Lei Lu

University of Manitoba

SCHOLARLY PAPERS

22

DOWNLOADS
Rank 9,209

SSRN RANKINGS

Top 9,209

in Total Papers Downloads

9,326

SSRN CITATIONS
Rank 22,140

SSRN RANKINGS

Top 22,140

in Total Papers Citations

33

CROSSREF CITATIONS

23

Scholarly Papers (22)

1.

Long Term Performance of Leveraged ETFs

Number of pages: 31 Posted: 20 Feb 2009 Last Revised: 02 Aug 2009
Lei Lu, Jun Wang and Ge Zhang
University of Manitoba, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Long Island University
Downloads 4,698 (3,778)
Citation 28

Abstract:

Loading...

2.

Anomaly Discovery and Arbitrage Trading

Number of pages: 66 Posted: 14 Mar 2023
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Peking University - Department of Finance, University of Manitoba, University of Virginia Darden School of Business and DePaul University
Downloads 1,050 (39,534)
Citation 4

Abstract:

Loading...

Anomaly, Arbitrage, Discovery, Arbitrageur-based asset pricing.

3.

International Corporate Bond Returns: Uncovering Predictability Using Machine Learning

Number of pages: 45 Posted: 27 Jun 2022 Last Revised: 17 Sep 2023
University of Guelph - Gordon S. Lang School of Business and Economics, University of Manitoba, University of Manitoba - Asper School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 371 (148,269)
Citation 1

Abstract:

Loading...

corporate bonds; international asset pricing; machine learning; return predictability

4.

Market Sentiment and the Cross-section of Expected Stock Returns

Number of pages: 55 Posted: 10 Feb 2020 Last Revised: 12 Sep 2022
College of Management Academic Studies, University of Manitoba - Asper School of Business, Lyon College and University of Manitoba
Downloads 297 (188,975)

Abstract:

Loading...

Sentiment Risk, Sentiment Beta, Stock Returns, Short-sale Constraints

5.

A Model of Anomaly Discovery

FRB International Finance Discussion Paper No. 1128
Number of pages: 52 Posted: 10 May 2015
Liu Qu, Lei Lu, Bo Sun and Hongjun Yan
Independent, University of Manitoba, University of Virginia Darden School of Business and DePaul University
Downloads 295 (189,605)

Abstract:

Loading...

Anomaly, Arbitrage, Discovery, Arbitrageur-based asset pricing

6.

Two Trees with Heterogeneous Beliefs: Spillover Effect of Disagreement

Rotman School of Management Working Paper No. 2493831
Number of pages: 47 Posted: 11 Sep 2014 Last Revised: 19 Nov 2017
Bing Han, Lei Lu and Yi Zhou
University of Toronto, Rotman School of Management, University of Manitoba and San Francisco State University
Downloads 291 (192,338)
Citation 6

Abstract:

Loading...

Heterogeneous beliefs, disagreements; spillover effect; peer effect; expected return; volatility

7.

Board Independence, Ownership Concentration and Corporate Performance - Chinese Evidence

Number of pages: 37 Posted: 12 Sep 2011 Last Revised: 02 Jan 2014
Shanghai Stock Exchange, University of Manitoba, University of Manitoba - Department of Accounting and Finance and University of Regina
Downloads 258 (217,242)
Citation 9

Abstract:

Loading...

Independent directors, Ownership concentration, Ownership type, Corporate performance, Chinese share-structure reform, Institutional environment

Enforceability and the Effectiveness of Laws and Regulations

Number of pages: 44 Posted: 09 May 2012 Last Revised: 17 Feb 2019
Shanghai Stock Exchange, University of Manitoba, Fanhai International School of Finance, Fudan University and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 157 (342,467)

Abstract:

Loading...

Enforceability, controlling shareholder, tunneling, loan guarantee, asset diversion

Enforceability and the Effectiveness of Laws and Regulations

Journal of Corporate Finance, Forthcoming
Number of pages: 52 Posted: 09 Oct 2017 Last Revised: 23 Feb 2020
Shanghai Stock Exchange, University of Manitoba, Fanhai International School of Finance, Fudan University and Fanhai International School of Finance(FISF), Fudan University
Downloads 75 (583,634)
Citation 2

Abstract:

Loading...

Enforceability, controlling shareholder, tunneling, loan guarantee, asset diversion

9.

Asset Pricing in a Monetary Economy with Heterogeneous Beliefs

22nd Australasian Finance and Banking Conference 2009
Number of pages: 35 Posted: 17 Aug 2009
Benjamin Croitoru and Lei Lu
McGill University - Desautels Faculty of Management and University of Manitoba
Downloads 212 (262,422)
Citation 6

Abstract:

Loading...

asset pricing, continuous-time finance, monetary policy, heterogeneous beliefs, market volatility

10.
Downloads 209 (267,124)
Citation 2

Incentive Contracting under Ambiguity-Aversion

Number of pages: 34 Posted: 11 Oct 2012 Last Revised: 26 Feb 2017
Qi Liu, Lei Lu and Bo Sun
Peking University - Department of Finance, University of Manitoba and University of Virginia Darden School of Business
Downloads 136 (387,217)

Abstract:

Loading...

ambiguity, executive compensation, options

Incentive Contracting Under Ambiguity Aversion

FRB International Finance Discussion Paper No. 1195
Number of pages: 41 Posted: 24 Feb 2017
Qi Liu, Lei Lu and Bo Sun
Peking University - Department of Finance, University of Manitoba and University of Virginia Darden School of Business
Downloads 73 (597,579)
Citation 2

Abstract:

Loading...

Ambiguity, Executive compensation, Options, Relative performance evaluation

11.

The Risk and Return of Cryptocurrency Carry Trade

Number of pages: 42 Posted: 28 Dec 2023
Gordon S Lang School of Business and Economics, University of Guelph, Guelph, Canada - Department of Economics and Finance, University of Lethbridge - Dhillon School of Business, University of Manitoba and University of Manitoba - Asper School of Business
Downloads 196 (281,859)

Abstract:

Loading...

Cryptocurrency, Stablecoin, Carry trade, Risk premium, Equity market volatility, Platform collapse

12.

Heterogeneous Preferences, Investment, and Asset Pricing

Number of pages: 41 Posted: 16 Dec 2016 Last Revised: 26 Apr 2019
University of Electronic Science and Technology of China (UESTC), University of Manitoba, Hunan University and Shanghai University of Finance and Economics
Downloads 157 (342,323)
Citation 2

Abstract:

Loading...

Heterogeneous risk aversion, heterogeneous discount rates, investment

13.

The Pricing Strategies of Unsecured Consumer Loans

Number of pages: 58 Posted: 17 Apr 2020
University of Manitoba, University of International Business and Economics (UIBE) - School of Banking and Finance, University of International Business and Economics (UIBE) and San Francisco State University
Downloads 156 (344,193)

Abstract:

Loading...

Consumer finance, Business-to-consumer (B2C), Pricing strategies

14.

Shadow Banks, Leverage Risks, and Asset Prices

Journal of Economic Dynamics and Control, Vol. 111, 2020
Number of pages: 54 Posted: 07 Mar 2019 Last Revised: 17 Mar 2020
Xu Feng, Lei Lu and Yajun Xiao
Tianjin University - College of Management and Economics, University of Manitoba and Xi'an Jiaotong-Liverpool University (XJTLU)
Downloads 132 (393,217)

Abstract:

Loading...

bank-trust cooperation, leverage factor, intermediary asset pricing

15.

Forward Premium Puzzle and Heterogeneous Beliefs

Number of pages: 57 Posted: 17 Apr 2020 Last Revised: 23 Jul 2020
affiliation not provided to SSRN, University of Lethbridge - Dhillon School of Business and University of Manitoba
Downloads 124 (415,112)

Abstract:

Loading...

Heterogeneous beliefs; Uncovered interest rate parity; Carry trade; Exchange rate volatility

16.

The Pricing of Dividend Surprises

Number of pages: 48 Posted: 22 Nov 2022
College of Management Academic Studies, Sprott School of Business, Carleton University, University of Manitoba and Brock University - Goodman School of Business
Downloads 117 (430,895)

Abstract:

Loading...

Payout Policy; Dividend surprise; Stock return anomaly; Financial constraint

17.

Hedge Funds Trading Strategies and Leverage

Number of pages: 38 Posted: 03 Nov 2022
Zhejiang University of Finance and Economics (ZUFE), Huzhou University, University of Manitoba and Hunan University
Downloads 117 (430,895)

Abstract:

Loading...

G11, G23

18.

The Value of Investor Sophistication

Number of pages: 47 Posted: 11 Oct 2021
University of Northern British Columbia - School of Business, College of Management Academic Studies, Lyon College and University of Manitoba
Downloads 98 (489,212)

Abstract:

Loading...

investor sophistication, conditional model, idiosyncratic volatility, stock returns, short-sale constraint.

19.

Voluntary Information Disclosure with Heterogeneous Beliefs

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 29 Posted: 24 May 2019 Last Revised: 07 Feb 2021
affiliation not provided to SSRN, Beihang University (BUAA) - School of Economic and Management Science, University of Manitoba, Dongbei University of Finance and Economics (DUFE) and Tianjin University
Downloads 90 (516,691)

Abstract:

Loading...

shared information; voluntary disclosure; heterogeneous beliefs

20.

A Separation Analysis of the Idiosyncratic Volatility-Return Relation

Number of pages: 27 Posted: 06 Jun 2022
Washington State University, College of Management Academic Studies, University of Manitoba and University of Northern British Columbia - School of Business
Downloads 80 (555,127)
Citation 1

Abstract:

Loading...

Market Condition, Idiosyncratic Volatility, Upside Risk, Downside Risk, Investor Reaction

21.

Does Stock Market Rescue Affect Investment Efficiency in the Real Sector?

Journal of Financial Markets, Forthcoming
Number of pages: 57 Posted: 31 Oct 2022 Last Revised: 13 Aug 2023
Zhongnan University of Economics and Law - School of Finance, Zhongnan University of Economics and Law - School of Finance, University of Manitoba and Xiamen University - School of Economics
Downloads 76 (571,734)

Abstract:

Loading...

Stock market rescue, Government intervention, Investment efficiency, National team

22.

Commonality in Disagreement and Stock Returns

Number of pages: 33 Posted: 24 Nov 2020
College of Management Academic Studies, University of Manitoba - Asper School of Business and University of Manitoba
Downloads 70 (598,392)

Abstract:

Loading...

Heterogeneous belief, information production, stock return comovement