Tao Wang

City University of New York - Queens College | QC CUNY · Department of Economics

Purpose The purpose of the paper is to investigate the relation between the value/growth anomaly and the external financing anomaly by considering an expanded value/growth indicator: free cash flow yield (free cash flows scaled by price). Design/methodology/approach The paper utilizes portfolio‐level tests and cross‐sectional regressions. Finding...

Pairs trading is a popular, market-neutral trading strategy among finance practitioners that has been recently evaluated in a number of papers. Since it is a successful trading strategy, allowing for multiple implementations of solid underlying ideas, it is interesting to further explore the underlying factors for its success. In this paper we do s...

This paper examines short-horizon return predictability of ten largest international securitized real estate markets, with special attention paid to exploring possible nonlinearity-in-mean as well as nonlinearity-in-variance predictability. Although international securitized real estate returns are generally not predictable based on commonly used s...

This paper investigates the relation of the external financing anomaly with the accrual anomaly, by focusing separately on working capital accruals and long-term accruals. We find that external financing and accrual hedge portfolios not only generate superior returns, but they also constitute statistical arbitrage opportunities. Portfolio-level ana...

Purpose The purpose of this paper is to examine the informational content of retained and distributed earnings for future profitability and stock returns. Design/methodology/approach The paper utilizes firm‐level cross‐sectional persistent regressions, Mishkin's econometric framework and portfolio‐level analysis. Findings The paper shows that inv...

In this paper, we find that firms with low (high) accruals experience positive (negative) abnormal returns only when they are characterized by high (low) value/growth measures (book to market ratio and free cash flow yield). The level of accruals of those firms is found to be attributable to both growth and earnings management. Further, our evidenc...

In this paper, we find that firms with low (high) accruals experience positive (negative) abnormal returns only when they are characterized by high (low) value/growth measures (book to market ratio and free cash flow yield). The level of accruals of those firms is found to be attributable to both growth and earnings management. Further, our evidenc...

Using high frequency data, this paper first time comprehensively examines the intraday efficiency of four major energy (crude oil, heating oil, gasoline, natural gas) futures markets. In contrast to earlier studies which focus on in-sample evidence and assume linearity, the paper employs various nonlinear models and several model evaluation criteri...

This paper examines the probability of returns exceeding a threshold, extending earlier work of Christoffersen and Diebold (2006) on volatility dynamics and sign predictability. We find that the choice of the threshold matters and that a zero threshold (leading to sign predictions) does not lead to the largest probability response to changes in vol...

This paper examines daily return predictability for eighteen international stock index ETFs. The out-of-sample tests are conducted, based on linear and various popular nonlinear models and both statistical and economic criteria for model comparison. The main results show evidence of predictability for six of eighteen ETFs. A simple linear autoregre...

In this paper we investigate the relation of the value/growth anomaly with the anomaly on corporate financing activities. We find that value/growth and external financing indicators could be related in capturing stock returns attributable to sales growth. However, external financing indicators could be incrementally informative since they also pick...

For 13 major international stock markets, there is much evidence of out-of-sample predictability for growth stocks especially when evaluated with economic criteria, and to a noticeably lesser extent for general stock markets and value stocks. Our results shed light on the recent debate about stock return predictability, using different assets (grow...

Using intraday data, this study investigates the contribution to the price discovery of Euro and Japanese Yen exchange rates in three foreign exchange markets based on electronic trading systems: the CME GLOBEX regular futures, E-mini futures, and the EBS interdealer spot market. Contrary to evidence in equity markets and more recent evidence in fo...

Intraday currency futures prices react to both surprises in the federal funds target rate (the target factor) and surprises in the anticipated future direction of Federal Reserve monetary policy (the path factor) in similar magnitude, and the reaction is short-lived. Dollar-denominated currency futures prices drop significantly in response to posit...

Using intraday data, this study investigates the contribution to the price discovery of Euro and Japanese Yen exchange rates in three foreign exchange markets based on electronic trading systems: the CME GLOBEX regular futures, E‐mini futures, and the EBS interdealer spot market. Contrary to evidence in equity markets and more recent evidence in fo...

Using high-frequency returns, realized volatility and correlation of the NYMEX light, sweet crude oil, and Henry-Hub natural gas futures contracts are examined. The unconditional distributions of daily returns and daily realized variances are non-Gaussian, whereas the distributions of the standardized returns (normalized by the realized standard de...

We examine the `relative optimality' of sign predictions for financial returns, extending the work of Christoffersen and Diebold (2006) on volatility dynamics and sign predictability. We show that there is a more general decomposition of financial returns than that implied by the sign decomposition and which depends on the choice of the threshold t...

This paper, builds on the work of Hirshleifer, Hou, Teoh and Zhang (Journal of Accounting and Economics, 38, 2004) on the NOA (net operating assets) anomaly. After controlling for current profitability, we find a strong negative relation of NOA with future stock returns. Moreover, the results indicate that this relation is driven from the asset sid...

In this paper, we investigate the informational content of retained and distributed earnings for future profitability and market mispricing. We find that investors act as if the components of retained earnings (current operating accruals, non current operating accruals and retained cash flows) have similar implications for future profitability, lea...

In this paper we investigate the relation of the anomalies on accruals and net stock issues with the value/glamour anomaly. Our findings reveal, that hedge strategies on retained earnings, total accruals, net operating assets (accrual proxies), cash distributions to equity holders (net stock issues proxy), past sales growth, book to market ratio an...

Using intraday returns on four futures contracts over a 5-year period, we calculate and analyze model-free measures of futures return volatility. We focus on the temporal characteristics and distributional properties of daily returns, return volatilities, (log of) standard deviations, standardized returns and pairwise correlations. The behavior of...

Using singular spectrum analysis (SSA), we model the realized volatility and logarithmic standard deviations of two important futures return series. The realized volatility and logarithmic standard deviations are constructed following the methodology of Andersen et al. [J. Am. Stat. Ass. 96 (2001) 42–55] using intra-day transaction data. We find th...

In this paper we start from incomplete data ridden with gross measurement errors to construct the underlying data base for a computable general equilibrium model (CGE) of the North Korean economy using cross-entropy estimation techniques. This model incorporates fragmentary information in a rigorous way and allows us to examine the implications of...

Noland, Marcus, Robinson, Sherman, and Wang, Tao—Modeling Korean UnificationUsing a computable general equilibrium (CGE) model, we analyze economic integration between North and South Korea. For North Korea, product market integration would generate large welfare gains, sufficient to end the famine. Additional gains could be had through military de...

In this paper, we use cross-entropy estimation techniques to construct the underlying data base for a computable general equilibrium model (CGE) of the North Korean economy, starting from incomplete data, ridden with gross measurement errors. The cross-entropy estimation approach is powerful and flexible, allowing us to make full use of what inform...