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
SCHOLARLY PAPERS

62

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72,879

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3,836

CROSSREF CITATIONS

2,789

Scholarly Papers (62)

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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, Long Chen, Robert Novy-Marx and Lu Zhang
Cheung Kong Graduate School of BusinessLuohan Academy, Simon Business School, University of Rochester and Ohio State University - Fisher College of Business
Downloads 13,235 (561)
Citation 148

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Anomalies, Alphas, Factor Regressions, Asset Pricing Tests

2.

Replicating Anomalies

Downloads 12,888 ( 583)
Citation 188

Replicating Anomalies

Fisher College of Business Working Paper No. 2017-03-010, 28th Annual Conference on Financial Economics and Accounting, 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 10,933 (786)
Citation 33

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

Replicating Anomalies

Review of Financial Studies, forthcoming, Fisher College of Business Working Paper No. 2017-03-010, Charles A. Dice Center Working Paper No. 2017-10
Number of pages: 134 Posted: 31 Oct 2018
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 1,642 (18,144)
Citation 65

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Replication, factor investing, anomalies, microcaps, multiple testing

Replicating Anomalies

NBER Working Paper No. w23394
Number of pages: 130 Posted: 08 May 2017 Last Revised: 04 Jun 2023
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 313 (160,546)

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3.

Digesting Anomalies: An Investment Approach

Downloads 4,589 ( 3,530)
Citation 619

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 2,864 (7,559)
Citation 91

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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 1,665 (17,774)
Citation 8

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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 Last Revised: 17 May 2023
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 60 (594,052)
Citation 362

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4.

A Comparison of New Factor Models

Downloads 4,416 ( 3,753)
Citation 58

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 4,314 (3,832)
Citation 65

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

Which Factors?

NBER Working Paper No. w20682
Number of pages: 52 Posted: 17 Nov 2014 Last Revised: 07 Jul 2023
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 102 (432,457)
Citation 13

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5.

Is Value Riskier than Growth?

Downloads 2,883 ( 7,619)
Citation 117

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 2,038 (12,922)
Citation 123

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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 845 (47,668)
Citation 2

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6.

The Value Premium

Downloads 1,939 (14,254)

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 1,939 (13,994)
Citation 90

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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

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

7.

Anomalies

Downloads 1,808 (15,894)
Citation 12

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 1,349 (24,433)
Citation 2

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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 325 (154,231)
Citation 4

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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 Last Revised: 10 Dec 2022
Lu Zhang
Ohio State University - Fisher College of Business
Downloads 134 (352,999)

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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

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8.

Expected Returns, Yield Spreads, and Asset Pricing Tests

Downloads 1,530 (20,544)
Citation 55

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, Long Chen and Lu Zhang
Cornell University - Samuel Curtis Johnson Graduate School of Management, Cheung Kong Graduate School of BusinessLuohan Academy and Ohio State University - Fisher College of Business
Downloads 1,190 (29,412)
Citation 6

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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, Long Chen and Lu Zhang
Cornell University - Samuel Curtis Johnson Graduate School of Management, Cheung Kong Graduate School of BusinessLuohan Academy and Ohio State University - Fisher College of Business
Downloads 251 (201,710)

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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 Last Revised: 11 Dec 2022
Murillo Campello, Long Chen, Long Chen and Lu Zhang
Cornell University - Samuel Curtis Johnson Graduate School of Management, Cheung Kong Graduate School of BusinessLuohan Academy and Ohio State University - Fisher College of Business
Downloads 89 (473,643)
Citation 7

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9.

q5

Downloads 1,346 (24,942)
Citation 2

q5

Charles A. Dice Center Working Paper No. 2018-10, Fisher College of Business Working Paper No. 2018-03-010
Number of pages: 99 Posted: 05 Jun 2018 Last Revised: 31 Oct 2018
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Kansas, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 1,243 (27,572)
Citation 1

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The q5-Model, The q-Factor Model, The Expected Growth, The Investment CAPM, Factor Regressions, Anomalies

Q5

NBER Working Paper No. w24709
Number of pages: 61 Posted: 18 Jun 2018 Last Revised: 08 Jul 2023
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Kansas, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 103 (429,380)

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10.

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 1,258 (27,542)
Citation 5

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Value, growth, economic fundamentals, business cycles, VAR

11.

Investment-Based Expected Stock Returns

Downloads 1,172 (30,580)
Citation 71

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 1,172 (30,105)
Citation 71

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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

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

12.

The Expected Value Premium

Downloads 1,148 (31,521)
Citation 346

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, Long Chen, Ralitsa Petkova and Lu Zhang
Cheung Kong Graduate School of BusinessLuohan Academy, Case Western Reserve University - Department of Banking & Finance and Ohio State University - Fisher College of Business
Downloads 681 (63,647)

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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, Long Chen, Ralitsa Petkova and Lu Zhang
Cheung Kong Graduate School of BusinessLuohan Academy, Case Western Reserve University - Department of Banking & Finance and Ohio State University - Fisher College of Business
Downloads 391 (125,680)

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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 Last Revised: 18 Apr 2022
Long Chen, Long Chen, Ralitsa Petkova and Lu Zhang
Cheung Kong Graduate School of BusinessLuohan Academy, Case Western Reserve University - Department of Banking & Finance and Ohio State University - Fisher College of Business
Downloads 76 (521,895)
Citation 117

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13.

The CAPM Strikes Back? An Equilibrium Model with Disasters

Downloads 1,070 (34,725)
Citation 21

The CAPM Strikes Back? An Equilibrium 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: 58 Posted: 23 Feb 2015 Last Revised: 19 Feb 2018
Hang Bai, Kewei Hou, Howard Kung, Erica X. N. Li and Lu Zhang
University of Connecticut - Department of Finance, Ohio State University (OSU) - Department of Finance, London Business School, Cheung Kong Graduate School of Business and Ohio State University - Fisher College of Business
Downloads 690 (62,558)
Citation 2

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The CAPM, Rare Disasters, Measurement Errors, The Consumption CAPM, General Equilibrium

The CAPM Strikes Back? An Equilibrium Model with Disasters

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 64 Posted: 07 Mar 2018
Hang Bai, Kewei Hou, Howard Kung, Erica X. N. Li and Lu Zhang
University of Connecticut - Department of Finance, Ohio State University (OSU) - Department of Finance, London Business School, Cheung Kong Graduate School of Business and Ohio State University - Fisher College of Business
Downloads 249 (203,324)
Citation 5

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The CAPM, Rare Disasters, Measurement Errors, The Consumption CAPM, General Equilibrium, Approximate Aggregation

The CAPM Strikes Back? An Investment Model with Disasters

NBER Working Paper No. w21016
Number of pages: 41 Posted: 16 Mar 2015 Last Revised: 05 Jun 2022
Hang Bai, Kewei Hou, Howard Kung and Lu Zhang
University of Connecticut - Department of Finance, Ohio State University (OSU) - Department of Finance, London Business School and Ohio State University - Fisher College of Business
Downloads 131 (359,271)

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14.

Neoclassical Factors

Downloads 1,041 (36,125)
Citation 2

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, Long Chen and Long Chen
Ohio State University - Fisher College of Business and Cheung Kong Graduate School of BusinessLuohan Academy
Downloads 952 (40,393)
Citation 3

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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 Last Revised: 17 Oct 2022
Long Chen, Long Chen and Lu Zhang
Cheung Kong Graduate School of BusinessLuohan Academy and Ohio State University - Fisher College of Business
Downloads 89 (473,643)

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15.

The Economics of Value Investing

Downloads 991 (38,749)

The Economics of Value Investing

Charles A. Dice Center Working Paper No. 2017-16, Fisher College of Business Working Paper No. 2017-03-016
Number of pages: 69 Posted: 05 Jul 2017 Last Revised: 04 Dec 2017
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Kansas, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 913 (42,845)

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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 Last Revised: 21 May 2023
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Kansas, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 78 (513,837)

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16.

Which Factors

Fisher College of Business Working Paper No. 2018-03-003, Charles A. Dice Center Working Paper No. 2018-03-03
Number of pages: 52 Posted: 06 Mar 2018 Last Revised: 12 Jul 2018
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Kansas, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 945 (41,440)
Citation 4

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The q-factor model, the Q5 model, factor spanning tests, the investment CAPM, factor investing

17.

Do Anomalies Exist Ex Ante?

Downloads 945 (41,440)
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 632 (70,112)
Citation 2

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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 313 (160,546)
Citation 5

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

18.

The Investment CAPM

Downloads 906 (43,916)
Citation 3

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 589 (76,606)

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

The Investment CAPM

European Financial Management, Vol. 23, No. 4, 2017, p. 545–603, DOI:10.1111/eufm.12129
Number of pages: 71 Posted: 16 Jan 2018 Last Revised: 18 Jan 2018
Lu Zhang
Ohio State University - Fisher College of Business
Downloads 252 (200,932)

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The Investment CAPM, the Consumption Capm, Capm, Asset Pricing Anomalies, Efficient Markets, Behavioural Finance, Aggregation, General Equilibrium, The Joint Hypothesis Problem

The Investment CAPM

NBER Working Paper No. w23226
Number of pages: 72 Posted: 19 Mar 2017 Last Revised: 19 Jun 2022
Lu Zhang
Ohio State University - Fisher College of Business
Downloads 65 (570,043)
Citation 1

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19.

Endogenous Disasters

Downloads 860 (47,179)
Citation 38

Endogenous Disasters

Charles A. Dice Center Working Paper No. 2012-1, Fisher College of Business Working Paper No. 2012-03-001, American Economic Review, Forthcoming
Number of pages: 69 Posted: 04 Jan 2012 Last Revised: 09 Jan 2018
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 653 (67,201)
Citation 39

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Keywords: Search and matching frictions, the Great Depression, general equilibrium, unemployment, home production, capital accumulation, the equity premium

Endogenous Disasters

American Economic Review, Forthcoming
Number of pages: 68 Posted: 15 Jan 2018 Last Revised: 18 Jan 2018
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 168 (292,863)
Citation 1

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Search and Matching Frictions, The Great Depression, General Equilibrium, Unemployment, Home Production, Capital Accumulation, The Equity Premium

An Equilibrium Asset Pricing Model with Labor Market Search

NBER Working Paper No. w17742
Number of pages: 47 Posted: 14 Jan 2012 Last Revised: 25 Jun 2023
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 39 (719,727)

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20.

Momentum Profits, Factor Pricing, and Macroeconomic Risk

Downloads 848 (48,112)
Citation 119

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 510 (91,743)
Citation 4

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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 338 (147,910)
Citation 37

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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

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G12, E44

21.

Value Versus Growth: Time-Varying Expected Stock Returns

Downloads 845 (48,369)
Citation 21

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 763 (54,703)
Citation 16

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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: 15 Mar 2023
Huseyin Gulen, Yuhang Xing and Lu Zhang
Purdue University - Krannert School of Management, Rice University and Ohio State University - Fisher College of Business
Downloads 82 (498,519)
Citation 8

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22.

Equilibrium Cross-Section of Returns

Downloads 829 (49,642)
Citation 266

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 787 (52,495)
Citation 9

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

Equilibrium Cross-Section of Returns

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 (699,019)
Citation 34
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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

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

23.

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, Jerry Sun and Lu Zhang
Tel Aviv University, Invesco Advisers, Inc. and Ohio State University - Fisher College of Business
Downloads 805 (51,670)
Citation 35

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

24.

Understanding the Accrual Anomaly

Downloads 795 (52,522)
Citation 1

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 723 (58,824)
Citation 1

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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 Last Revised: 17 Dec 2022
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 72 (538,584)

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25.

Unemployment Crises

Downloads 760 (55,784)
Citation 10

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 621 (71,619)

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

Unemployment Crises

Journal of Monetary Economics, Forthcoming
Number of pages: 56 Posted: 15 Feb 2020
Nicolas Petrosky-Nadeau and Lu Zhang
Federal Reserve Banks - Federal Reserve Bank of San Francisco and Ohio State University - Fisher College of Business
Downloads 105 (423,429)
Citation 2

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Search model of equilibrium unemployment, the Great Depression, the unemployment volatility, economic history, globally nonlinear solution

Unemployment Crises

NBER Working Paper No. w19207
Number of pages: 46 Posted: 12 Jul 2013 Last Revised: 26 Jun 2022
Nicolas Petrosky-Nadeau and Lu Zhang
Federal Reserve Banks - Federal Reserve Bank of San Francisco and Ohio State University - Fisher College of Business
Downloads 34 (756,580)

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26.

q-Factors and Investment CAPM

Downloads 754 (56,379)
Citation 17

q-Factors and Investment CAPM

Fisher College of Business Working Paper No. 2019-03-030, Charles A. Dice Working Paper No. 2019-30
Number of pages: 37 Posted: 09 Dec 2019
Lu Zhang
Ohio State University - Fisher College of Business
Downloads 707 (60,597)
Citation 1

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the q-factor model, anomalies, EMH, behavioral finance, the investment CAPM, the consumption CAPM, the CAPM, equilibrium theory

Q-Factors and Investment CAPM

NBER Working Paper No. w26538
Number of pages: 37 Posted: 09 Dec 2019 Last Revised: 07 Jul 2023
Lu Zhang
Ohio State University - Fisher College of Business
Downloads 47 (666,956)
Citation 17

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27.

Financially Constrained Stock Returns

Downloads 707 (61,470)
Citation 39

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 338 (147,910)
Citation 1

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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 329 (152,189)
Citation 2

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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 Last Revised: 26 Oct 2022
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 40 (712,767)
Citation 3

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28.

The Investment Manifesto

Downloads 700 (62,285)
Citation 2

The Investment Manifesto

AFA 2013 San Diego Meetings Paper
Number of pages: 36 Posted: 15 Dec 2012
Xiaoji Lin and Lu Zhang
University of Minnesota and Ohio State University - Fisher College of Business
Downloads 529 (87,653)
Citation 2

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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
University of Minnesota and Ohio State University - Fisher College of Business
Downloads 171 (288,506)

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

29.

An Augmented q-Factor Model with Expected Growth

Review of Finance, Forthcoming
Number of pages: 54 Posted: 19 Mar 2020
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Kansas, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 696 (62,742)
Citation 136

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The expected growth factor, factor models, the q5 model, the investment theory

30.

Security Analysis: An Investment Perspective

Downloads 600 (75,734)

Security Analysis: An Investment Perspective

Fisher College of Business Working Paper No. 2019-03-016, Charles A. Dice Center Working Paper No. 2019-16
Number of pages: 71 Posted: 08 Jul 2019
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Kansas, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 538 (85,751)

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Security analysis, q^5, the investment theory, quality minus junk, fundamental score, “magic formula,” agnostic fundamental analysis

Security Analysis: An Investment Perspective

NBER Working Paper No. w26060
Number of pages: 71 Posted: 14 Sep 2020 Last Revised: 17 Mar 2023
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Kansas, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 62 (584,306)

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31.

A Model of Momentum

Downloads 591 (77,204)

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 377 (131,092)

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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 165 (297,449)

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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 Last Revised: 06 Apr 2023
Laura Xiaolei Liu and Lu Zhang
Guanghua School of Management, Peking University and Ohio State University - Fisher College of Business
Downloads 49 (654,826)

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32.

Optimal Market Timing

Downloads 442 (77,374)

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 403 (121,314)

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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 Last Revised: 01 May 2022
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 39 (719,727)

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33.

Is the Value Spread a Useful Predictor of Returns?

Downloads 568 (81,109)
Citation 1

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 446 (107,736)
Citation 1

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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 122 (379,263)

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The Value Spread, Time Series Predictability, Business Cycles

34.

Asset Pricing Implications of Firms' Financing Constraints

Downloads 567 (81,307)
Citation 49

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, Amir Yaron and Lu Zhang
The Wharton School, Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 344 (145,126)

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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, Amir Yaron and Lu Zhang
The Wharton School, Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 149 (324,319)

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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: 05 Aug 2022
Joao F. Gomes, Amir Yaron, Amir Yaron and Lu Zhang
The Wharton School, Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 49 (654,826)
Citation 8

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Asset Pricing Implications of Firms' Financing Constraints

Number of pages: 46 Posted: 20 Sep 2002
Joao F. Gomes, Amir Yaron, Amir Yaron and Lu Zhang
The Wharton School, Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 25 (831,084)
Citation 8
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Production based asset pricing, financing constraints, financing premium

35.

Aggregation, Capital Heterogeneity, and the Investment CAPM

Downloads 560 (82,577)
Citation 15

Aggregation, Capital Heterogeneity, and the Investment CAPM

Charles A Dice Center Working Paper No. 2017-19, Fisher College of Business Working Paper No. 2017-03-19
Number of pages: 98 Posted: 03 Oct 2017 Last Revised: 12 Jun 2019
Andrei S. Gonçalves, Chen Xue and Lu Zhang
Ohio State University (OSU) - Fisher College of Business, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 421 (115,258)
Citation 13

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The Investment Model of Asset Pricing, GMM, Structural Estimation, Anomalies, Joint Estimation

Aggregation, Capital Heterogeneity, and the Investment CAPM

Review of Financial Studies, Forthcoming
Number of pages: 97 Posted: 20 Jun 2019
Andrei S. Gonçalves, Chen Xue and Lu Zhang
Ohio State University (OSU) - Fisher College of Business, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 108 (414,969)
Citation 1

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The Investment CAPM, GMM, Aggregation, Working Capital, Value, Momentum, Investment, Profitability, Joint Estimation

Does the Investment Model Explain Value and Momentum Simultaneously?

NBER Working Paper No. w23910
Number of pages: 62 Posted: 09 Oct 2017 Last Revised: 01 May 2023
Andrei S. Gonçalves, Chen Xue and Lu Zhang
Ohio State University (OSU) - Fisher College of Business, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 31 (780,419)

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36.

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, Long Chen, Hui Guo and Lu Zhang
Cheung Kong Graduate School of BusinessLuohan Academy, University of Cincinnati - Department of Finance - Real Estate and Ohio State University - Fisher College of Business
Downloads 514 (91,823)
Citation 1

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

37.

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 455 (106,355)
Citation 8

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

38.

Which Factors?

Review of Finance, Forthcoming, Fisher College of Business Working Paper No. 2018-03-003, Charles A. Dice Center Working Paper No. 2018-03-03
Number of pages: 38 Posted: 22 Oct 2018
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Kansas, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 419 (117,095)
Citation 7

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The q-factor model, the q^5 model, spanning regressions, the investment CAPM

39.

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 403 (122,455)
Citation 5

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Expected Growth, Momentum, Risk, Event Study

40.

Cross-Sectional Tobin's Q

Downloads 393 (126,041)
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
INSEAD, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 190 (262,665)
Citation 1

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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
INSEAD, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 156 (311,907)

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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 Last Revised: 20 Feb 2022
Frederico Belo, Chen Xue and Lu Zhang
INSEAD, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 47 (666,956)

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41.

Regularities

Downloads 385 (129,016)
Citation 1

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 317 (158,389)
Citation 1

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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 2022
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 68 (556,147)

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42.

Solving the DMP Model Accurately

Downloads 373 (133,716)
Citation 6

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 283 (178,615)

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

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 54 (625,960)
Citation 2

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

Solving the Dmp Model Accurately

NBER Working Paper No. w19208
Number of pages: 36 Posted: 12 Jul 2013 Last Revised: 26 Jun 2023
Nicolas Petrosky-Nadeau and Lu Zhang
Federal Reserve Banks - Federal Reserve Bank of San Francisco and Ohio State University - Fisher College of Business
Downloads 36 (741,576)
Citation 2

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43.

The Stock Market and Aggregate Employment

Downloads 373 (133,716)

The Stock Market and Aggregate Employment

Number of pages: 40 Posted: 16 Jul 2009 Last Revised: 16 Sep 2009
Long Chen, Long Chen and Lu Zhang
Cheung Kong Graduate School of BusinessLuohan Academy and Ohio State University - Fisher College of Business
Downloads 347 (143,765)

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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: 01 Feb 2023
Long Chen, Long Chen and Lu Zhang
Cheung Kong Graduate School of BusinessLuohan Academy and Ohio State University - Fisher College of Business
Downloads 26 (822,266)

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44.

The Economics of Security Analysis

Management Science, Forthcoming
Number of pages: 77 Posted: 08 Jun 2022
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Kansas, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 358 (139,931)
Citation 1

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The investment CAPM, cross-sectionally varying expected returns, Graham and Dodd (1934), security analysis, active equity funds, the q5 model, Buffett’s alpha

45.

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 319 (158,402)
Citation 15

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

46.

Asset Prices and Business Cycles with Costly External Finance

Downloads 302 (167,761)
Citation 46

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, Amir Yaron and Lu Zhang
The Wharton School, Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 231 (218,874)

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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: 04 Aug 2022
Joao F. Gomes, Amir Yaron, Amir Yaron and Lu Zhang
The Wharton School, Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 50 (648,846)
Citation 15

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Asset Prices and Business Cycles with Costly External Finance

Number of pages: 36 Posted: 06 Aug 2003
Joao F. Gomes, Amir Yaron, Amir Yaron and Lu Zhang
The Wharton School, Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 21 (867,990)
Citation 8
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Financial accelerator, business cycles, asset prices

47.

Searching for the Equity Premium

Downloads 274 (185,562)
Citation 9

Searching for the Equity Premium

Fisher College of Business Working Paper No. 2020-03-023, Charles A. Dice Working Paper No. 2020-23
Number of pages: 72 Posted: 20 Oct 2020
Hang Bai and Lu Zhang
University of Connecticut - Department of Finance and Ohio State University - Fisher College of Business
Downloads 254 (199,345)

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The equity premium puzzle, macro finance, DSGE, search frictions, recursive utility, capital accumulation, projection, the welfare cost

Searching for the Equity Premium

NBER Working Paper No. w28001
Number of pages: 72 Posted: 27 Oct 2020 Last Revised: 06 Jul 2023
Hang Bai and Lu Zhang
University of Connecticut - Department of Finance and Ohio State University - Fisher College of Business
Downloads 20 (877,642)
Citation 10

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48.

Costly External Finance: Implications for Capital Markets Anomalies

Downloads 268 (189,751)
Citation 1

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 233 (217,023)
Citation 2

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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 2022
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 35 (749,076)

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49.

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
INSEAD, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 265 (191,893)
Citation 4

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Valuation, Tobin's q, investment, structural estimation

50.

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 258 (197,094)
Citation 1

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

51.

Does Costly Reversibility Matter for U.S. Public Firms?

Fisher College of Business Working Paper No. 2019-03-025, Charles A. Dice Working Paper No. 2019-25
Number of pages: 50 Posted: 09 Oct 2019
Hang Bai, Erica X. N. Li, Chen Xue and Lu Zhang
University of Connecticut - Department of Finance, Cheung Kong Graduate School of Business, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 225 (225,191)

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costly reversibility, the value premium, the standard investment model, simulated method of moments, operating leverage

52.

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 208 (242,209)
Citation 21

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53.

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 165 (297,334)
Citation 8

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

54.

Asymmetric Investment Rates

Downloads 150 (322,099)

Asymmetric Investment Rates

Fisher College of Business Working Paper No. 2022-03-003, Charles A. Dice Working Paper No. 2022-03
Number of pages: 129 Posted: 13 Apr 2022
Hang Bai, Erica X. N. Li, Chen Xue and Lu Zhang
University of Connecticut - Department of Finance, Cheung Kong Graduate School of Business, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 140 (340,981)

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Asymmetry, lumpy investment, national accounting, financial accounting, economic depreciation, current-cost capital, the investment rate

Asymmetric Investment Rates

NBER Working Paper No. w29957
Number of pages: 80 Posted: 18 Apr 2022 Last Revised: 10 May 2023
Hang Bai, Erica X. N. Li, Chen Xue and Lu Zhang
University of Connecticut - Department of Finance, Cheung Kong Graduate School of Business, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 10 (979,631)
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55.

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, Long Chen and Lu Zhang
Cheung Kong Graduate School of BusinessLuohan Academy and Ohio State University - Fisher College of Business
Downloads 144 (332,746)
Citation 1

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

56.

Does Costly Reversibility Matter for U.S. Public Firms?

NBER Working Paper No. w26372
Number of pages: 50 Posted: 14 Oct 2019 Last Revised: 22 Jan 2023
Hang Bai, Erica X. N. Li, Chen Xue and Lu Zhang
University of Connecticut - Department of Finance, Cheung Kong Graduate School of Business, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 139 (342,156)
Citation 1

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57.

The Investment Manifesto

Journal of Monetary Economics, Forthcoming
Number of pages: 36 Posted: 25 Dec 2012
Xiaoji Lin and Lu Zhang
University of Minnesota and Ohio State University - Fisher College of Business
Downloads 98 (441,436)
Citation 19

Abstract:

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

58.

Does Risk Explain Anomalies? Evidence from Expected Return Estimates

NBER Working Paper No. w15950
Number of pages: 47 Posted: 03 May 2010 Last Revised: 30 Jan 2023
Jin (Ginger) Wu and Lu Zhang
University of Georgia - Department of Banking and Finance and Ohio State University - Fisher College of Business
Downloads 82 (493,498)

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59.

Investment-Based Underperformance Following Seasoned Equity Offerings

NBER Working Paper No. w11459
Number of pages: 54 Posted: 25 May 2006 Last Revised: 26 Oct 2022
Evgeny Lyandres, Jerry Sun and Lu Zhang
Tel Aviv University, Invesco Advisers, Inc. and Ohio State University - Fisher College of Business
Downloads 78 (508,130)
Citation 1

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60.

The Value Spread as a Predictor of Returns

NBER Working Paper No. w11326
Number of pages: 42 Posted: 13 Jun 2005 Last Revised: 14 Dec 2022
Naiping Liu and Lu Zhang
University of Pennsylvania - Statistics Department and Ohio State University - Fisher College of Business
Downloads 77 (512,007)

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61.

Momentum Profits and Macroeconomic Risk

NBER Working Paper No. w11480
Number of pages: 28 Posted: 18 Aug 2005 Last Revised: 14 Nov 2022
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 74 (523,657)

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62.

Covariances Versus Characteristics in General Equilibrium

NBER Working Paper No. w17285
Number of pages: 46 Posted: 12 Aug 2011 Last Revised: 26 Mar 2023
Xiaoji Lin and Lu Zhang
University of Minnesota and Ohio State University - Fisher College of Business
Downloads 43 (676,306)

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