Jin Wu
University of Georgia
13 Papers
107 Citations
Jin Wu is an academic researcher from University of Georgia. The author has contributed to research in topics: Realized variance & Capital asset pricing model. The author has an hindex of 9, co-authored 13 publications. Previous affiliations of Jin Wu include University of Pennsylvania.
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Papers
The q‐Theory Approach to Understanding the Accrual Anomaly
Jin Wu,Lu Zhang,Frank Zhang +2 more
TL;DR: In this paper, the authors assume that firms optimally adjust their accruals in response to discount rate changes, and propose an investment factor into standard factor regressions to reduce the magnitude of the accrual anomaly.
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A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
TL;DR: In this article, the authors selectively survey, unify and extend the literature on realized volatility of financial asset returns, and progress by examining economically interesting functions of realized volatility, namely realized betas for equity portfolios, relating them both to their underlying realized variance and covariance parts and to underlying macroeconomic fundamentals.
Do Anomalies Exist Ex Ante
TL;DR: In this article, accounting-based expected returns for dollar neutral long-short trading strategies formed on a wide array of anomaly variables, including book-to-market, size, composite issuance, net stock issues, abnormal investment, asset growth, investment-to assets, accruals, earnings surprises, failure probability, return on assets, and short-term prior returns.
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•Posted Content
Realized Beta: Persistence and Predictability
TL;DR: In this article, the authors assess the dynamics in realized betas, vis-a-vis the dynamics of the underlying realized market variance and individual equity covariances with the market.
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Do Anomalies Exist Ex Ante
TL;DR: In this paper, accounting-based expected returns for dollar-neutral long-short trading strategies formed on a wide array of anomaly variables, including book to market, size, composite issuance, net stock issues, abnormal investment, asset growth, investment to assets, accruals, earnings surprises, failure probability, return on assets, and short-term prior returns.
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