Jiang Wang

MIT Sloan School of Management
100 Main Street, E62-614
Cambridge, MA 02142
Tel: 617/253-2632
Fax: 617/258-6855

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
NBER Program Affiliations: AP
NBER Affiliation: Research Associate
Institutional Affiliation: Massachusetts Institute of Technology

NBER Working Papers and Publications

May 2019Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns
with Grace Xing Hu, Jun Pan, Haoxiang Zhu: w25817
February 2018Chinese Capital Market: An Empirical Overview
with Grace Xing Hu, Jun Pan: w24346
August 2015Tri-Party Repo Pricing
with Grace Xing Hu, Jun Pan: w21502
July 2012Market Liquidity -- Theory and Empirical Evidence
with Dimitri Vayanos: w18251

Published: Market Liquidity—Theory and Empirical Evidence, in George Constantinides, Milton Harris, and Rene Stulz, eds.: Handbook of the Economics of Finance, 2013, Chapter 19, North Holland, Amsterdam. (With Jiang Wang)

October 2010Noise as Information for Illiquidity
with Xing Hu, Jun Pan: w16468

Published: “Noise as Information for Illiquidi ty,” (with Xing Hu and Jiang Wang), Journal of Finance , volume 68, pages 2223-2772, 2013. citation courtesy of

August 2009Liquidity and Asset Prices: A Unified Framework
with Dimitri Vayanos: w15215

Published: Liquidity and Asset Prices under Asymmetric Information and Imperfect Competition, Review of Financial Studies, 2012, 25, 1339-1365. (With Jiang Wang) Previously circulated under the title: Liquidity and Asset Prices: A Unified Framework.

July 2009Market Selection
with Leonid Kogan, Stephen Ross, Mark M. Westerfield: w15189

Published: Kogan, Leonid & Ross, Stephen A. & Wang, Jiang & Westerfield, Mark M., 2017. "Market selection," Journal of Economic Theory, Elsevier, vol. 168(C), pages 209-236. citation courtesy of

June 2008Market Liquidity, Asset Prices and Welfare
with Jennifer Huang: w14058

Published: Huang, Jennifer & Wang, Jiang, 2010. "Market liquidity, asset prices, and welfare," Journal of Financial Economics, Elsevier, vol. 95(1), pages 107-127, January. citation courtesy of

May 2008Liquidity and Market Crashes
with Jennifer Huang: w14013

Published: Jennifer Huang & Jiang Wang, 2009. "Liquidity and Market Crashes," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 22(7), pages 2407-2443, July. citation courtesy of

June 2005Optimal Trading Strategy and Supply/Demand Dynamics
with Anna Obizhaeva: w11444

Published: Obizhaeva, Anna A. & Wang, Jiang, 2013. "Optimal trading strategy and supply/demand dynamics," Journal of Financial Markets, Elsevier, vol. 16(1), pages 1-32. citation courtesy of

July 2003Evaluating Portfolio Policies: A Duality Approach
with Martin B. Haugh, Leonid Kogan: w9861

Published: Haugh, M., Kogan, L., and J. Wang. “Evaluating Portfolio Policies: A Duality Approach." Operations Research 54 (2004): 405-418.

June 2003How to Tell if a Money Manager Knows More?
with Sergey Iskoz: w9791
January 2003The Price Impact and Survival of Irrational Traders
with Leonid Kogan, Stephen Ross, Mark Westerfield: w9434

Published: Kogan, Leonid, Stephen Ross, Jiang Wang, and Mark Westerfield. "The Price Impact and Survival of Irrational Traders", Journal of Finance vol. 61, issue 1, 195-229, 2006. citation courtesy of

October 2001Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model
with Andrew W. Lo: w8565

Published: Andrew W. Lo & Jiang Wang, 2006. "Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model," Journal of Finance, American Finance Association, vol. 61(6), pages 2805-2840, December. citation courtesy of

May 2001Dynamic Volume-Return Relation of Individual Stocks
with Guillermo Llorente, Roni Michaely, Gideon Saar: w8312

Published: Llorente, G., R. Michaely, G. Saar and J. Wang. "Dynamic Volume-Return Relation Of Individual Stocks," Review of Financial Studies, 2002, v15(4), 1005-1047. citation courtesy of

Asset Prices and Trading Volume Under Fixed Transactions Costs
with Andrew W. Lo, Harry Mamaysky: w8311

Published: Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2004. "Asset Prices and Trading Volume under Fixed Transactions Costs," Journal of Political Economy, University of Chicago Press, vol. 112(5), pages 1054-1090, October. citation courtesy of

March 2000Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory
with Andrew W. Lo: w7625

Published: Lo, A. W. and J. Wang. "Trading Volume: Definitions, Data Analysis, And Implications Of Portfolio Theory," Review of Financial Studies, 2000, v13(2,Summer), 257-300. citation courtesy of

Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation
with Andrew W. Lo, Harry Mamaysky: w7613

Published: Lo, Andrew W., Harry Mamaysky and Jiang Wang. "Foundations Of Technical Analysis: Computational Algorithms, Statistical Inference, And Empirical Implementation," Journal of Finance, 2000, v55(4,Aug), 1705-1765. citation courtesy of

July 1995The Term Structure of Interest Rates in a Pure Exchange Economy with Heterogeneous Investors

Published: Journal of Financial Economics, Vol. 41, no. 1 (May 1996): 75-110.

February 1995Differential Information and Dynamic Behavior of Stock Trading Volume
with Hua He: w5010

Published: Review of Financial Studies, Vol. 8, no. 4 (Winter 1995): 919-972. citation courtesy of

April 1994Implementing Option Pricing Models When Asset Returns Are Predictable
with Andrew W. Lo: w4720

Published: Journal of Finance, vol. 50, no. 1, March 1995. citation courtesy of

October 1992Trading Volume and Serial Correlation in Stock Returns
with John Y. Campbell, Sanford J. Grossman: w4193

Published: Quarterly Journal of Economics, vol cviii (4), November 1993, pp. 905-939 citation courtesy of

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