Wei Yang

Academic Appointment

Education

Publications

1. "Long-run risk in durable consumption".
   Journal of Financial Economics 102, 45-61, 2011.
   
   Presented at: The 20th Conference on Financial Economics and Accounting, November 2009; the American Finance Association Annual Meeting, January 2010.



2. "Regime shifts in a dynamic term structure model of U.S. Treasury bond yields"
   (with Qiang Dai and Kenneth J. Singleton).
   Review of Financial Studies 20, 1669-1706, 2007.



3. "Market pricing of deposit insurance"
   (with Darrell Duffie, Robert Jarrow, and Amiyatosh Purnanandam).
   Journal of Financial Services Research 24, 93-119, 2003.

Working Papers

1. "Size and return: A new perspective"
   (with Fangjian Fu). Revise and resubmit at Review of Financial Studies.
   
   Presented at: The 21st Conference on Financial Economics and Accounting, November 2010; the Finance Down Under Conference and the Best Paper Award, March 2011; the 5th Biennial McGill Conference on Global Asset Management, June 2011.



2. "Intertemporal substitution and equity premium: A perspective with habit in Epstein-Zin preferences". Revise and resubmit at Review of Finance.



3. "Business cycles and regime-shift risk" (Job Market Paper).



4. "Household production, electricity usage, and asset prices"
   (with Zhi Da and Hayong Yun).



5. "Long-run volatility risk in leisure".



6. "Time-varying exposure to long-run consumption risk".
   
   Presented at the NBER Asset Pricing Program Meeting, March 2007.

Teaching

References