吴仰儒
上海证券交易所高级金融专家
吴仰儒是美国俄亥俄州州立大学博士。中央财经大学中国金融发展研究院院长。现任美国新泽西州州立大学Rutgers商学院金融学教授,数量金融硕士学位项目主任。兼任北京大学,南开大学,大连理工大学客座教授;Journal of Money Credit and Banking副编辑;Afro Asian Journal of Finance and Accounting编委;经济与金融学报编委。吴教授曾担任新加坡管理大学新加坡国立大学访问教授,香港金融管理局客座研究员,和上海证券交易所高级金融专家。
教育背景
1993年6月,美国俄亥俄州州立大学,博士学位
1987年12月,美国特拉华大学,硕士学位.
1982年2月,中国广东海洋大学,学士学位
个人学术
吴教授的主要研究工作在国际金融,家庭金融,资产定价,和宏观经济实证研究。他已在国际著名的金融和经济学术刊物上发表了四十多篇论文,包括Journal of Finance, International Economic Review, Journal of Monetary Economics, Economic Journal, Biometrika等顶尖刊物。吴教授曾荣登Tom’s Ranking全球顶尖500名经济学家排行榜(华人经济学家排名第19名)。
研究方向:国际金融,家庭金融,资产定价,和宏观经济实证研究
个人荣誉
荣登全球1000名经济学家排行榜,全球华人经济学家排名第1位
2003,美国新泽西州州立大学Rutgers商学院,资深教授杰出研究奖
2002,Crowell Award Finalist, PanAgora Asset Management, Boston
1999,金融管理国际学会,全会最佳论文奖
1999,金融管理国际学会,金融投资最佳论文奖
1996-97,美国西佛吉尼亚大学商学院,杰出研究奖
1992,美国俄亥俄州州立大学,戴思奖学金
1986-1987, 1987-1988,美国特拉华大学,研究院奖学金
Publications in English
1. “Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?” (with Peter Phillips and Jun Yu), International Economic Review, forthcoming.
2. “Risk Adjustment and Momentum Sources” (with Jun Wang), Journal of Banking and Finance, forthcoming.
3. “Momentum Trading, Mean Reversal and Overreaction in Chinese Stock Market,” Review of Quantitative Finance and Accounting, forthcoming.
4. “Optimal Transaction Filters under Transitory Trading Opportunities: Theory and Empirical Illustration” (with Ronald Balvers), Journal of Financial Markets 13, 2010, 129-156.
5. “VAR Models: Estimation, Inferences and Applications” (with Xing Zhou), Handbook of Quantitative Finance and Risk Management, 2010, 1391-1398.
6. “Effective Fair Pricing of International Mutual Funds” (with Choong Tze Chua and Sandy Lai), Journal of Banking and Finance 32, 2008, 2307-2324.
7. “Technical Trading Rule Profitability, Data Snooping, and Reality Check: Evidence from the Foreign Exchange Market” (with Min Qi), Journal of Money, Credit and Banking 30, 2006, 2135-2158.
8. “Momentum and Mean Reversion across National Equity Markets” (with Ronald Balvers), Journal of Empirical Finance 13, 2006, 24-48.
9. “Predictability of Short-Horizon Equity Returns in International Equity Markets” (with Dilip Patro), Journal of Empirical Finance 11, 2004, 553-584.
10. “On the Size and Power of Normalized Autocorrelation Coefficients” (with Andy Kwan and Ah-Boon Sim), Applied Financial Economics 15, 2005, 1-11.
11. “A Comparative Study of the Finite-sample Performance of Some Portmanteau Tests for Randomness of a Time Series” (with Andy Kwan and Ah-Boon Sim), Computational Statistics and Data Analysis 48(2), 2005, 391-413.
12. “Random Walk versus Breaking Trend in Stock Prices: Evidence from Emerging Markets” (with Kausik Chaudhuri), Journal of Banking and Finance 27, 2003, 575-592.
13. “Mean Reversion in Stock Prices: Evidence from Emerging Market” (with Kausik Chaudhuri), Managerial Finance 30, 2004, 22-37.
14. “Nonlinear Prediction of Exchange Rates with Monetary Fundamentals” (with Min Qi), Journal of Empirical Finance 10, 2003, 623-640.
15. “Uniqueness and Stability of Equilibria in a Model with Endogenous Markups and Labor Supply” (with Junxi Zhang), Annals of Economics and Finance 4, 2003, 353-367.
16. “On the Use of the Sample Partial Autocorrelation for Order Determination in a Pure Autoregressive Process: A Monte Carlo Study and Empirical Example” (with Andy Kwan), Applied Economics Letters 12, 2005, 133-139.
17. “Further Results on the Finite-Sample Distribution of Separate Tests for Univariate Time Series Models” (with Andy Kwan and Fassil Nebebe), Journal of Statistical Research 36(1), June 2002, 99-110.
18. “Explaining Exchange Rate Risk in World Stock Markets: A Panel Approach” (with Dilip Patro and John Wald), Journal of Banking and Finance 26, 2002, 19511972.Reprinted in Financial Markets, edited by Jeff Madura, SAGE Library in Business and Management, 2004.
19. “The Impact of Macroeconomic and Financial Variables on Market Risk: Evidence from International Equity Returns” (with Dilip Patro and John Wald), European Financial Management 8(4), 2002, 421-448.
20. “The Effects of Inflation on the Number of Firms and Firm Size” (with Junxi Zhang), Journal of Money, Credit and Banking 33(2), 2001, 251-271.
21. “Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies” (with Ronald Balvers and Erik Gilliland), Journal of Finance 55(2), 2000, 745-772.Summarized (by Roger Ignatius) in The CFA Digest, 34(4), 2000.
22. “Monopolistic Competition, Increasing Returns to Scale and the Welfare Costs of Inflation” (with Junxi Zhang), Journal of Monetary Economics 46(2), 417-440, 2000.
23. “Exchange Rates and Fundamentals: Evidence from Out-of-Sample Forecasting Using Neural Networks,” (with Min Qi), in Computational Finance, a refereed book edited by Y.S. Abu-Mostafa, B. LeBaron, A.W. Lo and A.S. Weigend, Cambridge, MA: MIT Press, 1999, Chapter 18, 271-286.
24. “Endogenous Markups and the Effects of Income Taxation: Theory and Evidence from OECD Countries” (with Junxi Zhang), Journal of Public Economics 77, 2000, 383-406.
25. “Rethinking Deviations from Uncovered Interest Parity: the Role of Covariance Risk and Noise” (with Nelson Mark), The Economic Journal 108, 1998, 1686-1706.
Reprinted in New Developments in Exchange Rate Economics, edited by Lucio Sarno and Mark Taylor, Edward Elgar Publishing, 2001.
26. “Are the U.S. Exports to and Imports from Japan Cointegrated?” (with Junxi Zhang), Journal of Economic Integration 13(4), 1998, 626-643.
27. “Identifying Trends and Breaks in Primary Commodity Prices” (with Badillo and Labys), European Journal of Finance 5(4), 1999, 315-330.
28. “Endogenous Growth and the Welfare Costs of Inflation” (with Junxi Zhang), Journal of Economic Dynamics and Control 22(3), 1998, 465-482.
29. “Forward Premiums as Unbiased Predictors of Future Currency Depreciation” (with Hua Zhang), Journal of International Money and Finance 16(4), 1997, 609-623.
30. “An Empirical Investigation on the Time-Series Behavior of the U.S.-China Trade Deficit” (with Junxi Zhang), Journal of Asian Economics 9(3), 1998, 467-485.
31. “Fixed Investment and Economic Growth in China” (with Andy Kwan and Junxi Zhang), Economics of Planning 31(1), 1999, 67-79.
32. “Further Results on the Finite-Sample Distribution of Monti’s Portmanteau Test for the Adequacy of an ARMA(p,q) Model” (with Andy Kwan), Biometrika 84(3), 1997, 733-736.
33. “Hysteresis in Unemployment: Evidence from OECD Countries” (with Frank Song), Quarterly Review of Economics and Finance 38(2), 1998, 181-192.
34. “Rational Bubbles in the Stock Market: Accounting for the U.S. Stock-Price Volatility” Economic Inquiry XXXV, 1997, 309-319.
35. “Understanding Spot and Forward Exchange Rate Regressions” (with Weike Hai and Nelson Mark), Journal of Applied Econometrics 12(6), 1997, 715-734.
Reprinted in New Developments in Exchange Rate Economics, edited by Lucio Sarno and Mark Taylor, Edward Elgar Publishing, 2001.
36. “Capital Controls and Covered Interest Parity in the EU” (with Mark J. Holmes), Weltwirtschaftlichcs Archiv 133(1), 1997, 76-89.
37. “Hysteresis in Unemployment: Evidence from 48 U.S. States” (with Frank Song), Economic Inquiry XXXV, 1997, 235-243.
38. “An Exogeneity Analysis of Financial Deepening and Economic Growth: Evidence from Hong Kong, South Korea and Taiwan” (with Andy Kwan and Junxi Zhang), Journal of International Trade and Economic Development 7(3), 1998, 339-354.
39. “The Trend Behavior of Real Exchange Rates: Evidence from OECD Countries,” Weltwirtschaftlichcs Archiv 133(2), 1997, 282-296.
40. “Mean Reversion in Interest Rates: New Evidence from a Panel of OECD Countries” (with Hua Zhang), Journal of Money, Credit and Banking 28, 1996, 604-621.
41. “A Comparative Study of the Finite-Sample Distribution of Some Portmanteau Tests for Univariate Time-Series Models” (with Andy Kwan), Communications in Statistics--Simulation and Computation 25(4), 1996, 867-904.
42. “Are Real Exchange Rates Nonstationary? Evidence from a Panel-Data Test,” Journal of Money, Credit and Banking 28, 1996, 54-63.
43. “Mean Reversion in Equilibrium Real Exchange Rates,” International Economic Journal 10, 1996, 85-104.
44. “Asymmetry in Forward Exchange Rate Bias: A Puzzling Result” (with Hua Zhang), Economics Letters 50, 1996, 407-411.
45. “Do Interest Rates Follow Unit-Root Processes? Evidence from Cross-Maturity Treasury-Bill Yields” (with Hua Zhang), Review of Quantitative Finance and Accounting 8, 1997, 87-99.
46. “Are There Rational Bubbles in Foreign Exchange Markets?” Journal of International Money and Finance 14(1), 1995, 2746.
47. “The Opportunity Cost of Coastal LandUse Controls” (with George Parsons), Land Economics 67, 1991, 308316.
Publication in Chinese 48. “我国上市公司可持续发展的计量模型与实证分析”, (苏冬蔚, 吴仰儒), 经济研究,2005年第一期,106-116。
参考资料
江西财经大学金融学院.江西财经大学金融学院.
最新修订时间:2023-11-20 03:33
目录
概述
教育背景
个人学术
参考资料