We show a formula relating the L_p-compression exponent of a group and its wreath product with a cyclic group for p in [1, 2]. The argument extends the Markov type method introduced by Naor and Peres. Using wreath product as ingredients, we construct finitely generated amenable groups with arbitrary prescribed L_p compression exponent in the interval [0,1]. This can be viewed as an elementary amenable analogue of a result of Arzhantseva, Drutu and Sapir. Joint with Jeremie Brieussel