Wenjin Kang

School of Finance, Shanghai University of Finance and Economics

777 Guoding Road

Shanghai, Shanghai 200433

China

SCHOLARLY PAPERS

11

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Top 8,524

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6,526

SSRN CITATIONS
Rank 14,603

SSRN RANKINGS

Top 14,603

in Total Papers Citations

57

CROSSREF CITATIONS

20

Scholarly Papers (11)

1.

Stock Market Declines and Liquidity

Journal of Finance, Forthcoming, AFA 2007 Chicago Meetings Paper, EFA 2007 Ljubljana Meetings Paper
Number of pages: 49 Posted: 09 Mar 2006 Last Revised: 13 Nov 2008
Wenjin Kang, Allaudeen Hameed and S. Viswanathan
School of Finance, Shanghai University of Finance and Economics, National University of Singapore (NUS) - Department of Finance and Duke University - Fuqua School of Business
Downloads 1,545 (13,762)
Citation 30

Abstract:

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Liquidity, Market decline, Liquidity commonality, Price reversal

2.

A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets

Journal of Finance, Forthcoming
Number of pages: 61 Posted: 14 Jun 2014 Last Revised: 22 Apr 2019
Wenjin Kang, K. Geert Rouwenhorst and Ke Tang
School of Finance, Shanghai University of Finance and Economics, Yale School of Management - International Center for Finance and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 1,531 (13,968)
Citation 23

Abstract:

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Commodity futures, liquidity provision, return predictability, theory of normal backwardation, hedging pressure, risk premium

3.

Crowding and Factor Returns

Number of pages: 51 Posted: 15 Mar 2021
Wenjin Kang, K. Geert Rouwenhorst and Ke Tang
School of Finance, Shanghai University of Finance and Economics, Yale School of Management - International Center for Finance and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 879 (32,168)

Abstract:

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Crowding, Factor Investing, Carry, Momentum, Value, Commodity Futures, Commodities

4.

Liquidity Beyond the Best Quote: A Study of the NYSE Limit Order Book

EFA 2007 Conference Paper, WFA 2008 Conference Paper
Number of pages: 58 Posted: 07 Mar 2006 Last Revised: 08 Feb 2009
Wenjin Kang and Wee Yong Yeo
School of Finance, Shanghai University of Finance and Economics and National University of Singapore (NUS) - Department of Accounting
Downloads 786 (37,276)
Citation 7

Abstract:

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Limit order, Liquidity, Market return, Volatility

5.

Stock Price Synchronicity and Liquidity

Number of pages: 38 Posted: 18 Mar 2008 Last Revised: 01 Jan 2013
Kalok Chan, Allaudeen Hameed and Wenjin Kang
CUHK Business School, National University of Singapore (NUS) - Department of Finance and School of Finance, Shanghai University of Finance and Economics
Downloads 745 (40,099)
Citation 2

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Liquidity, Price Synchronicity, adverse information risk

6.

The Illiquidity Premium: International Evidence

Journal of Financial Economics (JFE), Vol. 117, No. 2, 2015
Number of pages: 52 Posted: 28 Jan 2013 Last Revised: 27 Jan 2016
New York University - Stern School of Business, National University of Singapore (NUS) - Department of Finance, School of Finance, Shanghai University of Finance and Economics and James Cook University - College of Business, Law and Governance,
Downloads 375 (94,702)
Citation 14

Abstract:

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Illiquidity Premium, International Markets, Commonality in Illiquidity Premium

7.

Relative Basis and Risk Premia in Commodity Futures Markets

Number of pages: 60 Posted: 21 Jun 2019 Last Revised: 08 Jan 2021
Ming Gu, Wenjin Kang, Dong Lou and Ke Tang
Xiamen University - School of Economics, School of Finance, Shanghai University of Finance and Economics, London School of Economics & Political Science (LSE) and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 308 (117,775)

Abstract:

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relative basis, commodity futures, risk premia, convenience yield, theory of storage

8.

Measuring Liquidity in Emerging Markets

Number of pages: 45 Posted: 17 Sep 2013
Wenjin Kang and Huiping Zhang
School of Finance, Shanghai University of Finance and Economics and James Cook University - College of Business, Law and Governance,
Downloads 250 (146,220)
Citation 2

Abstract:

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Liquidity measure, Emerging markets

9.

Information Uncertainty and the Pricing of Liquidity

Journal of Empirical Finance, Forthcoming
Number of pages: 64 Posted: 08 Jan 2013 Last Revised: 01 Sep 2019
Wenjin Kang, Nan Li and Huiping Zhang
School of Finance, Shanghai University of Finance and Economics, National University of Singapore (NUS) and James Cook University - College of Business, Law and Governance,
Downloads 58 (426,480)

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Liquidity, Information Uncertainty, Stock Return

10.

Internet Appendix to 'A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets'

Journal of Finance, Forthcoming, Yale ICF Working Paper No. 2019-09
Number of pages: 14 Posted: 21 May 2019
Wenjin Kang, K. Geert Rouwenhorst and Ke Tang
School of Finance, Shanghai University of Finance and Economics, Yale School of Management - International Center for Finance and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 49 (459,745)
Citation 1

Abstract:

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commodity futures, liquidity provision, return predictability, theory of normal backwardation, hedging pressure, risk premium

11.

Labor Income Risk, Consumption Risk, and Liquidity Premium in the Long Run

Posted: 09 Jan 2011 Last Revised: 18 Dec 2013
Wenjin Kang and Nan Li
School of Finance, Shanghai University of Finance and Economics and Shanghai Jiao Tong University, Antai College of Economics and Management

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Liquidity Premium, Labor Income Risk, Long Run Risk

Other Papers (1)

Total Downloads: 64
1.

Stock Price Synchronicity and Liquidity

Number of pages: 39 Posted: 13 Mar 2008 Last Revised: 08 Feb 2009
Wenjin Kang, Kalok Chan and Allaudeen Hameed
School of Finance, Shanghai University of Finance and Economics, CUHK Business School and National University of Singapore (NUS) - Department of Finance
Downloads 64

Abstract:

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Price Synchronicity, Liquidity