About Me

Welcome to my website! I am Yirong Wang. I am a PhD Candidate in Finance at the University of Bristol since 2021, where I have been fully funded by the School’s PhD Scholarship. I am under the supervision of Prof. Richard D.F. Harris and Prof. Nick Taylor. My research interests lie in empirical asset pricing, international finance and macro-finance, with a particular emphasis on risk-based explanations for variations in asset prices across international markets.

I am on the job market in 2025–26.

Upcoming presentation and trips:

EUROFIDAI-ESSEC Paris December 2025; AFA in Philadelphia 2026

Education

Ph.D in Finance, University of Bristol, University of Bristol, UK

Committee members : Amit Goyal, Richard D.F. Harris, Nick Taylor, Ian Tonks

MPhil in Advanced Studies in Economics, KU Leuven, Belgium

MSc in Business Economics, KU Leuven, Belgium

BS in Finance, University of Warsaw, Poland

Working Papers

Deviations from Covered Interest Rate Parity, Dollar Funding Pressure, and Currency Risk Premium (Job Market Paper) solo author

Abstract: This paper investigates the relationship between deviations from Covered Interest Rate Parity (CIP) and the cross-sectional variation in currency risk premia. Motivated by the currency hedging channel proposed by Liao and Zhang (2025), I interpret the CIP violations as a measure of postcrisis dollar funding pressure, reflecting imbalances between excessive dollar hedging demand and constrained funding supply. Utilizing G10 currency data, I show that currencies with higher unconditional cross-currency basis values yield significantly higher excess returns, indicating compensation for bearing greater dollar funding pressure risk. A tradable trading strategy that longs in currencies with high basis and shorts currencies with low basis, referred to as the *global cross-currency basis* factor, delivers economically large and statistically significant returns, explaining a substantial portion of cross-sectional variation in currency returns and outperforming standard risk factors after the crisis. Moreover, the basis factor subsumes information embedded in nominal interest differentials (i.e., carry trade) and global trade and capital flow imbalances in the postcrisis period, providing an additional risk-based explanation of the forward premium puzzle.

Presentations (#accepted but unable to present): AFA (PhD poster) 2026; EUROFIDAI-ESSEC Paris December 2025; Shanghai Jiaotong University Doctor Consortium (ACEM) 2025; FMA Europe Doctor Consortium 2025#;

Capturing Time-Varying Return Predictability: the Multi-Asset Momentum Strategy with Dynamic Trading Signals with Richard D.F. Harris and Nick Taylor

Revise & Resubmit at Management Science

Abstract: This paper uncovers a time-varying predictable pattern in returns across the bond, equity, and forex markets. Exploiting these time variations in cross-asset return predictability, we develop a dynamic approach to generate out-of-sample trading signals that are employed in a diversified multi-asset time series momentum(M-XTSM) strategy. This approach effectively converts return forecasts into economic gains by allowing investors to adjust their trading positions in real-time in response to changing business cycles. Applying this method to data from 20 developed countries, we show that the M-XTSM strategy delivers substantial abnormal returns with little exposure to standard asset pricing factors and consistently outperforms existing momentum strategies, especially during market downturns. The M-XTSM strategy encompasses the traditional time series momentum (Moskowitz et al., 2012), and its outperformance is not driven by time-varying aggregate market behaviors, rendering it a distinct new phenomenon from cross-sectional momentum (Jegadeesh and Titman, 1993).

Presentations (#accepted but unable to present): Asian FA Annual Meeting 2024; University of Bristol Brownbag Seminar; Shanghai Jiaotong University Doctor Consortium 2024 (excellent PhD papers award); Germany Finance Association Annual Meeting (DGF) 2024; FMA International Annual Meeting, 2024; SFA Annual Meeting 2024#; Eastern FA Annual Meeting 2024#; FMA Asia Annual Meeting 2024#;

Revisiting the Forward Premium Puzzle and Exchange Rate Predictability through the Lens of CIP Violations (work in progress)

Reference

Amit Goyal, Professor of Finance, University of Lausanne and Swiss Finance Institute, Email: amit.goyal@unil.ch

Richard D.F. Harris, Professor of Finance, University of Bristol, Email: richard.harris@bristol.ac.uk

Nick Taylor, Professor of Finance, University of Bristol, Email: nick.taylor@bristol.ac.uk

Zeming Li, Lecturer of Finance, University of Bristol, Email: zeming.li@bristol.ac.uk

Teaching

EFIMM0005, Quantitative Methods for Finance and Investment, Postgraduate (2022-2025)

EFIM10029, Financial Markets, Institutions and Instruments, Undergraduate (2022-2025)

EFIM20042, Corporate Finance and Valuation, Undergraduate (2021-2022)

Photographs

I was born and grew up in Urumuqi, XinJiang where my favorite food is pilaf and naan.

Picture taken at Tianchi, Tianchi (Mountain of God) in Fukang, Xinjiang

Picture taken at Kumtag Desert in Shanshan, Xinjiang

Picture taken at the Flaming Mountains (Huoyan Mountains) in Turpan, Xinjiang