Xiaotong
(Vivian) Wang
Ph.D. Candidate in Financial Economics
Research Interests:
 Asset
Pricing: pricing anomalies and intertemporal models. Ph.D. in Financial
Economics September 2002-Present Expected May 2006.
Financial
Accounting: dissemination of accounting information into asset prices.
Market
Microstructure: liquidity, volatility estimation using high frequency
data.
Probability
and Statistics: stochastic control, quadratic variation measures and realized volatility.
Real Interest:
The most exciting brain exercise for me is analyzing human behavior under uncertainty and with asymmetric information. As I read through China's five-thousand years' history, I can not help wondering what kind of people those historic figures really are and why person X became the emperor of a dynasty while person Y not only got his own head but also the whole family's heads cut off. This curiosity also leads to my fascination in guessing what kind of cards my partner and oppononents are holding, why oppononents discard club Q instead of J, why my partner bids 3 spade, and what the right choice is... After all, life is about choice.
The ultimate goal, of course, is to extract patterns out of the chaotic individual behavior. We need to aggregate individual behavior since only the representative agent's behavior matters! This, at least to me, seems to be the counterpart of LLN and CLT in probability. I am interested in how human behavior as a whole affects the financial markets. Why does asset price fluctuate the way it does? Where is this random process heading to? What is the intrinsic pattern in asset returns and return volatility, given the existence of such a pattern is assumed? How does information disseminate into asset prices?
Completed Papers (Click to download):
Stock
Return Dynamics under Earnings Management
Cross
Sectional Variation in Stock Returns: Liquidity and Idiosyncratic
Risk
Market
Liberalization and Return Volatility: Another View
|
