#2006-047A "Does Aggregate Relative Risk Aversion Change Countercyclically over Time? Evidence from the Stock Market"
by Hui Guo, Zijun Wang, and Jian Yang
August 2006

Using a semiparametric estimation technique, we show that the risk-return tradeoff and the Sharpe ratio of the stock market increases monotonically with the consumption wealth ratio (CAY) across time. More...

#2005-026C "Is the Value Premium a Proxy for Time-Varying Investment Opportunities: Some Time Series Evidence"
by Hui Guo, Robert Savickas, Zijun Wang, and Jian Yang
April 2005
Revised October 2006

We uncover a positive, empirical risk-return tradeoff in the stock market after controlling for the covariance of stock market returns with the value premium. More...

FORTHCOMING: Journal of Financial and Quantitative Analysis

#2004-028B "International Transmission of Inflation among G-7 Countries: A Data-Determined VAR Analysis"
by Jian Yang, Hui Guo, and Zijun Wang
November 2004
Revised October 2005

We investigate the international transmission of inflation among G-7 countries using data-determined vector autoregression analysis, as advocated by Swanson and Granger (1997). Over the period 1973 to 2003, we find that unexpected changes in U.S. inflation have large effects on inflation in other countries, although they are not always the dominant international factor. More...

PUBLISHED: Journal of Banking and Finance, October 2006, 30(10), pp. 2681-700