Zhongjin Lu

University of Georgia - Department of Finance

Assistant Professor

Terry College of Business

Athens, GA 30602-6254

United States

SCHOLARLY PAPERS

14

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5,803

SSRN CITATIONS
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Top 12,571

in Total Papers Citations

97

CROSSREF CITATIONS

24

Scholarly Papers (14)

1.

Bear Beta

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 127 Posted: 20 Nov 2016 Last Revised: 05 Feb 2021
Zhongjin Lu and Scott Murray
University of Georgia - Department of Finance and Georgia State University
Downloads 899 (49,348)
Citation 24

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Arrow-Debreu State Prices, Bear Beta, Bear Market Risk, Downside Risk, Factor Models

2.
Downloads 783 (59,591)
Citation 31

The Carry Trade: Risks and Drawdowns

Critical Finance Review, forthcoming
Number of pages: 62 Posted: 26 Aug 2014 Last Revised: 04 Apr 2017
Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and University of Georgia - Department of Finance
Downloads 674 (71,409)
Citation 1

Abstract:

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currency carry trade, currency risk factors, market efficiency

The Carry Trade: Risks and Drawdowns

NBER Working Paper No. w20433
Number of pages: 65 Posted: 03 Sep 2014 Last Revised: 01 May 2023
Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and University of Georgia - Department of Finance
Downloads 109 (458,667)
Citation 28

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3.

Volatility Components: The Term Structure Dynamics of VIX Futures

Journal of Futures Markets, Vol. 30, No. 3, pp. 230 - 256, April 2009
Number of pages: 33 Posted: 04 May 2010
Zhongjin Lu and Yingzi Zhu
University of Georgia - Department of Finance and Tsinghua University - School of Economics & Management
Downloads 670 (72,974)
Citation 3

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VIX futures, loglinear model, Kalman filter, Principal Component Analysis (PCA), variance term structure

4.

Volatility Components: Evidence from VIX Futures Market

Number of pages: 33 Posted: 23 Sep 2008
Zhongjin Lu and Yingzi Zhu
University of Georgia - Department of Finance and Tsinghua University - School of Economics & Management
Downloads 669 (73,112)
Citation 1

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VIX futures, loglinear model, Kalman filter, Principal Component Analysis (PCA), variance term structure

5.

Heterogeneous Liquidity Providers and Night-minus-day Return Predictability

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 75 Posted: 10 Jan 2022 Last Revised: 04 Nov 2023
University of Georgia - Department of Finance, University of Georgia - Department of Banking and Finance and Auburn University - Department of Finance
Downloads 481 (110,307)
Citation 8

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Fast and slow arbitrageurs, return predictability, overnight and intraday returns, endogenous limited participation, liquidity provision

6.

Leveraged Funds and the Shadow Cost of Leverage Constraints

Journal of Finance, Forthcoming
Number of pages: 55 Posted: 01 Oct 2018 Last Revised: 03 Nov 2020
Zhongjin Lu and Zhongling Qin
University of Georgia - Department of Finance and Auburn University - Department of Finance
Downloads 403 (135,653)
Citation 8

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Leverage Constraints, Shadow Cost, Financial Intermediaries, Leveraged Funds

7.

A One-factor Model for Expected Night-minus-day Stock Returns

Number of pages: 52 Posted: 28 May 2021 Last Revised: 08 Sep 2021
Zhongjin Lu and Zhongling Qin
University of Georgia - Department of Finance and Auburn University - Department of Finance
Downloads 388 (141,595)

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Night-minus-day returns, liquidity provision, limits-of-arbitrage, retail trading

8.

Unique Bidder-Target Relatedness and Synergies Creation in Mergers and Acquisitions

Number of pages: 68 Posted: 01 Oct 2018 Last Revised: 13 Oct 2021
Tingting Liu, Zhongjin Lu, Tao Shu and Fengrong Wei
Iowa State University, University of Georgia - Department of Finance, The Chinese University of Hong Kong (CUHK) - CUHK Business School and Georgia Institute of Technology
Downloads 372 (148,455)
Citation 3

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Distinct Relatedness, Synergies, Mergers and Acquisitions, Conditional Dependence, Lasso, Stock return comovement

9.

Momentum and Reversal: Disentangling the Underreaction and Delayed Overreaction

Number of pages: 60 Posted: 23 Aug 2014 Last Revised: 01 Jun 2016
Zhongjin Lu
University of Georgia - Department of Finance
Downloads 332 (168,063)

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cash flow expectations, momentum, reversal, underreaction, overreaction, earnings forecast

10.

Risk Management with Variable Capital Utilization and Procyclical Collateral Capacity

Management Science, forthcoming
Number of pages: 68 Posted: 20 Nov 2020 Last Revised: 04 Nov 2023
Guojun Chen, Zhongjin Lu and Siddharth Vij
National University of Singapore, University of Georgia - Department of Finance and University of Georgia Terry College of Business
Downloads 254 (221,492)

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Collateral constraint, Corporate hedging, Corporate liquidity, Expected profitability, Procyclical collateral capacity, Variable capital utilization.

11.

The Cross Section of Long-Term Expected Returns

Number of pages: 61 Posted: 29 Sep 2015 Last Revised: 21 Jul 2020
Zhongjin Lu
University of Georgia - Department of Finance
Downloads 243 (231,409)

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out-of-sample, cross section, long-term returns, expected profitability, book-to-market ratio, cost of equity

12.

Expectations Matter: When (not) to Use Machine Learning Earnings Forecasts

Number of pages: 64 Posted: 10 Jul 2023 Last Revised: 26 Dec 2023
University of Georgia - J.M. Tull School of Accounting, University of Georgia - C. Herman and Mary Virginia Terry College of Business, University of Georgia - Department of Finance and Bentley University - Department of Finance
Downloads 193 (287,098)

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Machine Learning, Analysts' Forecasts, Earnings Forecasts

13.

Sub-National Credit Risk and Sovereign Bailouts: Who Pays the Premium?

IMF Working Paper No. 14/20
Number of pages: 30 Posted: 20 Feb 2014
E. Jenkner and Zhongjin Lu
International Monetary Fund (IMF) and University of Georgia - Department of Finance
Downloads 65 (624,771)

Abstract:

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Credit risk, Borrowing, Risk premium, Spain, Fiscal policy, sub-national public finances, sovereign risk premium, bailout, interest rates, bond, bond yields, bonds, financial sector, bond market, moral hazard, government bond, individual bond, hedging, financial market, bond spreads, liquidity support, bond prices, national bond, sovereign bond, hedges, rate bonds, sovereign bonds, national bond markets, credit derivatives, term bonds, interest rate risk, sub-national bond market, individual bonds, national bonds, municipal bond market, financial stability, government bond yields, coupon bonds, bond issuance, sovereign bond market, sub-national bonds

14.

Beyond Benefits: Uncertainty and Sticky Information Costs

Number of pages: 57 Posted: 13 Nov 2023 Last Revised: 03 Dec 2023
University of Georgia - C. Herman and Mary Virginia Terry College of Business, University of Georgia - Department of Finance, CEIBS and Bentley University - Department of Finance
Downloads 51 (701,259)

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information choice, sticky information cost, volatility, analysts' forecasts, machine learning, market expectations