Wei Liu

Texas A&M University - Department of Finance

430 Wehner

College Station, TX 77843-4218

United States

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 27,009

SSRN RANKINGS

Top 27,009

in Total Papers Downloads

2,211

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (7)

1.

The CAPM Works Better for Average Daily Returns

Mays Business School Research Paper No. 2826683
Number of pages: 27 Posted: 21 Aug 2016 Last Revised: 06 Sep 2018
Texas A&M University - Department of Finance, Texas A&M University - Department of Finance and University of Vaasa, Department of Mathematics and Statistics
Downloads 485 (71,519)

Abstract:

Loading...

CAPM, cross-sectional tests, expected returns, realized returns

2.

Two Market Forces in Asset Prices

Number of pages: 63 Posted: 15 Mar 2012 Last Revised: 05 Aug 2018
Texas A&M University - Department of Finance, Texas A&M University - Department of Finance and Texas A&M University - Department of Statistics
Downloads 467 (74,890)
Citation 6

Abstract:

Loading...

asset pricing, zero-beta CAPM, market volatility

3.

A New Investment Technology: The ZCAPM

Mays Business School Research Paper No. 2885467
Number of pages: 31 Posted: 24 May 2017 Last Revised: 03 Apr 2019
Texas A&M University - Department of Finance, Texas A&M University - Department of Finance and Texas A&M University - Department of Statistics
Downloads 459 (76,510)

Abstract:

Loading...

Investment Portfolios, Market Index, Return Dispersion

4.

Return Dispersion and the Cross-Section of Stock Returns

Mays Business School Research Paper No. 3200095
Number of pages: 81 Posted: 29 Jun 2018 Last Revised: 14 Jul 2020
Texas A&M University - Department of Finance, Texas A&M University - Department of Finance and Texas A&M University - Department of Statistics
Downloads 336 (109,563)
Citation 2

Abstract:

Loading...

Asset pricing, Cross-sectional stock returns, Expectation-maximization (EM) algorithm, Return dispersion

5.

Market Risk and the Momentum Mystery

Number of pages: 39 Posted: 21 Nov 2018 Last Revised: 09 Feb 2019
James W. Kolari and Wei Liu
Texas A&M University - Department of Finance and Texas A&M University - Department of Finance
Downloads 229 (162,567)

Abstract:

Loading...

momentum, market risk, return dispersion, asset pricing

6.

CAPM: A Covariance Adjustment Approach for Estimating Market Beta

Number of pages: 47 Posted: 10 Mar 2016 Last Revised: 25 May 2016
Texas A&M University - Department of Finance, Texas A&M University - Department of Finance and University of Vaasa, Department of Mathematics and Statistics
Downloads 151 (235,399)

Abstract:

Loading...

asset pricing, CAPM, cross-sectional tests, market beta

7.

Multifactor Market Indexes

Mays Business School Research Paper No. 3086832
Number of pages: 43 Posted: 15 Dec 2017 Last Revised: 14 Jul 2020
Wei Liu and James W. Kolari
Texas A&M University - Department of Finance and Texas A&M University - Department of Finance
Downloads 84 (355,784)

Abstract:

Loading...

efficient portfolios, market, beta, market index, multifactors