Zhongjin Lu

University of Georgia - Department of Banking and Finance

Assistant Professor

Terry College of Business

Brooks Hall

Athens, GA 30602-6254

United States

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 18,896

SSRN RANKINGS

Top 18,896

in Total Papers Downloads

1,933

CITATIONS
Rank 36,180

SSRN RANKINGS

Top 36,180

in Total Papers Citations

5

Scholarly Papers (7)

1.

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 Banking and Finance and Tsinghua University - School of Economics & Management
Downloads 556 (34,850)
Citation 1

Abstract:

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

2.

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 Banking and Finance and Tsinghua University - School of Economics & Management
Downloads 471 (39,777)
Citation 3

Abstract:

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

3.
Downloads 308 ( 76,480)
Citation 1

The Carry Trade: Risks and Drawdowns

Columbia Business School Research Paper No. 14-35
Number of pages: 62 Posted: 26 Aug 2014 Last Revised: 29 May 2016
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and University of Georgia - Department of Banking and Finance
Downloads 290 (81,320)
Citation 1

Abstract:

The Carry Trade: Risks and Drawdowns

NBER Working Paper No. w20433
Number of pages: 65 Posted: 03 Sep 2014
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and University of Georgia - Department of Banking and Finance
Downloads 18 (451,544)
Citation 1

Abstract:

4.

The Cross Section of Long-Term Expected Returns

Number of pages: 61 Posted: 29 Sep 2015 Last Revised: 15 Dec 2016
Zhongjin Lu
University of Georgia - Department of Banking and Finance
Downloads 113 (194,399)

Abstract:

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

5.

Momentum and Reversal: Disentangling the Underreaction and Delayed Overreaction

Number of pages: 61 Posted: 23 Aug 2014 Last Revised: 01 Jun 2016
Zhongjin Lu
University of Georgia - Department of Banking and Finance
Downloads 108 (125,985)

Abstract:

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

6.

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 Banking and Finance
Downloads 25 (352,723)

Abstract:

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

7.

Bear Beta

Number of pages: 54 Posted: 20 Nov 2016
Zhongjin Lu and Scott Murray
University of Georgia - Department of Banking and Finance and J. Mack Robinson College of Business - Georgia State University
Downloads 0 (140,296)

Abstract:

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