this article, a model of competitive stock trading is developed in which investors are heterogeneous in their information and private investment opportunities and rationally trade for both informational and noninformational motives.
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The Illiquidity of Corporate Bonds
Jack Bao,Jun Pan,Jiang Wang +2 more
TL;DR: In this article, the authors examined the illiquidity of corporate bonds and its asset-pricing implications using transactions data from 2003 to 2009, and showed that the amount of illiquidness in corporate bonds is substantial, significantly greater than what can be explained by bid-ask spreads.
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Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation
TL;DR: In this article, a systematic and automatic approach to technical pattern recognition using nonparametric kernel regression was proposed, and applied to a large number of U.S. stocks from 1962 to 1996 to evaluate the effectiveness of technical analysis.
Book
A model of intertemporal asset prices under asymmetric information
TL;DR: In this paper, a dynamic asset-pricing model under asymmetric information is presented, where investors have different information concerning the future growth rate of dividends and rationally extract information from prices as well as dividends and maximize their expected utility.