Zhongjin Lu

University of Georgia - Department of Finance

Assistant Professor

Terry College of Business

Athens, GA 30602-6254

United States

SCHOLARLY PAPERS

10

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Top 16,160

in Total Papers Downloads

3,346

SSRN CITATIONS
Rank 19,529

SSRN RANKINGS

Top 19,529

in Total Papers Citations

25

CROSSREF CITATIONS

24

Scholarly Papers (10)

1.

Bear Beta

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 127 Posted: 20 Nov 2016 Last Revised: 26 Sep 2018
Zhongjin Lu and Scott Murray
University of Georgia - Department of Finance and Georgia State University
Downloads 692 (41,145)
Citation 11

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

2.
Downloads 623 ( 47,331)
Citation 9

The Carry Trade: Risks and Drawdowns

Critical Finance Review, forthcoming
Number of pages: 62 Posted: 26 Aug 2014 Last Revised: 04 Apr 2017
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and University of Georgia - Department of Finance
Downloads 591 (50,060)
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
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and University of Georgia - Department of Finance
Downloads 32 (520,328)
Citation 5

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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 620 (47,620)
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 596 (50,151)
Citation 2

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

5.

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 268 (127,661)

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

6.

Which Relatedness Drives Synergies Creation? Evidence from Stock Return Correlations Using Machine-learning Tools

Number of pages: 66 Posted: 01 Oct 2018 Last Revised: 02 Oct 2020
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 206 (164,913)

Abstract:

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

7.

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 175 (191,228)

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

8.

Leveraged Funds and the Shadow Cost of Leverage Constraints

Journal of Finance, Forthcoming
Number of pages: 54 Posted: 01 Oct 2018 Last Revised: 12 Oct 2020
Zhongjin Lu and Zhongling Qin
University of Georgia - Department of Finance and Auburn University - Department of Finance
Downloads 119 (261,055)
Citation 1

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Leverage Constraints, Shadow Cost, Financial Intermediaries, Leveraged Funds

9.

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 47 (441,645)

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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

10.

Hedging, Liquidity, and Productivity

Number of pages: 68
Guojun Chen, Zhongjin Lu and Siddharth Vij
Nanyang Business School, University of Georgia - Department of Finance and University of Georgia Terry College of Business
Downloads 0

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Corporate hedging, Financial constraints, Productivity, Collateral constraint, Procyclical collateral capacity, Production-dependent depreciation, Hedging capacity