Zhongjin Lu

University of Georgia - C. Herman and Mary Virginia Terry College of Business

Associate Professor

Terry College of Business

Athens, GA 30602-6254

United States

  • University of Georgia - C. Herman and Mary Virginia Terry College of Business

SCHOLARLY PAPERS

16

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7,101

TOTAL CITATIONS
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Top 12,078

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89

Scholarly Papers (16)

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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 - C. Herman and Mary Virginia Terry College of Business and Georgia State University
Downloads 981 (51,115)
Citation 24

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

2.

The Carry Trade: Risks and Drawdowns

Downloads 872 (60,100)
Citation 35

The Carry Trade: Risks and Drawdowns

Critical Finance Review, forthcoming
Number of pages: 62 Posted: 26 Aug 2014 Last Revised: 04 Apr 2017
Kent D. Daniel, Robert J. Hodrick and Zhongjin Lu
Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and University of Georgia - C. Herman and Mary Virginia Terry College of Business
Downloads 745 (73,051)
Citation 1

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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
Kent D. Daniel, Robert J. Hodrick and Zhongjin Lu
Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and University of Georgia - C. Herman and Mary Virginia Terry College of Business
Downloads 127 (484,386)
Citation 34

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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 - C. Herman and Mary Virginia Terry College of Business and Tsinghua University - School of Economics & Management
Downloads 716 (78,102)
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 - C. Herman and Mary Virginia Terry College of Business and Tsinghua University - School of Economics & Management
Downloads 684 (82,787)
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
Zhongjin Lu, Steven G. Malliaris and Zhongling Qin
University of Georgia - C. Herman and Mary Virginia Terry College of Business, University of Georgia - Department of Banking and Finance and Auburn University - Department of Finance
Downloads 609 (96,049)
Citation 10

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

6.

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

Number of pages: 61 Posted: 10 Jul 2023 Last Revised: 21 Dec 2024
John L. Campbell, Harrison Ham, Zhongjin Lu and Katherine Wood
University of Georgia - J.M. Tull School of Accounting, University of Georgia - C. Herman and Mary Virginia Terry College of Business, University of Georgia - C. Herman and Mary Virginia Terry College of Business and Bentley University - Department of Finance
Downloads 575 (103,392)
Citation 1

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Machine Learning, Analysts' Forecasts, Earnings Forecasts

7.

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
The University of Tennessee, Knoxville, University of Georgia - C. Herman and Mary Virginia Terry College of Business, The Chinese University of Hong Kong (CUHK) - CUHK Business School and Georgia Institute of Technology
Downloads 458 (136,613)
Citation 3

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

8.

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 - C. Herman and Mary Virginia Terry College of Business and Auburn University - Department of Finance
Downloads 455 (137,731)

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

9.

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 - C. Herman and Mary Virginia Terry College of Business and Auburn University - Department of Finance
Downloads 449 (139,951)
Citation 12

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Leverage Constraints, Shadow Cost, Financial Intermediaries, Leveraged Funds

10.

Momentum and Reversal: Disentangling the Underreaction and Delayed Overreaction

Number of pages: 60 Posted: 23 Aug 2014 Last Revised: 09 Sep 2024
Zhongjin Lu
University of Georgia - C. Herman and Mary Virginia Terry College of Business
Downloads 352 (184,200)

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

11.

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 - C. Herman and Mary Virginia Terry College of Business and University of Georgia Terry College of Business
Downloads 320 (204,253)

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

12.

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 - C. Herman and Mary Virginia Terry College of Business
Downloads 272 (242,565)

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

13.

Beyond Benefits: Uncertainty and Sticky Information Costs

Number of pages: 57 Posted: 13 Nov 2023 Last Revised: 03 Dec 2023
Harrison Ham, Zhongjin Lu, Wang Renxuan and Katherine Wood
University of Georgia - C. Herman and Mary Virginia Terry College of Business, University of Georgia - C. Herman and Mary Virginia Terry College of Business, CEIBS and Bentley University - Department of Finance
Downloads 113 (527,592)

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

14.

Charitable Capital Allocation: Evidence from Private Foundations

Number of pages: 73 Posted: 12 Aug 2024 Last Revised: 21 Apr 2025
Zhongjin Lu and Steven G. Malliaris
University of Georgia - C. Herman and Mary Virginia Terry College of Business and University of Georgia - Department of Banking and Finance
Downloads 89 (621,743)

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private foundations, nonprofit boards, nonprofit governance, charitable spending, agency costs

15.

Dissecting the return-predicting power of risk-neutral variance

Journal of Banking & Finance, volume 173, 2025[10.1016/j.jbankfin.2025.107409]
Number of pages: 58 Posted: 10 Mar 2025
Zhongjin Lu and Chaehyun Pyun
University of Georgia - C. Herman and Mary Virginia Terry College of Business and University of Alabama in Huntsville
Downloads 79 (667,590)

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Risk-neutral variance, Equity risk premium

16.

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 - C. Herman and Mary Virginia Terry College of Business
Downloads 77 (677,373)

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