Prof. Wenjin KANG (康文津)

Professor Kang’s research expertise is mainly in asset pricing. Professor Kang has published multiple papers about the pricing and determinants of liquidity, commodity markets, and the performance of factor strategies in prestigious finance top journals such as Journal of Finance and Journal of Financial Economics. Professor Kang’s research work has received more than 2000 Google scholar citations.

• Ph.D., Management, UCLA Anderson School of Management (2004)
• B.S., Biotechnology, Peking University (1998)

• Shanghai University of Finance and Economics, School of Finance, Professor of Finance (2016-2022)
• Renmin University of China, Hanqing Advanced Institute of Economics and Finance, Department of Finance, Associate Professor of Finance (2013-2016)
• National University of Singapore, NUS Business School, Department of Finance, Assistant Professor of Finance (2004-2013)

• Classes that have been taught include Investments, The Principle and Example of Value Investment, Options and Futures, Equity Products and Exotics, Empirical Asset Pricing, Advanced Topics of Market Microstructure and Liquidity, The Principle of Investments and Its Application in Chinese Markets.
• Has received the SHUFE University First-Level Teaching Award and the Shanghai College Undergraduate Class First Prize

• The Study of Market Liquidity, Pricing Efficiency, and Regulation Policy for Chinese Commodity Futures Markets, China National Natural Science Foundation (2021 – now).
• The Study of Financial Regulation, Monetary Policy, and Asset Pricing, Shanghai Peak-Scholar Program (2018 – 2021)
• The Study about the Pricing of Liquidity and Volatility in Financial Markets, Shanghai University of Finance and Economics Research Grant (2017 – 2020)
• The Study of Liquidity and Returns in Emerging Markets, National University of Singapore Research Grant (2009 – 2012)
• The Study of the Mechanism of Liquidity Provision and Liquidity Crisis in Developed and Emerging Markets, National University of Singapore Research Grant (2006 – 2009)

• Commodity Futures Markets, Liquidity, Market Microstructure, Factor Strategy and Stock Market Efficiency, Chinese Financial Markets and Chinese Economy, the Application of Fintech in Asset Pricing.

1. A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets (co-authored with K. Geert Rouwenhorst and Ke Tang), Journal of Finance, 2020, Volume 75, 377-417.
2. Information Uncertainty and Liquidity Premium (co-authored with Nan Li and Huiping Zhang), Journal of Empirical Finance, 2019, Volume 54, 77-96.
3. Limits of Arbitrage and Idiosyncratic Volatility: Evidence from China Stock Market (co-authored with Ming Gu and Bu Xu), Journal of Banking and Finance, 2018, Volume 86, 240-258.
4. Stock Liquidity and the Cost of Equity Capital in Global Markets (co-authored with Yakov Amihud, Allaudeen Hameed, Huiping Zhang), Journal of Applied Corporate Finance, 2015, Volume 27, 68-74 (by invitation).
5. The Illiquidity Premium: International Evidence (co-authored with Yakov Amihud, Allaudeen Hameed, Huiping Zhang), Journal of Financial Economics, 2015, Volume 117, 350-368.
6. Measuring Liquidity in Emerging Markets (co-authored with Huiping Zhang), Pacific-Basin Finance Journal, 2014, Volume 27, 49-71.
7. Stock Price Synchronicity and Liquidity (co-authored with Kalok Chan and Allaudeen Hameed), Journal of Financial Markets, 2013, Volume 16, 414-438.
8. Limit Order Book and Commonality in Liquidity (co-authored with Huiping Zhang), Financial Review, 2013, Volume 48, 97-122.
9. Stock Market Declines and Liquidity (co-authored with Allaudeen Hameed and S. Viswanathan), Journal of Finance, 2010, Volume 65, 257-293.

1. Crowding and Factor Returns (co-authored with K. Geert Rouwenhorst and Ke Tang)
2. Relative Basis and Expected Returns in Commodity Futures Markets (co-authored with Ming Gu, Dong Lou, and Ke Tang)
3. Closing Pressure, Predatory Trading, and the Negative Oil Price (co-authored with Yiqing Ge, Ke Tang, and Liyan Yang)
4. Liquidity Shocks and Negative Premium of Liquidity Volatility Around the World (co-authored with Yulin Feng and Huiping Zhang)
5. Is Value Investment Still Alive? – Evidence from Chinese Stock Market (co-authored with Yulin Feng, Shuyan Liu, Huiping Zhang, Kang Zhang)
6. Labor Income Risk, Consumption Risk, and Liquidity Premium in the Long Run (co-authored with Nan Li and Huiping Zhang)
7. The Study of Pricing Mechanism in Chinese Commodity Futures Markets (working paper in Chinese, co-authored with Yulin Feng and Ke Tang)
8. The Difference in Land Auction Markets in Southern and Northern China (working project in Chinese, co-authored with Xiaoxia Zhou)
9. Financialization in Commodity Markets Ten Years Later (co-authored with Ke Tang and Ningli Wang)

• Professor Kang’s research papers have been presented at the American Finance Association (AFA) Conference, the Western Finance Association (WFA) Conference, the European Finance Association (EFA) Conference, the NBER Microstructure Conference, the NBER Commodity Markets Conference, the China International Conference in Finance, the Asian Finance Association Conference, the Financial Management Association Conference, the Singapore International Finance Conference, and other conferences.
• Professor Kang has presented at the seminars in Cheung Kong Graduate School of Business, the Chinese University of Hong Kong, the City University of Hong Kong, Fudan University, Hong Kong Polytech University, Hong Kong University, National University of Singapore, Peking University, Queensland University of Technology, Renmin University, Shanghai JiaoTong University, Shanghai University of Finance and Economics, Singapore Management University, SKKU Graduate School of Business (Seoul), Tsinghua University, University of Macau, University of Queensland, Zhejiang University, and other schools.