Yu Ren 任 宇
Professor
Wenlan School of Business,
Zhongnan University of Economics and Law
Wuhan, China, 430072
Email: [email protected]
Research Interests
Asset Pricing, Financial Econometrics, Financial Economics, Applied Econometrics
Education
Ph.D. in Economics, Queen's University, Canada 2008;
M.A. in Economics, University of Guelph, Canada 2003;
B.A. in Economics & B.Sc. in Mathematics, Wuhan University, P.R.China, 2001
Employment
2018- Professor, Wenlan School of Business, Zhongnan University of Economics and Law
2016-2018 Professor, WISE, Xiamen University
2015- 2016 Associate Professor (with tenure), WISE, Xiamen University
2011- 2015 Associate Professor, WISE, Xiamen University
2008-2011 Assistant Professor, WISE, Xiamen University
Publications
- Balanced predictive regressions (with Y. Tu and Y. Yi) Journal of Empirical Finance, Volume 54, December 2019, Pages 118-142.
- Estimating the rank of a beta matrix: a GMM approach (with Q. Wang) Accounting & Finance, forthcoming.
- Weighing asset pricing factors: a least squares model averaging approach (with Y, Qiu and T. Xie) Quantitative Finance Volume 19, Issue 10, 2019.
- Consumption, aggregate wealth and expected stock returns: a fractional cointegration approach (with T. Xie) Quantitative Finance, Volume 18, Issue 12, 2018.
- Short-term exchange rate predictability (with Q. Wang and X. Zhang) Finance Research Letters, Volume 28, March 2019, Pages 148-152.
- Uninsured Expense Shocks and Equity Premia (with Q. Wang and Y. Zou) Economic Modelling Volume 58, November 2016, Pages 64–74.
- Durable Consumption and Asset Returns: Cointegration Analysis (with G. Chen and Z. Hong) Economic Modelling Volume 53, February 2016, Pages 231–244.
- A Semiparametric Conditional Capital Asset Pricing Model (with Z. Cai and B. Yang) Journal of Banking and Finance, Volume 61, December 2015, Pages 117–126.
- The Spirit of Capitalism and the Equity Premium (with Q. Wang, Y. Zou, and Z. Huang) Annals of Economics and Finance, Nov 2015.
- A New Test on the Conditional Capital Asset Pricing Model (with Z. Cai and X. Li ) Appl. Math. J. Chinese Univ 2015, 30(2): 163-186.
- Pricing Kernel Estimation: A Local Estimating Equation Approach (with Z. Cai and L. Sun) Econometric Theory, volume 31 , Issue 03, June 2015, pp 560-580.
- Human capital, household capital and asset returns (with Y. Yuan and Y. Zhang) Journal of Banking and Finance 2014, 42, 11-22.
- Specification Tests of Habit Formation (with P. Liu) Applied Economics Letters 2013, 20.
- Why the Housing Sector Leads the Whole Economy: the Importance of Collateral Constraints and News Shocks (with Y. Yuan) Journal of Real Estate Finance and Economics 2014, Volume 48, Issue 2, pp 323-341.
- House Price Bubbles in China (with C. Xiong and Y. Yuan) China Economic Review 2012, 23, 786-800.
- Improvement in Finite-Sample Properties of GMM-Based Wald Tests (with Q. Chen) Computational Statistics 2013, 28, 735-749.
- Nonparametric Estimation and Testing of Stochastic Discount Factor (with Y. Fang and Y. Yuan). Finance Research Letters 2011, 8, 196-205.
- Exploring the relationship between vehicle safety and fuel efficiency in automotive design (with C. Chen). Transportation Research Part D, 2010, 15, 112-116.
- Improvement in Finite Sample Properties of the Hansen-Jagannathan Distance Test (with K. Shimotsu). Journal of Empirical Finance, 2009, 16, 483-506.
- Predictive methods for using capacity data to estimate market shares and the extent of risk pooling by airline alliance partners under parallel codesharing (with C. Chen). Transportation Journal, 2007, 46, 21-36.
Working Papers
- Nonparametric Estimation of State-Price Densities in Interest Rate Options in submission
- What Determines the House Supply in China (wtih R. Wu and Y. Yuan) in submission
- Cointegration of Durable Consumption in Asset Returns (with G. Chen and Z. Hong) in submission
- The Welfare Effects of Social Insurance in a Production Economy with Limited Enforcement (with Y. Yuan) (2007)
- Time-Varying Betas in CAPM (with Y. Fang and Z. He) (2010)
- Does Cointegration Really Account for Variation in Mean Returns? (with G. Chen and Z. Hong) (2013)
- Balanced Predictive Regression (with Y. Tu and Y. Yi) (2015)
- Consumption, Aggregate Wealth, and Expected Stock Returns: A Fractional Cointegration Approach (with T. Xie) (2015)
Research Grants
1. Natural Science Foundation of Fujian Province (2011-2013) ¥30000
2. The Fundamental Research Funds for the Central Universities (2013-2015) ¥ 200000
3. Natural Science Foundation of China (2014-2016) ¥ 190000
4. Natural Science Foundation of China (2018-2021) ¥ 480000
Conference Presentation
May 2010, Canadian Economic Association Meeting, Quebec City, Canada
April 2010, International Symposium on Econometric Theory and Applications, Singapore.
Oct. 2007, Midwest Econometrics Group Meeting, St. Louis, U.S.A.
Sept. 2007, Canadian Econometric Study Group Meeting, Montreal, Canada
Jun. 2007, International Symposium on Financial Engineering and Risk Management, Beijing, P.R.China
Oct. 2006, Canadian Econometric Study Group Meeting, Niagara Falls, Canada
May 2006, Canadian Economic Association Meeting, Montreal, Canada
Teaching
Mathematical Economics (undergraduate level and graduate level)
Time Series (graduate level)
Referee
Journal of Financial Econometrics, China Finance Review