SSRN logo
Public User
Advanced Search

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

    • Email
    • Tel: 585-267-6250
View CV
SCHOLARLY PAPERS

49

DOWNLOADS
Rank 347

SSRN RANKINGS

Top 347

in Total Papers Downloads

39,614

CITATIONS
Rank 300

SSRN RANKINGS

Top 300

in Total Papers Citations

1,309

Scholarly Papers (49)

Actions:
Email selected abstracts
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 9,646 (325)
Citation 75

Abstract:

Anomalies, Alphas, Factor Regressions, Asset Pricing Tests

2.

Digesting Anomalies: An Investment Approach

Downloads 2,781 ( 3,109)
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 1,514 (8,630)
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 1,251 (11,758)
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 16 (479,361)
Citation 14

Abstract:

3.

Replicating Anomalies

Downloads 2,538 ( 3,651)

Replicating Anomalies

Charles A. Dice Center Working Paper No. 2017-10, Fisher College of Business Working Paper No. 2017-03-010
Number of pages: 146 Posted: 03 May 2017 Last Revised: 14 Jun 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 2,416 (3,876)

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 122 (191,190)

Abstract:

4.

Is Value Riskier Than Growth?

Downloads 2,172 ( 4,744)
Citation 114

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 1,634 (7,663)
Citation 114

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 538 (40,038)
Citation 114

Abstract:

5.

A Comparison of New Factor Models

Downloads 1,569 ( 8,305)

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 1,555 (8,279)

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 (491,070)

Abstract:

6.

Anomalies

Downloads 1,568 ( 8,305)
Citation 68

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 1,246 (11,809)
Citation 68

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 (91,242)
Citation 68

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 (326,915)
Citation 68

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 1,378 ( 10,261)
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 1,120 (13,979)
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 210 (118,693)
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 (336,256)
Citation 30

Abstract:

8.

The Value Premium

Downloads 1,277 ( 11,640)
Citation 253

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 1,277 (11,393)
Citation 253

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 (13,671)
Citation 5

Abstract:

Value, growth, economic fundamentals, business cycles, VAR

10.

The Expected Value Premium

Downloads 993 ( 17,130)
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 624 (32,865)
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 336 (71,520)
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 (389,840)
Citation 25

Abstract:

11.

Neoclassical Factors

Downloads 875 ( 20,721)
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 819 (22,469)
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 (312,265)
Citation 8

Abstract:

12.

Investment-Based Expected Stock Returns

Downloads 825 ( 22,572)
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 825 (22,206)
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 818 ( 22,890)
Citation 5

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 568 (37,261)
Citation 5

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 (99,387)
Citation 5

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 731 ( 26,807)
Citation 178

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 689 (28,704)
Citation 178

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 (355,812)
Citation 178

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 719 ( 27,503)
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 669 (29,943)
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 (329,991)
Citation 27

Abstract:

16.

Value Versus Growth: Time-Varying Expected Stock Returns

Downloads 694 ( 28,891)
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 654 (30,822)
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
Huseyin Gulen, Yuhang Xing and Lu Zhang
Purdue University - Krannert School of Management, Rice University and Ohio State University - Fisher College of Business
Downloads 40 (362,867)
Citation 13

Abstract:

17.

Momentum Profits, Factor Pricing, and Macroeconomic Risk

Downloads 660 ( 30,954)
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 431 (53,054)
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 229 (108,861)
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 600 ( 35,158)
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 303 (80,408)
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 275 (89,735)
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 (444,782)
Citation 41

Abstract:

19.

Endogenous Disasters and Asset Prices

Downloads 542 ( 40,235)
Citation 12

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 528 (41,051)
Citation 12

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 (491,070)
Citation 12

Abstract:

20.

Optimal Market Timing

Downloads 395 ( 42,358)
Citation 5

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 369 (63,994)
Citation 5

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 (422,643)
Citation 5

Abstract:

21.

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 Corporate - State Street Global Advisors and Ohio State University - Fisher College of Business
Downloads 514 (43,008)
Citation 70

Abstract:

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

22.

The Investment Manifesto

Downloads 504 ( 44,113)
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 378 (62,222)
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 126 (186,431)
Citation 8

Abstract:

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

23.

Is the Value Spread a Useful Predictor of Returns?

Downloads 487 ( 46,059)
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 388 (60,308)
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 99 (223,006)
Citation 10

Abstract:

The Value Spread, Time Series Predictability, Business Cycles

24.

Unemployment Crises

Downloads 486 ( 46,170)
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 480 (46,342)
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 (534,928)
Citation 1

Abstract:

25.

Asset Pricing Implications of Firms' Financing Constraints

Downloads 479 ( 47,039)
Citation 48

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 312 (77,823)
Citation 48

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 (196,184)
Citation 48

Abstract:

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

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 (427,921)
Citation 48

Abstract:

Production based asset pricing, financing constraints, financing premium

Asset Pricing Implications of Firms' Financing Constraints

NBER Working Paper No. w9365
Number of pages: 58 Posted: 06 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 24 (433,396)
Citation 48

Abstract:

26.

A Model of Momentum

Downloads 468 ( 48,417)
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 (76,457)
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 127 (185,257)
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 (433,396)
Citation 5

Abstract:

27.

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 (48,804)
Citation 1

Abstract:

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

28.

The Investment CAPM

Downloads 418 ( 55,634)

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 390 (59,927)

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 28 (412,473)

Abstract:

29.

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 (62,252)
Citation 27

Abstract:

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

30.

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 (65,435)
Citation 10

Abstract:

Expected Growth, Momentum, Risk, Event Study

31.

The Stock Market and Aggregate Employment

Downloads 320 ( 76,172)
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 311 (78,093)
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
Long Chen and Lu Zhang
Cheung Kong Graduate School of Business and Ohio State University - Fisher College of Business
Downloads 9 (519,271)
Citation 2

Abstract:

32.

Regularities

Downloads 319 ( 76,445)
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 (85,918)
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
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 (389,840)
Citation 2

Abstract:

33.

The CAPM Strikes Back? An Investment Model with Disasters

Downloads 307 ( 79,768)

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 289 (84,896)

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 18 (467,874)

Abstract:

34.

Cross-Sectional Tobin's Q

Downloads 277 ( 89,504)
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 140 (171,298)
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 (197,430)
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 (456,300)
Citation 1

Abstract:

35.

Asset Prices and Business Cycles with Costly External Finance

Downloads 256 ( 97,445)
Citation 20

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 203 (122,675)
Citation 20

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
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 (394,061)
Citation 20

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 (450,517)
Citation 20

Abstract:

Financial accelerator, business cycles, asset prices

36.

Solving the DMP Model Accurately

Downloads 224 (111,753)

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 (117,060)

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 (529,897)

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 4 (544,879)

Abstract:

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

37.

Costly External Finance: Implications for Capital Markets Anomalies

Downloads 223 (112,207)
Citation 2

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 201 (123,846)
Citation 2

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
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 (444,782)
Citation 2

Abstract:

38.

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 (118,509)

Abstract:

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

39.

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 (113,730)
Citation 14

Abstract:

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

40.

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 (144,069)
Citation 15

Abstract:

41.

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 (178,019)
Citation 2

Abstract:

Valuation, Tobin's q, investment, structural estimation

42.

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 (236,084)
Citation 2

Abstract:

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

43.

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 (250,232)

Abstract:

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

44.

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 (283,440)
Citation 8

Abstract:

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

45.

Does Risk Explain Anomalies? Evidence from Expected Return Estimates

NBER Working Paper No. w15950
Number of pages: 47 Posted: 03 May 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 (321,799)
Citation 5

Abstract:

46.

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 Corporate - State Street Global Advisors and Ohio State University - Fisher College of Business
Downloads 43 (345,947)
Citation 9

Abstract:

47.

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 (321,799)
Citation 40

Abstract:

48.

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 (318,905)
Citation 11

Abstract:

49.

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 (451,613)
Citation 3

Abstract:

Submit a Paper Section 508 Text Only Pages

Quick Links

Research Paper Series Conference Papers Partners in Publishing Organization Homepages Newsletter Sign Up

Rankings

Top Papers Top Authors Top Organizations

About

SSRN Objectives Network Directors Presidential Letter Announcements Contact us FAQs
Elsevier logo
Copyright Terms and Conditions Privacy Policy

Cookies are used by this site. To decline or learn more, visit our Cookies page. This page was processed by apollobot1 in 3.063 seconds

Relx Group logo