Helen Lu

University of Auckland Business School

12 Grafton Rd

Private Bag 92019

Auckland, 1010

New Zealand

http://www.business.auckland.ac.nz/people/hlu079

University of Auckland - Department of Accounting and Finance

Assistant professor

Private Bag 92019

Auckland 1001

New Zealand

SCHOLARLY PAPERS

19

DOWNLOADS
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5,868

SSRN CITATIONS
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SSRN RANKINGS

Top 43,527

in Total Papers Citations

14

CROSSREF CITATIONS

2

Scholarly Papers (19)

Cross-Asset Return Predictability: Carry Trades, Stocks and Commodities

Number of pages: 52 Posted: 22 Feb 2014
Helen Lu and Ben Jacobsen
University of Auckland Business School and Tilburg University - TIAS School for Business and Society
Downloads 372 (117,800)

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Carry Trade, Return Predictability, Safe-haven Currencies, Gradual Information Diffusion

Cross-Asset Return Predictability: Carry Trades, Stocks and Commodities

Number of pages: 52 Posted: 20 Feb 2014
Helen Lu and Ben Jacobsen
University of Auckland Business School and Tilburg University - TIAS School for Business and Society
Downloads 293 (152,395)

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Carry Trade; Return Predictability; Safe-haven Currencies; Gradual Information Diffusion; Time-varying Risk Premium; Vector Auto Regressions

Cross-Asset Return Predictability: Carry Trades, Stocks and Commodities

Number of pages: 61 Posted: 07 Feb 2015 Last Revised: 18 Sep 2015
Helen Lu and Ben Jacobsen
University of Auckland Business School and Tilburg University - TIAS School for Business and Society
Downloads 242 (184,983)
Citation 2

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Carry Trade; Gradual Information Diffusion; Return Predictability, Safe-haven Currencies, Time-varying Risk Premium, Vector Auto Regression

2.

The Correlation Structure of Anomaly Strategies

Number of pages: 97 Posted: 19 Jul 2017 Last Revised: 04 Aug 2020
Paul Geertsema and Helen Lu
University of Auckland Business School and University of Auckland Business School
Downloads 785 (47,138)
Citation 1

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anomalies; correlation; cluster analysis; machine learning; asset pricing

3.

Relative Valuation with Machine Learning

Journal of Accounting Research, Forthcoming, The University of Auckland Business School Research Paper Forthcoming
Number of pages: 77 Posted: 17 Dec 2020 Last Revised: 21 Oct 2022
Paul Geertsema and Helen Lu
University of Auckland Business School and University of Auckland Business School
Downloads 736 (51,467)

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Relative Valuation; Peer Firms; Fundamental Analysis; Machine Learning; GBM; Gradient Boosting Machine

4.

Machine Valuation

Number of pages: 56 Posted: 07 Sep 2019
Paul Geertsema and Helen Lu
University of Auckland Business School and University of Auckland Business School
Downloads 546 (75,458)

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valuation; asset pricing; return predictability; machine learning; gradient boosted trees

5.

Where is the Risk in Risk Factors? Evidence from the Vietnam war to the COVID-19 pandemic

Number of pages: 47 Posted: 18 Nov 2021 Last Revised: 09 May 2022
Paul Geertsema and Helen Lu
University of Auckland Business School and University of Auckland Business School
Downloads 361 (122,760)

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Risk factors; COVID-19; Bear markets; Cash flow duration; Financial constraints

6.

Where Is the Risk in Risk Factors? Evidence from the Vietnam War to the COVID-19 Pandemic

Number of pages: 47 Posted: 08 Jun 2020 Last Revised: 13 Apr 2022
Paul Geertsema and Helen Lu
University of Auckland Business School and University of Auckland Business School
Downloads 345 (129,449)
Citation 1

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Risk factors; COVID-19; Bear markets; Cash flow duration; Financial constraints

7.

Real Earnings Management Around CEO Turnovers

Number of pages: 52 Posted: 07 Dec 2015 Last Revised: 03 Jun 2020
University of Auckland Business School, University of Otago - Department of Accountancy and Finance and University of Auckland Business School
Downloads 344 (129,449)
Citation 2

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CEO Turnover, Real Earnings Management, Abnormal Operating Performance, Discretionary Accruals

8.

Long-Run Expected Stock Returns

Number of pages: 73 Posted: 11 May 2021
Paul Geertsema and Helen Lu
University of Auckland Business School and University of Auckland Business School
Downloads 337 (132,263)

Abstract:

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Long-run discount rates, return predictability, cross-section of returns, machine learning, gradient boosting; variable importance, SHAP values

9.

Measuring information decay in financial markets

Number of pages: 54 Posted: 18 Nov 2021 Last Revised: 03 Jul 2022
Paul Geertsema and Helen Lu
University of Auckland Business School and University of Auckland Business School
Downloads 294 (152,698)

Abstract:

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finance, information decay, long-run returns, return predictability, machine learning

10.

The Cross-section of Long-run Expected Stock Returns

Number of pages: 80 Posted: 26 Feb 2021
Paul Geertsema and Helen Lu
University of Auckland Business School and University of Auckland Business School
Downloads 188 (234,218)

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Long-Run Discount Rates; Return Predictability; Cross-Section of Returns; Machine Learning; Gradient Boosting; Variable Importance; SHAP Values

11.

Stock Price Response to New CEO Earnings News

28th Australasian Finance and Banking Conference
Number of pages: 45 Posted: 20 Aug 2015 Last Revised: 23 Aug 2016
University of Auckland Business School, University of Otago - Department of Accountancy and Finance and University of Auckland Business School
Downloads 161 (267,382)

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CEO Turnover, Unexpected Earnings, Earnings Response Coefficient, Meet and Beat Premium, Information Environment

12.
Downloads 149 (284,838)

CEO Inside Debt and Innovation

Number of pages: 50 Posted: 24 Mar 2021 Last Revised: 15 Mar 2022
Ha Nguyen, Helen Lu and Alastair Marsden
University of Auckland, Business School, Department of Accounting and Finance, University of Auckland Business School and University of Auckland Business School
Downloads 127 (323,519)

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CEO compensation, Inside Debt, Patent, Citation, Research Quotient

CEO Inside Debt and Innovation

Number of pages: 53 Posted: 12 Nov 2021 Last Revised: 02 Dec 2021
Ha Nguyen, Helen Lu and Alastair Marsden
University of Auckland, Business School, Department of Accounting and Finance, University of Auckland Business School and University of Auckland Business School
Downloads 22 (746,454)

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CEO compensation, Inside Debt, Patent, Citation, Research Quotient

13.

Patient Capital and Long-run Expected Stock Returns

Number of pages: 48 Posted: 22 Sep 2022
Paul Geertsema and Helen Lu
University of Auckland Business School and University of Auckland Business School
Downloads 141 (297,686)

Abstract:

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Long-run returns; patient capital; return predictability; cross-section of returns; machine learning; gradient boosting; SHAP values

14.

SOX and the Horizon Problem

Number of pages: 29 Posted: 17 Dec 2018 Last Revised: 18 Jul 2022
University of Auckland Business School, University of Otago - Department of Accountancy and Finance and University of Auckland Business School
Downloads 136 (306,168)

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CEO Turnover, SOX, Real Earnings Management, Horizon Problem

15.

Asymmetric Extreme Tails and Prospective Utility of Momentum Returns

Economics Letters, Forthcoming
Number of pages: 9 Posted: 23 Sep 2010 Last Revised: 07 May 2012
Massey University - Department of Commerce, University of Auckland Business School and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 119 (337,827)
Citation 1

Abstract:

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Extreme value theory, Asymmetric tails, Prospective utility

16.

A Game-Theoretic Model of Underpricing and Over-Subscription in Chinese IPO's

Number of pages: 9 Posted: 28 Nov 2015
Paul Geertsema and Helen Lu
University of Auckland Business School and University of Auckland Business School
Downloads 107 (363,764)

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IPO Underpricing, Risk aversion, Game theory

17.

Regulated Price and Demand in China’s IPO Market

Number of pages: 35 Posted: 16 Jul 2018 Last Revised: 31 May 2019
Paul Geertsema and Helen Lu
University of Auckland Business School and University of Auckland Business School
Downloads 99 (382,988)

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Initial Public Offering; IPO Underpricing, IPO Oversubscription, Endogeneity, Simultaneous Equations, A-share Markets

18.

Trust and the Value of CSR during the Global Financial Crisis

Number of pages: 15 Posted: 04 Jun 2020 Last Revised: 17 Jul 2020
Henk Berkman, Michelle Li and Helen Lu
University of Auckland Business School, University of Auckland Business School and University of Auckland Business School
Downloads 93 (398,464)
Citation 2

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Corporate Social Responsibility, Event Study, Replication, Validity Test, Japan

Revisiting the Price Effect in US Stocks

Finance Research Letters, 30, 139-144, 2020. doi:10.1016/j.frl.2019.03.017, The University of Auckland Business School Research Paper Series
Number of pages: 15 Posted: 14 Feb 2022
Paul Geertsema and Helen Lu
University of Auckland Business School and University of Auckland Business School
Downloads 20 (764,187)

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Return predictability, Price effect, Benchmark models

Revisiting the price effect in US stocks

Finance Research Letters, 30, 139-144. https://doi.org/10.1016/j.frl.2019.03.017, The University of Auckland Business School Research Paper Series
Posted: 15 Feb 2022
Paul Geertsema and Helen Lu
University of Auckland Business School and University of Auckland Business School

Abstract:

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Return predictability, Price effect, Benchmark models