Jin (Ginger) Wu


Assistant Professor of Finance

Department of Banking and Finance

Terry College of Business,

University of Georgia,

Athens, GA 30602     

jinw@terry.uga.edu

Phone: (706)542-3638

 

Curriculum Vitae

 

 

Academic Appointment

2005-                           Assistant Professor of Finance, Terry College of Business, University of Georgia

 

Education

 Ph.D. in Economics, University of Pennsylvania

2000–2005

 B.A. in Economics, Peking University

1996–2000

 

Research Interests

Empirical Asset Pricing, Institutional Investors, Behavioral Finance

 

Publications

“The q-Theory Approach to Understanding the Accrual Anomaly,” Journal of Accounting Research, 48 (1), 177-223, 2010. With L. Zhang and X. Frank Zhang.

“A Framework for Exploring the Macroeconomic Determinants of Systematic Risk,” American Economic Review, 95, 398-404, 2005. With T. Andersen, T. Bollerslev and F. Diebold.

 

“Realized Beta: Persistence and Predictability,” in T. Fomby (ed.) Advances in Econometrics: Econometric Analysis of Economic and Financial Time Series, Volume B, 1-40, 2006. With T. Andersen, T. Bollerslev and F. Diebold.

 

Working Papers  

Analyst Proximity and Earnings Management,” with Yue Tang, 2012. (under initial submission at Journal of Financial Economics)

 

This paper explores the hypothesis that the geographical proximity of analysts to the firms they cover influences the earnings management of those firms. Using a unique, hand-collected database of analyst locations, we show that firms with a higher level of local analyst coverage manage their earnings less. These firms are less likely to overinvest and make empire-building acquisition bids. They also have better operating performance and lower risks. The results indicate that geographical proximity facilitates analysts’ monitoring by reducing monitoring cost.

 

Do Anomalies Exist Ex Ante?” with Lu Zhang, 2012. (revise and resubmit at the Review of Finance, presented in Western Finance Association Conference 2009)

 

The anomalies literature in capital markets research is based almost exclusively on average realized returns. In contrast, we construct 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. Our findings are striking. Except for the value premium, cost of equity estimates differ drastically from average realized returns. If accounting-based costs of equity are reasonable proxies for expected returns, the evidence implies that returns of most anomalies are unexpected by the market, and that mispricing, not risk, is the main driving force of capital markets anomalies.

 

Divergence of Opinion, Arbitrage Costs and Stock Returns,” 2012. (under initial submission at the Journal of Business Finance and Accounting, presented in European Finance Association Conference 2006)

 

We develop a new proxy for divergence of opinion and examine how divergence of opinion affects cross-sectional asset returns for stocks with different arbitrage costs. We generalize Tauchen and Pitts’ (1983) Mixture of Distribution Hypothesis (MDH), which links asset volume and volatility in a way that derives a proxy for divergence of opinion among all investors. In our empirical analysis, we establish that the negative relation between divergence of opinion and future returns are especially pronounced for stocks with higher arbitrage costs, such as idiosyncratic risks, short sale costs, and other transaction costs.

 

“Social Connections and Corporate Bond Underwriting,” with Yue Tang, 2012.

 

This paper examines whether social connections between investment bank underwriters and bond issuers are an important channel for banks to obtain information advantage, which may allow banks to better evaluate issuers, and therefore charge lower fees and sell bonds at lower yields. We find that bank-issuer connections significantly reduce the fees and bond yields. Furthermore, the impact of social connections on the fees and yields is stronger for bonds with lower credit ratings and bonds that are not rated. These findings suggest that investment banks gain information advantage through social connections.

 

Stock Market Microstructure Measures of Information Asymmetry Are Related to Marketwide Information,” with Clara Vega, 2006.

 

In this paper, we show that adverse selection costs estimated using stock market data are also related to macroeconomic information, and that these measures do not necessarily proxy the degree of opaqueness of the firm but rather how sensitive firms are to macro shocks. Our results help explain the widely documented commonality in liquidity because commonality in adverse selection costs is an important source of liquidity co-movement. This explanation has been previously ruled out as Goodhart and O.Hara (1997, p. 102) summarize, “how could private information be expected to have a global impact?”  Similarly, Chordia, Sarkar and Subrahmanyam (2006, p. 93) mention that “adverse selection is unlikely to be a major issue in bond markets,” hence stock and bond market liquidity co-movement can’t be due to commonality in adverse selection costs. Contrary to this common wisdom, we document that adverse selection costs are also a source of co-movement across stocks and between stock and bond market liquidity.

 

 

Teaching Experience

 

 University of Georgia

 Derivative Security Markets — Undergraduate Level

2009–2011

 Financial Management — Undergraduate Level

2008–2009

 Introduction to Finance Theory — Ph.D. Level

2005–2008

 Corporate Finance Theory — Undergraduate Level

2005–2008

 Economics Department (University of Pennsylvania) — Undergraduate Levels

 Recitation Instructor, Introduction to Microeconomics, Professor Rebecca Stein

Fall 2004

 Lecturer, Introduction to Microeconomics

Summer 2004

 Recitation Instructor, Introduction to Macroeconomics, Professor Gwen Eudey

Spring 2004

 Teaching Assistant, Econometrics, Professor Frank Schorfheide

Fall 2003

 Recitation Instructor, Introduction to Macroeconomics, Professor Gwen Eudey

Spring 2003

 Recitation Instructor, Introduction to Macroeconomics, Professor Gwen Eudey

Fall 2002

 The Wharton School — Undergraduate, MBA, and Executive Levels

 Teaching Assistant, Funding Investments, Professor Gary Gorton

Fall 2003

 

Honors:

 Doctoral Fellowship, University of Pennsylvania

2004–2005

 Japan-IMF Scholarship, International Monetary Fund

2000–2002

 Outstanding Graduating Senior, Peking University

2000

 Motorola Scholarship for Distinguished Students, Peking University

1999

 Best Academic Performance Award, Peking University

1998