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Jin (Ginger) Wu
Department of Banking and Finance Terry College of Business, University of Georgia, Athens, GA 30602 Phone: (706)542-3638 |
Academic Appointment
2005-
Assistant Professor of Finance, Terry College of Business, University of
Georgia
Education
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Ph.D. in Economics, University
of Pennsylvania |
2000–2005 |
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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
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University of Georgia |
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Derivative Security Markets — Undergraduate
Level |
2009–2011 |
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Financial Management —
Undergraduate Level |
2008–2009 |
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Introduction to Finance Theory —
Ph.D. Level |
2005–2008 |
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Corporate Finance Theory —
Undergraduate Level |
2005–2008 |
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Economics Department (University of
Pennsylvania) — Undergraduate Levels |
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Recitation Instructor, Introduction to
Microeconomics, Professor Rebecca Stein |
Fall 2004 |
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Lecturer, Introduction to Microeconomics |
Summer 2004 |
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Recitation Instructor, Introduction to
Macroeconomics, Professor Gwen Eudey |
Spring 2004 |
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Teaching Assistant, Econometrics, Professor
Frank Schorfheide |
Fall 2003 |
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Recitation Instructor, Introduction
to Macroeconomics, Professor Gwen Eudey |
Spring 2003 |
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Recitation Instructor, Introduction to
Macroeconomics, Professor Gwen Eudey |
Fall 2002 |
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The Wharton School — Undergraduate, MBA, and
Executive Levels |
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Teaching Assistant, Funding Investments,
Professor Gary Gorton |
Fall 2003 |
Honors:
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Doctoral Fellowship, University of
Pennsylvania |
2004–2005 |
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Japan-IMF Scholarship, International
Monetary Fund |
2000–2002 |
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Outstanding Graduating Senior, Peking
University |
2000 |
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Motorola Scholarship for Distinguished
Students, Peking University |
1999 |
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Best Academic Performance Award, Peking
University |
1998 |