Andrea Lu

The University of Melbourne - Department of Finance

Senior Lecturer

Level 12, 198 Berkeley Street

Parkville, Victoria 3010 3010

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

SCHOLARLY PAPERS

8

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1,499

SSRN CITATIONS
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Top 47,222

in Total Papers Citations

5

CROSSREF CITATIONS

6

Scholarly Papers (8)

1.

A Market-Based Funding Liquidity Measure

PBCSF-NIFR Research Paper No. 14-01
Number of pages: 60 Posted: 24 Jan 2014 Last Revised: 08 May 2018
Zhuo Chen and Andrea Lu
Tsinghua University and The University of Melbourne - Department of Finance
Downloads 571 (49,462)
Citation 4

Abstract:

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Funding Liquidity, Margin Requirements, Traded Risk Factor

2.

Slow Diffusion of Information and Price Momentum in Stocks: Evidence from Options Markets

PBCSF-NIFR Research Paper No. 13-03
Number of pages: 39 Posted: 13 Oct 2013 Last Revised: 27 Sep 2016
Zhuo Chen and Andrea Lu
Tsinghua University and The University of Melbourne - Department of Finance
Downloads 358 (87,102)
Citation 2

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Momentum, Implied Volatility

3.

Growing Pains: International Instability and Equity Market Returns

PBCSF-NIFR Research Paper No. 12-02
Number of pages: 47 Posted: 02 May 2012 Last Revised: 27 Sep 2016
Zhuo Chen, Andrea Lu and Clair Yang
Tsinghua University, The University of Melbourne - Department of Finance and University of Washington - Henry. M. Jackson School of International Studies
Downloads 279 (114,665)
Citation 1

Abstract:

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Asset Pricing, International Political Instability, Militarization

4.

Seeing the Unobservable from the Invisible:The Role of CO2 in Measuring Consumption Risk

PBCSF-NIFR Research Paper No. 12-03
Number of pages: 47 Posted: 16 Aug 2012 Last Revised: 19 Feb 2016
Zhuo Chen and Andrea Lu
Tsinghua University and The University of Melbourne - Department of Finance
Downloads 123 (239,837)
Citation 4

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Consumption-Based Capital Asset Pricing Model (CCAPM), Durable Goods Service Flow, Carbon Dioxide Emissions

5.

The Role of Storage in a Competitive Electricity Market and the Effects of Climate Change

Number of pages: 30 Posted: 04 Dec 2011 Last Revised: 21 May 2012
Victoria University of Wellington - New Zealand Institute for Study of Competition and Regulation Inc. (ISCR), Victoria University of Wellington - School of Economics & Finance and The University of Melbourne - Department of Finance
Downloads 79 (321,945)

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electricity markets, stochastic river flows, storage options, climatic change

6.

Investor Sentiment and the Pricing of Macro Risks for Hedge Funds

Number of pages: 52 Posted: 24 Feb 2019
Zhuo Chen, Andrea Lu and Xiaoquan Zhu
Tsinghua University, The University of Melbourne - Department of Finance and Tsinghua University - PBC School of Finance
Downloads 58 (379,649)

Abstract:

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Hedge Funds, Macroeconomic Risks, Sentiment

7.

Carbon Dioxide and Asset Pricing: Evidence from International Stock Markets

Number of pages: 36 Posted: 10 Jan 2020
Zhuo Chen, Jinyu Liu, Andrea Lu and Libin Tao
Tsinghua University, University of International Business and Economics (UIBE) - School of Banking and Finance, The University of Melbourne - Department of Finance and University of International Business and Economics - School of Banking and Finance
Downloads 31 (484,226)

Abstract:

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International Asset Pricing, Consumption-Based Capital Asset Pricing Model, Carbon Dioxide Emissions

8.

A New Zealand Electricity Market Model: Assessment of the Effect of Climate Change on Electricity Production and Consumption

Motu Working Paper 10-09
Posted: 19 Sep 2010 Last Revised: 09 May 2013
Victoria University of Wellington - New Zealand Institute for Study of Competition and Regulation Inc. (ISCR), Victoria University of Wellington - School of Economics & Finance and The University of Melbourne - Department of Finance

Abstract:

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dynamic optimisation, electricity spot market performance, stochastic fuel availability, storage options, climate change