Xiaomeng Lu

Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)

Assistant Professor

Shanghai Jiao Tong University

211 West Huaihai Road

Shanghai, 200030

China

  • Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)

SCHOLARLY PAPERS

4

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Scholarly Papers (4)

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1.

Anomalies Abroad: Beyond Data Mining

Downloads 745 ( 31,852)

Anomalies Abroad: Beyond Data Mining

Finance Down Under 2018 Building on the Best from the Cellars of Finance Paper
Number of pages: 62 Posted: 03 Aug 2017 Last Revised: 23 Jan 2018
Xiaomeng Lu, Robert F. Stambaugh and Yu Yuan
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 725 (32,543)

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Anomalies, Data Mining, Idiosyncratic Volatility, Mispricing

Anomalies Abroad: Beyond Data Mining

NBER Working Paper No. w23809
Number of pages: 48 Posted: 18 Sep 2017
Xiaomeng Lu, Robert F. Stambaugh and Yu Yuan
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 20 (524,565)
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2.

Tail Risk Concerns Everywhere

Number of pages: 41 Posted: 17 May 2015 Last Revised: 08 Jun 2017
George Gao, Xiaomeng Lu and Zhaogang Song
T. Rowe Price, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Johns Hopkins University - Carey Business School
Downloads 518 (51,405)

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Asset Class; Bond; Currency; Equity; Option; Tail Risk Concerns

3.

Disagreement Beta

Journal of Monetary Economics, Forthcoming
Number of pages: 42 Posted: 17 Jun 2016 Last Revised: 07 Oct 2018
George Gao, Xiaomeng Lu, Zhaogang Song and Hongjun Yan
T. Rowe Price, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Johns Hopkins University - Carey Business School and DePaul University
Downloads 442 (62,656)

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Disagreement, heterogeneous beliefs, speculation, asset pricing

4.

Bubble-Creating Stock Market Attacks: Widespread Evidence from the Chinese Stock Market

Number of pages: 51 Posted: 11 Jan 2017 Last Revised: 22 Jun 2017
Ziyang Geng and Xiaomeng Lu
Shanghai Pudong Development Bank and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 98 (261,624)

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Speculator, synchronized attacks, Obama-Concept stock, limits to arbitrage, behavioral biases