Zijun Wang, Ph.D.

Associate Professor, Finance

Zijun Wang Headshot

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Bio

Zijun Wang, associate professor of finance, holds a Ph.D. in agricultural economics from Texas A&M University, and a M.A. and B.A. in economics from Renmin University of China. Prior to joining UTSA, he was a research scientist at the Private Enterprise Research Center at Texas A&M University.

He has published over 50 papers in peer-reviewed journals includingJournal of Financial Economics, Management Science, Journal of Financial and Quantitative Analysis, Journal of Money, Credit & Banking, Financial Management, Journal of Banking and Finance, Journal of Econometrics, Econometric Theory and Journal of Health Economics.

Research Interests

  • Empirical asset pricing
  • International finance
  • Applied econometrics

Degrees

  • Ph.D. Texas A&M University
  • M.A. Renmin University of China
  • B.A. Renmin University of China

Publications

  • "The High-Volume Return Premium and Economic Fundamentals." Journal of Financial Economics. 2020, Forthcoming
  • “Estimation of Market Information Shares: A Comparison,” (with Donald Lien), Journal of Futures Markets, Vol. 36, No. 11, 2016, pp. 1108-1124.
  • “Information Flow Between Forward and Spot Markets: Evidence From the Chinese Renminbi,” (with J. Tong and J. Yang), Journal of Futures Markets, Vol. 36, Issue 7, July 2016, pp. 695-718.
  • “The Effects of Trust Fund Surpluses on the Rest of the Federal Budget,” (with Liqun Liu, Andrew Rettenmaier and Thomas Saving), Quarterly Review of Economics and Finance, Vol. 64, 2017, pp. 228-237.“Is the Investment Factor a Proxy for Time-Varying Investment Opportunities? The U.S. and International Evidence,” with L. Huang, Journal of Banking and Finance, Vol. 44, No. 7, 2014, pp. 219-232.
  • “Do the Investment and Return-on-Equity Factors Proxy for Economic Risks?” Financial Management, Vol. 42, No. 1, 2013, pp. 183-209.
  • “Time-Varying Risk-Return Tradeoff in the Stock Market,” with H. Guo and J. Yang, Journal of Money, Credit and Banking, Vol. 45, No. 4, 2013, pp. 623-650.
  • “Conditional Co-skewness in Stock and Bond Markets: Time Series Evidence,” with J. Yang and Y. Zhou, Management Science, Vol. 56, No. 11, 2010, pp. 2031-2049.
  • “Is the Value Premium a Proxy for Time-Varying Investment Opportunities: Some Time Series Evidence,” with H. Guo, R. Savickas, and J. Yang, Journal of Financial and Quantitative Analysis, Vol. 44, No. 1, 2009, pp. 133-154.
  • “Fiscal Policy and Asset Markets: A Semiparametric Analysis,” with D.W. Jansen, Q. Li, and J. Yang, Journal of Econometrics, Vol. 147, No. 1, 2008, pp. 141-150.
  • “Estimating Persistence in Medicare Reimbursements,” with A.J. Rettenmaier, Journal of Health Economics, Vol. 25, No. 1, 2006, pp. 39-57.
  • “A Monte Carlo Study on the Selection of Cointegrating Ranks Using Information Criteria,” with D.A. Bessler, Econometric Theory, Vol. 21, No. 3, 2005, pp. 593-620.