Lei Lu

Asper School of Business, University of Manitoba

181 Freedman Crescent

Winnipeg, Manitoba R3T 5V4

Canada

SCHOLARLY PAPERS

21

DOWNLOADS
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Top 9,973

in Total Papers Downloads

7,173

SSRN CITATIONS
Rank 25,217

SSRN RANKINGS

Top 25,217

in Total Papers Citations

15

CROSSREF CITATIONS

22

Scholarly Papers (21)

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
Asper School of Business, University of Manitoba, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Long Island University
Downloads 4,072 (3,726)
Citation 28

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2.

Anomaly Discovery and Arbitrage Trading

Number of pages: 41 Posted: 02 May 2014 Last Revised: 28 Mar 2022
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Peking University - Department of Finance, Asper School of Business, University of Manitoba, Board of Governors of the Federal Reserve System and DePaul University
Downloads 697 (55,190)
Citation 4

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

3.

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, Asper School of Business, University of Manitoba, Board of Governors of the Federal Reserve System and DePaul University
Downloads 277 (162,034)

Abstract:

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Anomaly, Arbitrage, Discovery, Arbitrageur-based asset pricing

4.

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, Asper School of Business, University of Manitoba and San Francisco State University
Downloads 256 (175,458)
Citation 1

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

5.

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 Asper School of Business, University of Manitoba
Downloads 223 (200,343)

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

6.

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, Asper School of Business, University of Manitoba, University of Manitoba - Department of Accounting and Finance and University of Regina
Downloads 202 (219,577)
Citation 4

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

7.

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 Asper School of Business, University of Manitoba
Downloads 194 (227,584)
Citation 4

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

Enforceability and the Effectiveness of Laws and Regulations

Number of pages: 44 Posted: 09 May 2012 Last Revised: 17 Feb 2019
Shanghai Stock Exchange, Asper School of Business, University of Manitoba, Fanhai International School of Finance, Fudan University and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 130 (317,367)

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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, Asper School of Business, University of Manitoba, Fanhai International School of Finance, Fudan University and Fanhai International School of Finance(FISF), Fudan University
Downloads 59 (518,968)
Citation 2

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

9.
Downloads 167 (258,927)
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, Asper School of Business, University of Manitoba and Board of Governors of the Federal Reserve System
Downloads 118 (340,908)

Abstract:

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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, Asper School of Business, University of Manitoba and Board of Governors of the Federal Reserve System
Downloads 49 (565,658)
Citation 2

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Ambiguity, Executive compensation, Options, Relative performance evaluation

10.

International Corporate Bond Market: Uncovering Risks Using Machine Learning

Number of pages: 39 Posted: 27 Jun 2022
University of Guelph - Gordon S. Lang School of Business and Economics, Asper School of Business, University of Manitoba, University of Manitoba - Asper School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 155 (276,769)

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

11.

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), Asper School of Business, University of Manitoba, Shanghai University of Finance and Economics and Shanghai University of Finance and Economics
Downloads 140 (298,776)

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Heterogeneous risk aversion, heterogeneous discount rates, investment

12.

The Pricing Strategies of Unsecured Consumer Loans

Number of pages: 49 Posted: 17 Apr 2020
Asper School of Business, 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 98 (384,858)

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

13.

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, Asper School of Business, University of Manitoba and Xi'an Jiaotong-Liverpool University (XJTLU)
Downloads 95 (395,110)

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bank-trust cooperation, leverage factor, intermediary asset pricing

14.

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 Asper School of Business, University of Manitoba
Downloads 94 (395,110)

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

15.

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 Asper School of Business, University of Manitoba
Downloads 73 (458,686)

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

16.

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, Asper School of Business, University of Manitoba, Dongbei University of Finance and Economics (DUFE) and Tianjin University
Downloads 64 (491,345)

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shared information; voluntary disclosure; heterogeneous beliefs

17.

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, Asper School of Business, University of Manitoba and University of Northern British Columbia - School of Business
Downloads 49 (555,281)

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

18.

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 Asper School of Business, University of Manitoba
Downloads 47 (564,766)

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Heterogeneous belief, information production, stock return comovement

19.

Hedge Funds Trading Strategies and Leverage

Number of pages: 38 Posted: 03 Nov 2022
affiliation not provided to SSRN, Huzhou University, Asper School of Business, University of Manitoba and Shanghai University of Finance and Economics
Downloads 32 (648,537)

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G11, G23

20.

The Pricing of Dividend Surprises

Number of pages: 48 Posted: 22 Nov 2022
College of Management Academic Studies, Sprott School of Business, Carleton University, Asper School of Business, University of Manitoba and Brock University - Goodman School of Business
Downloads 28 (690,563)

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

21.

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

Number of pages: 49 Posted: 31 Oct 2022
Zhongnan University of Economics and Law - School of Finance, Zhongnan University of Economics and Law - School of Finance, Asper School of Business, University of Manitoba and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 21 (730,077)

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