Lei Lu

Asper School of Business, University of Manitoba

181 Freedman Crescent

Winnipeg, Manitoba R3T 5V4

Canada

SCHOLARLY PAPERS

15

DOWNLOADS
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Top 9,501

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5,332

SSRN CITATIONS
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SSRN RANKINGS

Top 27,002

in Total Papers Citations

9

CROSSREF CITATIONS

21

Scholarly Papers (15)

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 3,384 (3,357)
Citation 26

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2.

Anomaly Discovery and Arbitrage Trading

Number of pages: 48 Posted: 02 May 2014 Last Revised: 05 Oct 2018
Baruch College / City University of New York, Peking University - Department of Finance, Asper School of Business, University of Manitoba, Board of Governors of the Federal Reserve System - Division of International Finance and DePaul University
Downloads 484 (63,663)
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 - Division of International Finance and DePaul University
Downloads 257 (130,400)

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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 221 (151,260)
Citation 1

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

5.

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 177 (185,411)
Citation 3

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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 104 (283,075)

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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
Ke Li, Lei Lu, Jun Qian and Julie Zhu
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 49 (433,089)
Citation 1

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

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 - Division of International Finance
Downloads 107 (277,299)

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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 - Division of International Finance
Downloads 45 (449,168)

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Ambiguity, Executive compensation, Options, Relative performance evaluation

8.

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 151 (212,305)
Citation 2

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

9.

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 112 (268,776)

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Heterogeneous risk aversion, heterogeneous discount rates, investment

10.

Market Sentiment and the Cross-section of Expected Stock Returns

Number of pages: 43 Posted: 10 Feb 2020
University of Manitoba - Department of Accounting and Finance, University of Manitoba - Asper School of Business, University of Manitoba - Asper School of Business and Asper School of Business, University of Manitoba
Downloads 111 (268,776)

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Sentiment Risk; Stock Returns; Factor Model

11.

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
Feng Xu, Lei Lu and Yajun Xiao
Tianjin University - College of Management and Economics, Asper School of Business, University of Manitoba and University College Dublin (UCD)
Downloads 62 (381,661)

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bank-trust cooperation, leverage factor, intermediary asset pricing

12.

Voluntary Information Disclosure with Heterogeneous Beliefs

Number of pages: 29 Posted: 24 May 2019 Last Revised: 18 Jun 2020
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 26 (529,957)

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shared information; voluntary disclosure; heterogeneous beliefs

13.

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 - Faculty of Management and Asper School of Business, University of Manitoba
Downloads 25 (535,951)

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

14.

The Pricing Strategies of Unsecured Consumer Loans

Number of pages: 49 Posted: 17 Apr 2020
Asper School of Business, University of Manitoba, Barcelona Graduate School of Economics (Barcelona GSE), University of International Business and Economics (UIBE) and San Francisco State University
Downloads 14 (606,267)

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

15.

Asset Pricing and Welfare Analysis with Bounded Rational Investors

Financial Review, Vol. 45, Issue 2, pp. 485-499, May 2010
Number of pages: 15 Posted: 12 Apr 2010
Lei Lu
Asper School of Business, University of Manitoba
Downloads 3 (685,700)
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