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Lu Zhang

Ohio State University - Fisher College of Business

The John W. Galbreath Chair, Professor of Finance

2100 Neil Avenue

Columbus, OH 43210-1144

United States

National Bureau of Economic Research (NBER)

Research Associate

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

  • Ohio State University - Fisher College of Business

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SCHOLARLY PAPERS

50

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CITATIONS
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Top 299

in Total Papers Citations

1,313

Scholarly Papers (50)

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1.

An Alternative Three-Factor Model

Number of pages: 32 Posted: 19 May 2010 Last Revised: 21 Jan 2014
Long Chen, Robert Novy-Marx and Lu Zhang
Cheung Kong Graduate School of Business, Simon Business School, University of Rochester and Ohio State University - Fisher College of Business
Downloads 9,841 (325)
Citation 77

Abstract:

Anomalies, Alphas, Factor Regressions, Asset Pricing Tests

2.

Replicating Anomalies

Downloads 2,980 ( 2,848)

Replicating Anomalies

Fisher College of Business Working Paper No. 2017-03-010, Charles A. Dice Center Working Paper No. 2017-10
Number of pages: 146 Posted: 03 May 2017 Last Revised: 27 Jul 2017
Kewei Hou, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 2,857 (3,007)

Abstract:

Replication, P-Hacking, Anomalies, The q-Factor Model, Efficient Markets

Replicating Anomalies

NBER Working Paper No. w23394
Number of pages: 130 Posted: 08 May 2017
Kewei Hou, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 123 (194,039)
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Abstract:

3.

Digesting Anomalies: An Investment Approach

Downloads 2,874 ( 3,035)
Citation 14

Digesting Anomalies: An Investment Approach

Review of Financial Studies, Forthcoming, Fisher College of Business Working Paper No. WP 2012-03-021, Dice Center Working Paper No. 2012-21
Number of pages: 182 Posted: 12 Oct 2014
Kewei Hou, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 1,587 (8,195)
Citation 14

Abstract:

The q-factor model, anomalies, factor regressions

Digesting Anomalies: An Investment Approach

Fisher College of Business Working Paper No. 2012-03-021, Charles A. Dice Center Working Paper No. 2012-021
Number of pages: 95 Posted: 26 Sep 2012 Last Revised: 05 Dec 2012
Kewei Hou, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 1,268 (11,803)
Citation 14

Abstract:

Asset pricing anomalies, investment, ROE, factor models, investment-based asset pricing

Digesting Anomalies: An Investment Approach

NBER Working Paper No. w18435
Number of pages: 85 Posted: 06 Oct 2012
Kewei Hou, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 19 (470,814)
Citation 14

Abstract:

4.

Is Value Riskier Than Growth?

Downloads 2,181 ( 4,859)
Citation 116

Is Value Riskier Than Growth?

Simon School of Business Working Paper No. FR02-17; AFA 2004 San Diego Meetings
Number of pages: 35 Posted: 23 Nov 2003
Ralitsa Petkova and Lu Zhang
Case Western Reserve University - Department of Banking & Finance and Ohio State University - Fisher College of Business
Downloads 1,640 (7,807)
Citation 116

Abstract:

Value, Growth, Asymmetric Beta, Expected Risk Premium, Business Cycles

Is Value Riskier than Growth?

Journal of Financial Economics, Forthcoming
Number of pages: 23 Posted: 28 Jan 2005
Ralitsa Petkova and Lu Zhang
Case Western Reserve University - Department of Banking & Finance and Ohio State University - Fisher College of Business
Downloads 541 (40,697)
Citation 116

Abstract:

5.

A Comparison of New Factor Models

Downloads 1,732 ( 7,264)

A Comparison of New Factor Models

Fisher College of Business Working Paper No. 2015-03-05, HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital, Charles A. Dice Center Working Paper No. 2015-05
Number of pages: 67 Posted: 11 Nov 2014 Last Revised: 19 Apr 2017
Kewei Hou, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 1,718 (7,223)

Abstract:

Q-factor model, investment-based asset pricing, capital markets anomalies, factor regressions

A Comparison of New Factor Models

NBER Working Paper No. w20682
Number of pages: 92 Posted: 17 Nov 2014
Kewei Hou, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 14 (499,978)
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Abstract:

6.

Anomalies

Downloads 1,573 ( 8,466)
Citation 71

Anomalies

Simon School Working Paper No. 04-16, Fifteenth Annual Utah Winter Finance Conference
Number of pages: 44 Posted: 01 Nov 2006
Erica X. N. Li, Dmitry Livdan and Lu Zhang
Cheung Kong Graduate School of Business, University of California, Berkeley and Ohio State University - Fisher College of Business
Downloads 1,251 (12,034)
Citation 71

Abstract:

Anomalies, Tobin's Q, time-varying expected return, rational expectations, behavioral finance

Anomalies

Review of Financial Studies, Forthcoming
Number of pages: 60 Posted: 10 Jul 2008
Erica X. N. Li, Dmitry Livdan and Lu Zhang
University of Michigan, Stephen M. Ross School of Business, University of California, Berkeley and Ohio State University - Fisher College of Business
Downloads 271 (93,302)
Citation 71

Abstract:

Anomalies, the q-theory, optimal investment, time-varying expected return, rational expectations economics

Anomalies

NBER Working Paper No. w11322
Number of pages: 56 Posted: 13 Jun 2005
Lu Zhang
Ohio State University - Fisher College of Business
Downloads 51 (333,615)
Citation 71

Abstract:

Anomalies

The Review of Financial Studies, Vol. 22, Issue 11, pp. 4301-4334, 2009
Posted: 08 Dec 2009
Erica X. N. Li, Dmitry Livdan and Lu Zhang
University of Michigan, Stephen M. Ross School of Business, University of California, Berkeley and Ohio State University - Fisher College of Business

Abstract:

7.

Expected Returns, Yield Spreads, and Asset Pricing Tests

Downloads 1,381 ( 10,500)
Citation 30

Expected Returns, Yield Spreads, and Asset Pricing Tests

Simon School Working Paper No. FR 04-04, AFA 2005 Philadelphia Meetings
Number of pages: 48 Posted: 12 Dec 2004
Murillo Campello, Long Chen and Lu Zhang
Cornell University, Cheung Kong Graduate School of Business and Ohio State University - Fisher College of Business
Downloads 1,122 (14,309)
Citation 30

Abstract:

Expected Returns, Risk Factors, Systematic Risk, Yield Spreads

Expected Returns, Yield Spreads, and Asset Pricing Tests

Review of Financial Studies, Forthcoming
Number of pages: 52 Posted: 07 Nov 2007
Murillo Campello, Long Chen and Lu Zhang
Cornell University, Cheung Kong Graduate School of Business and Ohio State University - Fisher College of Business
Downloads 211 (120,781)
Citation 30

Abstract:

Expected returns, risk factors, systematic risk, yield spreads

Expected Returns, Yield Spreads, and Asset Pricing Tests

NBER Working Paper No. w11323
Number of pages: 41 Posted: 13 Jun 2005
Murillo Campello, Long Chen and Lu Zhang
Cornell University, Cheung Kong Graduate School of Business and Ohio State University - Fisher College of Business
Downloads 48 (343,018)
Citation 30

Abstract:

8.

The Value Premium

Downloads 1,310 ( 11,455)
Citation 258

The Value Premium

Simon School of Business Working Paper No. FR 02-19
Number of pages: 73 Posted: 03 Dec 2002
Lu Zhang
Ohio State University - Fisher College of Business
Downloads 1,310 (11,214)
Citation 258

Abstract:

The Value Premium, Industry Equilibrium, Optimal Investment, Assets-in-Place, Growth Option, Asymmetric Adjustment Cost

The Value Premium

Journal of Finance, Forthcoming
Posted: 02 Jan 2004
Lu Zhang
Ohio State University - Fisher College of Business

Abstract:

The Value Premium, Corporate Investment, Assets-in-Place, Growth Option, Costly Reversibility, Rational Expectations Economics

9.

Value Versus Growth: Movements in Economic Fundamentals

Simon School Working Paper No. FR 05-10, AFA 2006 Boston Meetings Paper
Number of pages: 35 Posted: 13 Nov 2005
Yuhang Xing and Lu Zhang
Rice University and Ohio State University - Fisher College of Business
Downloads 1,119 (13,979)
Citation 5

Abstract:

Value, growth, economic fundamentals, business cycles, VAR

10.

The Expected Value Premium

Downloads 997 ( 17,457)
Citation 25

The Expected Value Premium

AFA 2007 Chicago Meetings Paper, Ross School of Business Paper No. 1049
Number of pages: 39 Posted: 13 Mar 2006
Long Chen, Ralitsa Petkova and Lu Zhang
Cheung Kong Graduate School of Business, Case Western Reserve University - Department of Banking & Finance and Ohio State University - Fisher College of Business
Downloads 625 (33,627)
Citation 25

Abstract:

The Value Premium, Expected Returns, Dividend Growth, Dividend Price Ratio

The Expected Value Premium

Forthcoming, Journal of Financial Economics (JFE)
Number of pages: 23 Posted: 09 Apr 2007
Long Chen, Ralitsa Petkova and Lu Zhang
Cheung Kong Graduate School of Business, Case Western Reserve University - Department of Banking & Finance and Ohio State University - Fisher College of Business
Downloads 339 (72,399)
Citation 25

Abstract:

The Value Strategy, Expected Returns, Dividend Growth, Dividend Price Ratio, Capital Gains

The Expected Value Premium

NBER Working Paper No. w12183
Number of pages: 43 Posted: 23 May 2006
Long Chen, Ralitsa Petkova and Lu Zhang
Cheung Kong Graduate School of Business, Case Western Reserve University - Department of Banking & Finance and Ohio State University - Fisher College of Business
Downloads 33 (397,700)
Citation 25

Abstract:

11.

Neoclassical Factors

Downloads 886 ( 20,853)
Citation 8

Neoclassical Factors

Ross School of Business Paper No. 1088, AFA 2009 San Francisco Meetings Paper
Number of pages: 39 Posted: 25 Jun 2007 Last Revised: 16 Sep 2009
Lu Zhang and Long Chen
Ohio State University - Fisher College of Business and Cheung Kong Graduate School of Business
Downloads 830 (22,582)
Citation 8

Abstract:

The cross-section of returns, anomalies, neoclassical economics, factor regressions

Neoclassical Factors

NBER Working Paper No. w13282
Number of pages: 58 Posted: 23 Jul 2007
Long Chen and Lu Zhang
Cheung Kong Graduate School of Business and Ohio State University - Fisher College of Business
Downloads 56 (318,633)
Citation 8

Abstract:

12.

Investment-Based Expected Stock Returns

Downloads 845 ( 22,342)
Citation 65

Investment-Based Expected Stock Returns

Journal of Political Economy, Forthcoming, Simon School Working Paper No. FR 10-03
Number of pages: 36 Posted: 16 Oct 2009
Laura Xiaolei Liu, Toni M. Whited and Lu Zhang
Guanghua School of Management, Peking University, University of Michigan, Stephen M. Ross School of Business and Ohio State University - Fisher College of Business
Downloads 845 (21,974)
Citation 65

Abstract:

q-theory, the cross-section of expected returns, investment-based asset pricing, stock return volatility, structural estimation

Investment-Based Expected Stock Returns

Journal of Political Economy, Vol. 117, No. 6, pp. 1105-1139, 2009
Posted: 18 Dec 2009
Laura Xiaolei Liu, Toni M. Whited and Lu Zhang
Guanghua School of Management, Peking University, University of Michigan, Stephen M. Ross School of Business and Ohio State University - Fisher College of Business

Abstract:

q-theory, the cross-section of expected returns, investment-based asset pricing, stock return volatility, structural estimation

13.

Do Anomalies Exist Ex Ante?

Downloads 823 ( 23,249)
Citation 6

Do Anomalies Exist Ex Ante?

Number of pages: 44 Posted: 22 Sep 2008 Last Revised: 18 Apr 2013
Yue Tang, Jin (Ginger) Wu and Lu Zhang
University of Florida - Department of Finance, Insurance and Real Estate, University of Georgia - Department of Banking and Finance and Ohio State University - Fisher College of Business
Downloads 573 (37,684)
Citation 6

Abstract:

capital markets anomalies, expected return estimates, dividend discounting

Do Anomalies Exist Ex Ante?

Review of Finance, forthcoming
Number of pages: 27 Posted: 04 Oct 2010 Last Revised: 31 May 2013
Yue Tang, Jin (Ginger) Wu and Lu Zhang
University of Florida - Department of Finance, Insurance and Real Estate, University of Georgia - Department of Banking and Finance and Ohio State University - Fisher College of Business
Downloads 250 (101,658)
Citation 6

Abstract:

Capital markets anomalies, Expected return estimates, Implied costs of equity, The residual income model, Implied growth rates, Risk, Mispricing

14.

Equilibrium Cross-Section of Returns

Downloads 733 ( 27,410)
Citation 179

Equilibrium Cross-Section of Returns

U of Pennsylvania, Wharton School Working Paper, Journal of Political Economy, Vol. 111, No. 4, 2003
Number of pages: 71 Posted: 13 Apr 2001 Last Revised: 16 Sep 2009
Joao F. Gomes, Leonid Kogan and Lu Zhang
The Wharton School, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Ohio State University - Fisher College of Business
Downloads 691 (29,293)
Citation 179

Abstract:

General equilibrium, the cross-section of returns, beta, size, book-to-market ratio, firm heterogeneity, business

Equilibrium Cross-Section of Returns

CEPR Discussion Paper No. 3482
Number of pages: 61 Posted: 14 Sep 2002
Joao F. Gomes, Leonid Kogan and Lu Zhang
The Wharton School, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Ohio State University - Fisher College of Business
Downloads 42 (362,907)
Citation 179
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Abstract:

Production based asset pricing, beta, size and book-to-market factors, CAPM, business cycle properties of stock returns

Equilibrium Cross-Section of Returns

MIT Sloan Working Paper No. 4265-02
Posted: 22 Oct 2002
Leonid Kogan, Joao F. Gomes and Lu Zhang
Massachusetts Institute of Technology (MIT) - Sloan School of Management, The Wharton School and Ohio State University - Fisher College of Business

Abstract:

Asset Pricing, Stock Returns, Book-to-market, Size, Equilibrium, Cross-section, Production, Investment, Business Cycle, Aggregation, Heterogeneity

15.

Understanding the Accrual Anomaly

Downloads 722 ( 28,032)
Citation 27

Understanding the Accrual Anomaly

Ross School of Business Paper No. 1100
Number of pages: 49 Posted: 25 Mar 2008 Last Revised: 16 Sep 2009
Jin (Ginger) Wu, Lu Zhang and Frank Zhang
University of Georgia - Department of Banking and Finance, Ohio State University - Fisher College of Business and Yale School of Management
Downloads 672 (30,449)
Citation 27

Abstract:

The accruals anomaly, total accruals, discretionary accruals, net operating assets, investment-based asset pricing, capital investment, time-varying expected returns

Understanding the Accrual Anomaly

NBER Working Paper No. w13525
Number of pages: 49 Posted: 24 Oct 2007
Jin (Ginger) Wu, Lu Zhang and Frank Zhang
University of Georgia - Department of Banking and Finance, Ohio State University - Fisher College of Business and Yale School of Management
Downloads 50 (336,755)
Citation 27

Abstract:

16.

Value Versus Growth: Time-Varying Expected Stock Returns

Downloads 698 ( 29,368)
Citation 13

Value Versus Growth: Time-Varying Expected Stock Returns

Ross School of Business Paper No. 1115
Number of pages: 44 Posted: 23 Sep 2008 Last Revised: 16 Sep 2009
Huseyin Gulen, Yuhang Xing and Lu Zhang
Purdue University - Krannert School of Management, Rice University and Ohio State University - Fisher College of Business
Downloads 657 (31,375)
Citation 13

Abstract:

Value stocks, growth stocks, regime switching, time-varying expected returns, real flexibility

Value Versus Growth: Time-Varying Expected Stock Returns

NBER Working Paper No. w15993
Number of pages: 36 Posted: 17 May 2010 Last Revised: 14 Sep 2010
Huseyin Gulen, Yuhang Xing and Lu Zhang
Purdue University - Krannert School of Management, Rice University and Ohio State University - Fisher College of Business
Downloads 41 (366,446)
Citation 13

Abstract:

17.

Momentum Profits, Factor Pricing, and Macroeconomic Risk

Downloads 665 ( 31,386)
Citation 43

Momentum Profits, Factor Pricing, and Macroeconomic Risk

Ross School of Business Paper No. 1050
Number of pages: 35 Posted: 26 Jul 2005
Laura Xiaolei Liu, Jerold B. Warner and Lu Zhang
Guanghua School of Management, Peking University, University of Rochester – Simon Business School and Ohio State University - Fisher College of Business
Downloads 434 (53,834)
Citation 43

Abstract:

Momentum, the growth rate of industrial production, macroeconomic risk, the expected-growth risk

Momentum Profits, Factor Pricing, and Macroeconomic Risk

Review of Financial Studies, Forthcoming
Number of pages: 40 Posted: 07 Nov 2007
Laura Xiaolei Liu and Lu Zhang
Guanghua School of Management, Peking University and Ohio State University - Fisher College of Business
Downloads 231 (110,296)
Citation 43

Abstract:

Momentum, the growth rate of industrial production, macroeconomic risk, the expected-growth risk

Momentum Profits, Factor Pricing, and Macroeconomic Risk

The Review of Financial Studies, Vol. 21, Issue 6, pp. 2417-2448, 2008
Posted: 15 Dec 2008
Laura Xiaolei Liu and Lu Zhang
Guanghua School of Management, Peking University and Ohio State University - Fisher College of Business

Abstract:

G12, E44

18.

Financially Constrained Stock Returns

Downloads 603 ( 35,771)
Citation 41

Financially Constrained Stock Returns

Simon Business School Working Paper No. FR 04-07, Ross School of Business Paper No. 1048, AFA 2005 Philadelphia Meetings
Number of pages: 48 Posted: 27 Apr 2004
Dmitry Livdan, Horacio Sapriza and Lu Zhang
University of California, Berkeley, Board of Governors of the Federal Reserve System and Ohio State University - Fisher College of Business
Downloads 305 (81,624)
Citation 41

Abstract:

Financial constraints, debt capacity, stochastic discount factor, expected returns

Financially Constrained Stock Returns

Journal of Finance, Forthcoming
Number of pages: 56 Posted: 10 Jul 2008
Dmitry Livdan, Horacio Sapriza and Lu Zhang
University of California, Berkeley, Board of Governors of the Federal Reserve System and Ohio State University - Fisher College of Business
Downloads 276 (91,449)
Citation 41

Abstract:

debt capacity, investment-based asset pricing, collateral constraints, the cross-section of expected stock returns

Financially Constrained Stock Returns

NBER Working Paper No. w12555
Number of pages: 49 Posted: 08 Oct 2006
Dmitry Livdan, Horacio Sapriza and Lu Zhang
University of California, Berkeley, Board of Governors of the Federal Reserve System and Ohio State University - Fisher College of Business
Downloads 22 (453,362)
Citation 41

Abstract:

19.

Endogenous Disasters and Asset Prices

Downloads 545 ( 40,827)
Citation 11

Endogenous Disasters and Asset Prices

Charles A. Dice Center Working Paper No. 2012-1, Fisher College of Business Working Paper No. 2012-03-001
Number of pages: 60 Posted: 04 Jan 2012 Last Revised: 13 May 2014
Nicolas Petrosky-Nadeau, Lu Zhang and Lars-Alexander Kuehn
Federal Reserve Banks - Federal Reserve Bank of San Francisco, Ohio State University - Fisher College of Business and Carnegie Mellon University - David A. Tepper School of Business
Downloads 531 (41,700)
Citation 11

Abstract:

Search frictions, equity premium puzzle, rare disasters, time-varying risk premiums, dynamic stochastic general equilibrium, unemployment, labor market tightness

An Equilibrium Asset Pricing Model with Labor Market Search

NBER Working Paper No. w17742
Number of pages: 47 Posted: 14 Jan 2012
Lars-Alexander Kuehn, Nicolas Petrosky-Nadeau and Lu Zhang
Carnegie Mellon University - David A. Tepper School of Business, Federal Reserve Banks - Federal Reserve Bank of San Francisco and Ohio State University - Fisher College of Business
Downloads 14 (499,978)
Citation 11

Abstract:

20.

The New Issues Puzzle: Testing the Investment-Based Explanation

The Review of Financial Studies, Vol. 21, Issue 6, pp. 2825-2855, 2008
Number of pages: 42 Posted: 15 Dec 2008 Last Revised: 14 Mar 2013
Evgeny Lyandres, Le Sun and Lu Zhang
Boston University, State Street Global Advisors, Investment Solutions Group and Ohio State University - Fisher College of Business
Downloads 528 (42,530)
Citation 73

Abstract:

The new issues puzzle, post-issue underperformance, real investment, time-varying expected returns

21.

Optimal Market Timing

Downloads 397 ( 43,165)
Citation 4

Optimal Market Timing

Simon School Working Paper
Number of pages: 42 Posted: 26 Jan 2006
Dmitry Livdan, Erica X. N. Li and Lu Zhang
University of California, Berkeley, Cheung Kong Graduate School of Business and Ohio State University - Fisher College of Business
Downloads 371 (65,033)
Citation 4

Abstract:

External Finance, Market Timing, Stock Returns, Quantitative Theory, Neoclassical Economics

Optimal Market Timing

NBER Working Paper No. w12014
Number of pages: 43 Posted: 27 Apr 2006
Erica X. N. Li, Dmitry Livdan and Lu Zhang
Cheung Kong Graduate School of Business, University of California, Berkeley and Ohio State University - Fisher College of Business
Downloads 26 (430,846)
Citation 4

Abstract:

22.

The Investment Manifesto

Downloads 517 ( 43,706)
Citation 8

The Investment Manifesto

AFA 2013 San Diego Meetings Paper
Number of pages: 36 Posted: 15 Dec 2012
Xiaoji Lin and Lu Zhang
Ohio State University (OSU) - Fisher College of Business and Ohio State University - Fisher College of Business
Downloads 388 (61,711)
Citation 8

Abstract:

The risk doctrine, investment-based asset pricing, measurement errors in covariances, characteristics, asset pricing anomalies

Covariances, Characteristics, and General Equilibrium: A Critique

Fisher College of Business Working Paper No. 2011-03-015, Charles A. Dice Center Working Paper No. 2011-15
Number of pages: 41 Posted: 22 Jul 2011 Last Revised: 27 Feb 2012
Xiaoji Lin and Lu Zhang
Ohio State University (OSU) - Fisher College of Business and Ohio State University - Fisher College of Business
Downloads 129 (186,840)
Citation 8

Abstract:

covariances, characteristics, general equilibrium, asset pricing anomalies, capital markets research in accounting, market efficiency, investment-based asset pricing

23.

Unemployment Crises

Downloads 503 ( 45,202)
Citation 1

Unemployment Crises

Fisher College of Business Working Paper No. 2014-03-11, Charles A. Dice Center Working Paper No. 2014-11
Number of pages: 49 Posted: 31 Mar 2013 Last Revised: 16 Jul 2014
Nicolas Petrosky-Nadeau and Lu Zhang
Federal Reserve Banks - Federal Reserve Bank of San Francisco and Ohio State University - Fisher College of Business
Downloads 497 (45,325)
Citation 1

Abstract:

Search and matching frictions, unemployment crises, the unemployment volatility puzzle, projection, nonlinear impulse response functions, the Great Depression

Unemployment Crises

NBER Working Paper No. w19207
Number of pages: 46 Posted: 12 Jul 2013
Nicolas Petrosky-Nadeau and Lu Zhang
Federal Reserve Banks - Federal Reserve Bank of San Francisco and Ohio State University - Fisher College of Business
Downloads 6 (544,340)
Citation 1

Abstract:

24.

Is the Value Spread a Useful Predictor of Returns?

Downloads 490 ( 46,746)
Citation 10

Is the Value Spread a Useful Predictor of Returns?

Simon Business School Working Paper No. FR 04-11, Ross School of Business Paper No. 1051
Number of pages: 30 Posted: 19 Apr 2004
Naiping Liu and Lu Zhang
University of Pennsylvania - Statistics Department and Ohio State University - Fisher College of Business
Downloads 390 (61,366)
Citation 10

Abstract:

The Value Spread, Predictability, Business Cycles

Is the Value Spread a Useful Predictor of Returns?

Forthcoming, Journal of Financial Markets
Number of pages: 29 Posted: 09 Apr 2007
Naiping Liu and Lu Zhang
University of Pennsylvania - Statistics Department and Ohio State University - Fisher College of Business
Downloads 100 (226,050)
Citation 10

Abstract:

The Value Spread, Time Series Predictability, Business Cycles

25.

Asset Pricing Implications of Firms' Financing Constraints

Downloads 481 ( 47,844)
Citation 47

Asset Pricing Implications of Firms' Financing Constraints

Simon Business School Working Paper No. 03-21; AFA 2003 Washington, DC Meetings; Twelfth Annual Utah Winter Finance Conference
Number of pages: 58 Posted: 17 Oct 2002
Joao F. Gomes, Amir Yaron and Lu Zhang
The Wharton School, University of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 313 (79,322)
Citation 47

Abstract:

Asset Pricing Implications of Firms' Financing Constraints

Review of Financial Studies, August 2005
Number of pages: 43 Posted: 06 Dec 2005
Joao F. Gomes, Amir Yaron and Lu Zhang
The Wharton School, University of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 118 (200,297)
Citation 47

Abstract:

Financing constraints, production-based asset pricing, structural estimation, cyclicality, the cross-section of returns

Asset Pricing Implications of Firms' Financing Constraints

NBER Working Paper No. w9365
Number of pages: 58 Posted: 06 Dec 2002 Last Revised: 30 Oct 2010
Joao F. Gomes, Amir Yaron and Lu Zhang
The Wharton School, University of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 25 (436,326)
Citation 47

Abstract:

Asset Pricing Implications of Firms' Financing Constraints

CEPR Discussion Paper No. 3495
Number of pages: 46 Posted: 20 Sep 2002
Joao F. Gomes, Amir Yaron and Lu Zhang
The Wharton School, University of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 25 (436,326)
Citation 47
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Abstract:

Production based asset pricing, financing constraints, financing premium

26.

A Model of Momentum

Downloads 469 ( 49,373)
Citation 5

A Model of Momentum

Charles A. Dice Center Working Paper No. 2010-17, Fisher College of Business Working Paper No. 2010-03-17
Number of pages: 40 Posted: 27 Sep 2010 Last Revised: 17 Jun 2011
Laura Xiaolei Liu and Lu Zhang
Guanghua School of Management, Peking University and Ohio State University - Fisher College of Business
Downloads 317 (78,172)
Citation 5

Abstract:

Momentum Profits, Investment-Based Asset Pricing, GMM, Expected Growth

A Model of Momentum

Number of pages: 55 Posted: 07 Mar 2011 Last Revised: 27 Feb 2012
Laura Xiaolei Liu and Lu Zhang
Guanghua School of Management, Peking University and Ohio State University - Fisher College of Business
Downloads 128 (187,993)
Citation 5

Abstract:

Price Momentum, Earnings Momentum, GMM, Expected Growth, Investment

A Model of Momentum

NBER Working Paper No. w16747
Number of pages: 41 Posted: 31 Jan 2011
Laura Xiaolei Liu and Lu Zhang
Guanghua School of Management, Peking University and Ohio State University - Fisher College of Business
Downloads 24 (441,880)
Citation 5

Abstract:

27.

The Economics of Value Investing

Downloads 464 ( 50,052)

The Economics of Value Investing

Fisher College of Business Working Paper No. 2017-03-016, Charles A. Dice Center Working Paper No. 2017-16
Number of pages: 66 Posted: 05 Jul 2017 Last Revised: 27 Jul 2017
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, E. J. Ourso College of Business, Louisiana State University, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 450 (51,453)

Abstract:

value investing, security analysis, the investment CAPM, efficient markets

The Economics of Value Investing

NBER Working Paper No. w23563
Number of pages: 66 Posted: 10 Jul 2017
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, E. J. Ourso College of Business, Louisiana State University, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 14 (499,978)
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Abstract:

28.

Equity Market Volatility and Expected Risk Premium

Federal Reserve Bank St. Louis Working Paper No. 2006-007
Number of pages: 40 Posted: 31 Jan 2006
Long Chen, Hui Guo and Lu Zhang
Cheung Kong Graduate School of Business, University of Cincinnati - Department of Finance - Real Estate and Ohio State University - Fisher College of Business
Downloads 453 (49,497)
Citation 1

Abstract:

Expected return, equity market volatility, systematic risk, yield spreads

29.

The Investment CAPM

Downloads 425 ( 55,774)

The Investment CAPM

Fisher College of Business Working Paper No. 2015-03-19 , Charles A. Dice Center Working Paper No. 2015-19
Number of pages: 129 Posted: 06 Dec 2015 Last Revised: 07 Dec 2015
Lu Zhang
Ohio State University - Fisher College of Business
Downloads 396 (60,243)

Abstract:

The investment CAPM, Factors War, anomalies, efficient markets, behavioral finance, the consumption CAPM, the joint-hypothesis problem

The Investment CAPM

NBER Working Paper No. w23226
Number of pages: 72 Posted: 19 Mar 2017
Lu Zhang
Ohio State University - Fisher College of Business
Downloads 29 (415,708)
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Abstract:

30.

The Q-Theory Approach to Understanding the Accrual Anomaly

Journal of Accounting Research, Forthcoming
Number of pages: 52 Posted: 31 Aug 2009
Jin (Ginger) Wu, Lu Zhang and Frank Zhang
University of Georgia - Department of Banking and Finance, Ohio State University - Fisher College of Business and Yale School of Management
Downloads 359 (61,958)
Citation 27

Abstract:

The accruals anomaly, total accruals, discretionary accruals, net operating assets, investment-based asset pricing, capital investment, time-varying expected returns

31.

Economic Fundamentals, Risk, and Momentum Profits

Simon School Working Paper No. FR 04-03
Number of pages: 32 Posted: 13 Jan 2004
Laura Xiaolei Liu, Jerold B. Warner and Lu Zhang
Guanghua School of Management, Peking University, University of Rochester – Simon Business School and Ohio State University - Fisher College of Business
Downloads 353 (66,282)
Citation 10

Abstract:

Expected Growth, Momentum, Risk, Event Study

32.

The Stock Market and Aggregate Employment

Downloads 323 ( 77,094)
Citation 2

The Stock Market and Aggregate Employment

Number of pages: 40 Posted: 16 Jul 2009 Last Revised: 16 Sep 2009
Long Chen and Lu Zhang
Cheung Kong Graduate School of Business and Ohio State University - Fisher College of Business
Downloads 314 (79,028)
Citation 2

Abstract:

Time-varying risk premiums, payroll growth, unemployment rate, search and matching, time-to-build

The Stock Market and Aggregate Employment

NBER Working Paper No. w15219
Number of pages: 41 Posted: 18 Aug 2009 Last Revised: 05 Aug 2010
Long Chen and Lu Zhang
Cheung Kong Graduate School of Business and Ohio State University - Fisher College of Business
Downloads 9 (528,364)
Citation 2

Abstract:

33.

Regularities

Downloads 319 ( 78,193)
Citation 2

Regularities

AFA 2007 Chicago Meetings Paper, Ross School of Business Paper No. 1071
Number of pages: 59 Posted: 21 Mar 2006
Laura Xiaolei Liu, Toni M. Whited and Lu Zhang
Guanghua School of Management, Peking University, University of Michigan, Stephen M. Ross School of Business and Ohio State University - Fisher College of Business
Downloads 286 (87,947)
Citation 2

Abstract:

Anomalies, Tobin's Q, time-varying expected returns, rational expectations

Regularities

NBER Working Paper No. w13024
Number of pages: 59 Posted: 14 Apr 2007 Last Revised: 04 Aug 2010
Laura Xiaolei Liu, Toni M. Whited and Lu Zhang
Guanghua School of Management, Peking University, University of Michigan, Stephen M. Ross School of Business and Ohio State University - Fisher College of Business
Downloads 33 (397,700)
Citation 2

Abstract:

34.

The CAPM Strikes Back? An Investment Model with Disasters

Downloads 316 ( 78,941)

The CAPM Strikes Back? An Investment Model with Disasters

Fisher College of Business Working Paper No. 2015-03-03, Charles A. Dice Center Working Paper No. 2015-03
Number of pages: 41 Posted: 23 Feb 2015 Last Revised: 08 Oct 2015
Hang Bai, Kewei Hou, Howard Kung and Lu Zhang
Ohio State University (OSU) - Fisher College of Business, Ohio State University (OSU) - Department of Finance, London Business School and Ohio State University - Fisher College of Business
Downloads 297 (84,219)

Abstract:

The CAPM, Investment-based Asset Pricing, Rare Disasters, Measurement Errors

The CAPM Strikes Back? An Investment Model with Disasters

NBER Working Paper No. w21016
Number of pages: 41 Posted: 16 Mar 2015
Hang Bai, Kewei Hou, Howard Kung and Lu Zhang
Ohio State University (OSU) - Fisher College of Business, Ohio State University (OSU) - Department of Finance, London Business School and Ohio State University - Fisher College of Business
Downloads 19 (470,814)
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Abstract:

35.

Cross-Sectional Tobin's Q

Downloads 278 ( 91,230)
Citation 1

Cross-Sectional Tobin's Q

AFA 2013 San Diego Meetings Paper
Number of pages: 43 Posted: 26 Feb 2012 Last Revised: 27 Feb 2012
Frederico Belo, Chen Xue and Lu Zhang
University of Minnesota, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 141 (173,879)
Citation 1

Abstract:

Tobin's Q, investment, valuation, structural estimation

Cross-Sectional Tobin's Q

Number of pages: 43 Posted: 16 Mar 2010 Last Revised: 27 Feb 2012
Frederico Belo, Chen Xue and Lu Zhang
University of Minnesota, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 117 (201,548)
Citation 1

Abstract:

Tobin's Q, the value spread, investment, valuation, structural estimation

Cross-Sectional Tobin's Q

NBER Working Paper No. w16336
Number of pages: 44 Posted: 07 Sep 2010
Frederico Belo, Chen Xue and Lu Zhang
University of Minnesota, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 20 (464,912)
Citation 1

Abstract:

36.

Asset Prices and Business Cycles with Costly External Finance

Downloads 257 ( 99,180)
Citation 21

Asset Prices and Business Cycles with Costly External Finance

Simon School of Business Working Paper No. FR 02-18
Number of pages: 34 Posted: 28 Dec 2002
Joao F. Gomes, Amir Yaron and Lu Zhang
The Wharton School, University of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 204 (124,774)
Citation 21

Abstract:

Costly External Finance, Business Cycles, Default Premium

Asset Prices and Business Cycles with Costly External Finance

NBER Working Paper No. w9364
Number of pages: 34 Posted: 06 Dec 2002 Last Revised: 30 Oct 2010
Joao F. Gomes, Amir Yaron and Lu Zhang
The Wharton School, University of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 32 (401,949)
Citation 21

Abstract:

Asset Prices and Business Cycles with Costly External Finance

CEPR Discussion Paper No. 3927
Number of pages: 36 Posted: 06 Aug 2003
Joao F. Gomes, Amir Yaron and Lu Zhang
The Wharton School, University of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 21 (459,100)
Citation 21
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Abstract:

Financial accelerator, business cycles, asset prices

37.

Solving the DMP Model Accurately

Downloads 226 (113,219)

Solving the DMP Model Accurately

Number of pages: 43 Posted: 27 Jun 2013 Last Revised: 08 Jan 2014
Nicolas Petrosky-Nadeau and Lu Zhang
Federal Reserve Banks - Federal Reserve Bank of San Francisco and Ohio State University - Fisher College of Business
Downloads 213 (119,664)

Abstract:

Search and matching frictions, the unemployment volatility puzzle, global approximation methods, projection, loglinearization, nonlinear impulse response functions

Solving the Dmp Model Accurately

NBER Working Paper No. w19208
Number of pages: 36 Posted: 12 Jul 2013
Nicolas Petrosky-Nadeau and Lu Zhang
Federal Reserve Banks - Federal Reserve Bank of San Francisco and Ohio State University - Fisher College of Business
Downloads 7 (539,224)

Abstract:

Solving the DMP Model Accurately

Forthcoming, Quantitative Economics
Number of pages: 48 Posted: 05 May 2017
Nicolas Petrosky-Nadeau and Lu Zhang
Federal Reserve Banks - Federal Reserve Bank of San Francisco and Ohio State University - Fisher College of Business
Downloads 6 (544,340)

Abstract:

Search Frictions, Unemployment, Projection, Perturbation, Nonlinear Dynamics, Parameterized Expectations, Finite Elements

38.

Costly External Finance: Implications for Capital Markets Anomalies

Downloads 224 (114,232)
Citation 4

Costly External Finance: Implications for Capital Markets Anomalies

Ross School of Business Paper No. 1111
Number of pages: 46 Posted: 01 Jul 2008 Last Revised: 16 Sep 2009
Dongmei Li and Lu Zhang
University of South Carolina - Darla Moore School of Business - Department of Finance and Ohio State University - Fisher College of Business
Downloads 202 (125,981)
Citation 4

Abstract:

Financial Frictions, Anomalies, Investment-based Asset Pricing

Costly External Finance: Implications for Capital Markets Anomalies

NBER Working Paper No. w14342
Number of pages: 47 Posted: 23 Sep 2008 Last Revised: 10 Sep 2010
Dongmei Li, Erica X. N. Li and Lu Zhang
University of South Carolina - Darla Moore School of Business - Department of Finance, University of Michigan, Stephen M. Ross School of Business and Ohio State University - Fisher College of Business
Downloads 22 (453,362)
Citation 4

Abstract:

39.

The Q-theoretical Link Between Stock and Investment Returns

Number of pages: 28 Posted: 18 Mar 2005
Lu Zhang
Ohio State University - Fisher College of Business
Downloads 200 (121,165)

Abstract:

Investment-based asset pricing, capacity utilization, investment return, capital heterogeneity, time-to-build

40.

Does Q-Theory with Investment Frictions Explain Anomalies in the Cross-Section of Returns?

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 43 Posted: 20 Feb 2010
Dongmei Li and Lu Zhang
University of South Carolina - Darla Moore School of Business - Department of Finance and Ohio State University - Fisher College of Business
Downloads 188 (115,189)
Citation 13

Abstract:

q-theory, investment frictions, asset pricing anomalies, limits to arbitrage

41.

Equilibrium Stock Return Dynamics Under Alternative Rules of Learning About Hidden States

Simon Business School Working Paper No. FR 03-24
Number of pages: 38 Posted: 22 Aug 2003
Michael W. Brandt, Qi Zeng and Lu Zhang
Duke University - Fuqua School of Business, University of Melbourne - Department of Finance and Ohio State University - Fisher College of Business
Downloads 159 (146,417)
Citation 15

Abstract:

42.

A Supply Approach to Valuation

Review of Financial Studies, Forthcoming
Number of pages: 69 Posted: 08 Sep 2013
Frederico Belo, Chen Xue and Lu Zhang
University of Minnesota, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 100 (173,449)
Citation 2

Abstract:

Valuation, Tobin's q, investment, structural estimation

43.

Do Time-Varying Risk Premiums Explain Labor Market Performance?

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 33 Posted: 25 Mar 2010
Long Chen and Lu Zhang
Cheung Kong Graduate School of Business and Ohio State University - Fisher College of Business
Downloads 75 (240,895)
Citation 1

Abstract:

Time-varying risk premiums, payroll growth, hiring rate, search and matching, time-to-build, time-to-plan

44.

A Neoclassical Interpretation of Momentum

Journal of Monetary Economics, Vol. 67, 2014
Number of pages: 29 Posted: 16 Oct 2014 Last Revised: 13 Nov 2014
Laura Xiaolei Liu and Lu Zhang
Guanghua School of Management, Peking University and Ohio State University - Fisher College of Business
Downloads 58 (247,981)

Abstract:

q-theory, price momentum, earnings momentum, GMM, expected investment growth

45.

The Investment Manifesto

Journal of Monetary Economics, Forthcoming
Number of pages: 36 Posted: 25 Dec 2012
Xiaoji Lin and Lu Zhang
Ohio State University (OSU) - Fisher College of Business and Ohio State University - Fisher College of Business
Downloads 53 (286,903)
Citation 8

Abstract:

the risk doctrine, investment-based asset pricing, measurement errors in covariances, characteristics, asset pricing anomalies

46.

Does Risk Explain Anomalies? Evidence from Expected Return Estimates

NBER Working Paper No. w15950
Number of pages: 47 Posted: 03 May 2010 Last Revised: 06 Aug 2010
Jin (Ginger) Wu and Lu Zhang
University of Georgia - Department of Banking and Finance and Ohio State University - Fisher College of Business
Downloads 43 (328,357)
Citation 6

Abstract:

47.

Investment-Based Underperformance Following Seasoned Equity Offerings

NBER Working Paper No. w11459
Number of pages: 54 Posted: 25 May 2006
Evgeny Lyandres, Le Sun and Lu Zhang
Boston University, State Street Global Advisors, Investment Solutions Group and Ohio State University - Fisher College of Business
Downloads 43 (352,852)
Citation 9

Abstract:

48.

Momentum Profits and Macroeconomic Risk

NBER Working Paper No. w11480
Number of pages: 28 Posted: 18 Aug 2005
Laura Xiaolei Liu, Jerold B. Warner and Lu Zhang
Guanghua School of Management, Peking University, University of Rochester – Simon Business School and Ohio State University - Fisher College of Business
Downloads 43 (328,357)
Citation 39

Abstract:

49.

The Value Spread as a Predictor of Returns

NBER Working Paper No. w11326
Number of pages: 42 Posted: 13 Jun 2005
Naiping Liu and Lu Zhang
University of Pennsylvania - Statistics Department and Ohio State University - Fisher College of Business
Downloads 43 (325,426)
Citation 11

Abstract:

50.

Covariances Versus Characteristics in General Equilibrium

NBER Working Paper No. w17285
Number of pages: 46 Posted: 12 Aug 2011
Xiaoji Lin and Lu Zhang
Ohio State University (OSU) - Fisher College of Business and Ohio State University - Fisher College of Business
Downloads 14 (460,029)
Citation 3

Abstract:

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