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Zhenyu Wang - Indiana University, Kelley School of Business. Bloomington, IN, US

Zhenyu Wang Zhenyu Wang

Professor of Business Finance | Indiana University, Kelley School of Business

Bloomington, IN, UNITED STATES

Professor Wang has published research on equity, fixed income, derivative securities, asset management, and financial econometrics.

Secondary Titles (1)

  • Edward E. Edwards Professor

Biography

Zhenyu Wang is Professor of Business Finance and Edward E. Edwards Professor at the Kelley School of Business in Indiana University. He was formerly a vice president at the Federal Reserve Bank of New York, where he was the head of Financial Intermediation Function. During the recent financial crisis, he contributed directly to the design of Fed emergency liquidity facilities, the reform of Fed discount window collateral management, the bailout of Bear Stearns and AIG, the security design of TARP, and the development of new capital requirements for banks. Before working at the NY Fed, he was a faculty member at Graduate School of Business in Columbia University for nine years and at the School of Business in UT Austin for one year.

Professor Wang has published research on equity, fixed income, derivative securities, asset management, and financial econometrics. Some of his publications are influential in business education and bank regulation. One of his papers was awarded the Best Paper on Investments at the Western Finance Association. Professor Wang obtained his Ph.D. degree in economics from the University of Minnesota, where he received the Alfred P. Sloan Doctoral Dissertation Fellowship.

Industry Expertise (3)

Financial Services Education/Learning Research

Areas of Expertise (8)

Financial Markets Financial Intermediation Derivatives Securities & Corporate Finance Risk Management Portfolio Management Econometrics Asset Pricing

Accomplishments (3)

Trustee Teaching Award (professional)

2014

Indiana University.

TCFA Best Paper Award (professional)

2012

For “On the Design of Contingent Capital with a Market Trigger.”

Service Award for associate editors (professional)

2012

Management Science

Education (4)

University of Minnesota: Ph.D., Economics 1995

University of Minnesota: M.A., Economics 1993

Dalian Institute of Technology: M.S., Mathematics 1985

Dalian Institute of Technology: B.S., Mathematics 1982

Media Appearances (1)

States Target Brokers' License Ploy

The Wall Street Journal  online

2014-01-23

Promissory notes aren't classified at the federal level but most must be registered as securities in the states in which they are sold, according to Nasaa. The promissory notes would qualify as a security under Indiana state law and therefore require a securities license to sell them, said Zhenyu Wang, a finance professor at Indiana University's Kelley School of Business. The Indiana Securities Division declined to comment...

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Articles (5)

On the Design of Contingent Capital with a Market Trigger Journal of Finance

2015

Contingent capital (CC), which aims to internalize the costs of too-big-to-fail in the capital structure of large banks, has been under intense debate by policy makers and academics. We show that CC with a market trigger, in which direct stakeholders are unable to choose optimal conversion policies, does not lead to a unique competitive equilibrium unless value transfer at conversion is not expected ex ante.

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Empirical Evaluation of Asset Pricing Models: Arbitrage and Pricing Errors in Contingent Claims Journal of Empirical Finance

2012

In this paper, we develop simulation-based Bayesian inference for these measures. While the literature reports that the time-varying extensions substantially reduce pricing errors of classic models on the standard test assets, our analysis shows that the reduction is much smaller based on the second measure.

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Performance Maximization of Actively Managed Funds Journal of Financial Economics

2011

A growing literature suggests that even in the absence of any ability to predict returns, holding options on the benchmarks or trading frequently can generate positive alpha. The ratio of alpha to its tracking error appraises a fund’s performance.

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Valuing the Treasury's Capital Assistance Program Management Science

2011

The Capital Assistance Program (CAP) was created by the U.S. government in February 2009 to provide backup capital to large financial institutions unable to raise sufficient capital from private investors. Under the terms of the CAP, a participating bank receives contingent capital by issuing preferred shares to the Treasury combined with embedded options for both parties: The bank gets the option to redeem the shares or convert them to common equity, with conversion mandatory after seven years; the Treasury earns dividends on the preferred shares and gets warrants on the bank’s common equity. We develop a contingent claims framework in which to estimate market values of these CAP securities.

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Y2K Options and the Liquidity Premium in Treasury Markets Review of Financial Studies

2009

Financial institutions around the world expected the millennium date change (Y2K) to cause an aggregate liquidity shortage. Responding to concerns about this liquidity shortage, the Federal Reserve Bank of New York auctioned Y2K options to primary dealers.

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