Zhongjin Lu

University of Georgia - Department of Finance

Assistant Professor

Terry College of Business

Athens, GA 30602-6254

United States

SCHOLARLY PAPERS

12

DOWNLOADS
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Top 15,970

in Total Papers Downloads

4,697

SSRN CITATIONS
Rank 16,540

SSRN RANKINGS

Top 16,540

in Total Papers Citations

42

CROSSREF CITATIONS

24

Scholarly Papers (12)

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 803 (45,653)
Citation 19

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

2.
Downloads 707 ( 54,134)
Citation 12

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 625 (62,713)
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: 31 Oct 2022
Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and University of Georgia - Department of Finance
Downloads 82 (433,319)
Citation 7

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3.

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 643 (61,263)
Citation 1

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

4.

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 630 (62,892)
Citation 3

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

5.

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 341 (130,339)
Citation 3

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Leverage Constraints, Shadow Cost, Financial Intermediaries, Leveraged Funds

6.

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 316 (141,255)

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

7.

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 310 (144,110)

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

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, Shenzhen and Georgia Institute of Technology
Downloads 292 (153,370)
Citation 1

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

9.

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 211 (210,650)

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

10.

Heterogeneous Liquidity Providers and Night-minus-day Return Predictability

Number of pages: 79 Posted: 10 Jan 2022 Last Revised: 27 Jun 2022
University of Georgia - Department of Finance, University of Georgia - Department of Banking and Finance and Auburn University - Department of Finance
Downloads 200 (221,287)

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

11.

Risk Management with Variable Capital Utilization and Procyclical Collateral Capacity

Number of pages: 68 Posted: 20 Nov 2020 Last Revised: 18 Jan 2022
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 189 (232,532)

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

12.

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 55 (527,271)

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