Lu Zhang

Ohio State University - Fisher College of Business

Dean's Distinguished Chair in Finance, 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

SCHOLARLY PAPERS

48

DOWNLOADS
Rank 390

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Top 390

in Total Papers Downloads

36,297

CITATIONS
Rank 295

SSRN RANKINGS

Top 295

in Total Papers Citations

1,317

Scholarly Papers (48)

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 9,399 (326)
Citation 75

Abstract:

Anomalies, Alphas, Factor Regressions, Asset Pricing Tests

2.
Downloads 2,689 ( 3,177)
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 1,462 (8,844)
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 1,212 (11,972)
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 15 (473,270)
Citation 14

Abstract:

3.
Downloads 2,157 ( 4,630)
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 1,620 (7,499)
Citation 117

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 537 (39,048)
Citation 117

Abstract:

4.
Downloads 1,559 ( 8,110)
Citation 68

Anomalies

Simon School Working Paper No. 04-16, Fifteenth Annual Utah Winter Finance Conference
Number of pages: 44 Posted: 01 Nov 2006
Cheung Kong Graduate School of Business, University of California, Berkeley and Ohio State University - Fisher College of Business
Downloads 1,239 (11,555)
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
University of Michigan, Stephen M. Ross School of Business, University of California, Berkeley and Ohio State University - Fisher College of Business
Downloads 269 (89,475)
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 (318,235)
Citation 68

Abstract:

Anomalies

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

Abstract:

5.
Downloads 1,387 ( 9,855)

A Comparison of New Factor Models

Fisher College of Business Working Paper Forthcoming No. 2015-03-05, Charles A. Dice Center Working Paper No. 2015-05, HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital
Number of pages: 147 Posted: 11 Nov 2014 Last Revised: 29 Nov 2016
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 1,375 (9,774)

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 12 (490,540)
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Abstract:

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 1,117 (13,600)
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 (115,609)
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 47 (330,370)
Citation 30

Abstract:

7.
Downloads 1,245 ( 11,714)
Citation 252

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 1,245 (11,463)
Citation 252

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

8.

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 (13,358)
Citation 5

Abstract:

Value, growth, economic fundamentals, business cycles, VAR

9.
Downloads 990 ( 16,681)
Citation 26

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 622 (32,086)
Citation 26

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 335 (69,824)
Citation 26

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 (379,656)
Citation 26

Abstract:

10.
Downloads 863 ( 20,492)
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 808 (22,210)
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 55 (306,832)
Citation 8

Abstract:

11.
Downloads 813 ( 22,389)
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 565 (36,466)
Citation 6

Abstract:

capital markets anomalies, expected return estimates, dividend discounting

Do Anomalies Exist Ex Ante?

Review of Finance, forthcoming
Number of pages: 27 Posted: 04 Oct 2010 Last Revised: 31 May 2013
Yue Tang, Jin (Ginger) Wu and Lu Zhang
University of Florida - Department of Finance, Insurance and Real Estate, University of Georgia - Department of Banking and Finance and Ohio State University - Fisher College of Business
Downloads 248 (97,515)
Citation 6

Abstract:

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

12.
Downloads 806 ( 22,673)
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
Guanghua School of Management, Peking University, University of Michigan, Stephen M. Ross School of Business and Ohio State University - Fisher College of Business
Downloads 806 (22,284)
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
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.
Downloads 729 ( 26,150)
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 687 (27,956)
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 (346,405)
Citation 178
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Abstract:

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

Equilibrium Cross-Section of Returns

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

Abstract:

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

14.
Downloads 715 ( 26,907)
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
University of Georgia - Department of Banking and Finance, Ohio State University - Fisher College of Business and Yale School of Management
Downloads 666 (29,253)
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
University of Georgia - Department of Banking and Finance, Ohio State University - Fisher College of Business and Yale School of Management
Downloads 49 (324,206)
Citation 27

Abstract:

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 645 (30,523)
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 39 (356,788)
Citation 13

Abstract:

Momentum Profits, Factor Pricing, and Macroeconomic Risk

Ross School of Business Paper No. 1050
Number of pages: 35 Posted: 26 Jul 2005
Guanghua School of Management, Peking University, University of Rochester – Simon Business School and Ohio State University - Fisher College of Business
Downloads 429 (51,905)
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 220 (110,284)
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

17.
Downloads 599 ( 34,242)
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
University of California, Berkeley, Board of Governors of the Federal Reserve System and Ohio State University - Fisher College of Business
Downloads 303 (78,253)
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
University of California, Berkeley, Board of Governors of the Federal Reserve System and Ohio State University - Fisher College of Business
Downloads 274 (87,630)
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
University of California, Berkeley, Board of Governors of the Federal Reserve System and Ohio State University - Fisher College of Business
Downloads 22 (433,369)
Citation 41

Abstract:

18.
Downloads 533 ( 39,984)
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
affiliation not provided to SSRN, Ohio State University - Fisher College of Business and Carnegie Mellon University - David A. Tepper School of Business
Downloads 520 (40,697)
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
Carnegie Mellon University - David A. Tepper School of Business, affiliation not provided to SSRN and Ohio State University - Fisher College of Business
Downloads 13 (484,859)
Citation 12

Abstract:

19.
Downloads 393 ( 41,515)
Citation 5

Optimal Market Timing

Simon School Working Paper
Number of pages: 42 Posted: 26 Jan 2006
University of California, Berkeley, Cheung Kong Graduate School of Business and Ohio State University - Fisher College of Business
Downloads 368 (62,427)
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
Cheung Kong Graduate School of Business, University of California, Berkeley and Ohio State University - Fisher College of Business
Downloads 25 (416,930)
Citation 5

Abstract:

20.

The New Issues Puzzle: Testing the Investment-Based Explanation

The Review of Financial Studies, Vol. 21, Issue 6, pp. 2825-2855, 2008
Number of pages: 42 Posted: 15 Dec 2008 Last Revised: 14 Mar 2013
Evgeny Lyandres, Le Sun and Lu Zhang
Boston University, State Street Corporate - State Street Global Advisors and Ohio State University - Fisher College of Business
Downloads 507 (42,572)
Citation 71

Abstract:

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

21.
Downloads 491 ( 44,354)
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 366 (62,844)
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 125 (182,786)
Citation 8

Abstract:

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

22.
Downloads 487 ( 44,803)
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 (58,660)
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 (217,108)
Citation 10

Abstract:

The Value Spread, Time Series Predictability, Business Cycles

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 (75,738)
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 (191,038)
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 (416,930)
Citation 48
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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 (422,334)
Citation 48

Abstract:

24.
Downloads 468 ( 47,116)
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
affiliation not provided to SSRN and Ohio State University - Fisher College of Business
Downloads 462 (47,319)
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
affiliation not provided to SSRN and Ohio State University - Fisher College of Business
Downloads 6 (523,152)
Citation 1

Abstract:

25.
Downloads 464 ( 47,624)
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 316 (74,669)
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 124 (183,893)
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 (422,334)
Citation 5

Abstract:

26.

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 (47,480)
Citation 1

Abstract:

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

27.
Downloads 391 ( 59,395)

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 366 (62,844)

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 25 (439,011)
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Abstract:

28.

The Q-Theory Approach to Understanding the Accrual Anomaly

Journal of Accounting Research, Forthcoming
Number of pages: 52 Posted: 31 Aug 2009
University of Georgia - Department of Banking and Finance, Ohio State University - Fisher College of Business and Yale School of Management
Downloads 359 (61,098)
Citation 27

Abstract:

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

29.

Economic Fundamentals, Risk, and Momentum Profits

Simon School Working Paper No. FR 04-03
Number of pages: 32 Posted: 13 Jan 2004
Guanghua School of Management, Peking University, University of Rochester – Simon Business School and Ohio State University - Fisher College of Business
Downloads 353 (63,841)
Citation 10

Abstract:

Expected Growth, Momentum, Risk, Event Study

30.
Downloads 319 ( 74,432)
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 310 (76,278)
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 (507,367)
Citation 2

Abstract:

31.
Downloads 318 ( 74,680)
Citation 2

Regularities

AFA 2007 Chicago Meetings Paper, Ross School of Business Paper No. 1071
Number of pages: 59 Posted: 21 Mar 2006
Guanghua School of Management, Peking University, University of Michigan, Stephen M. Ross School of Business and Ohio State University - Fisher College of Business
Downloads 285 (83,963)
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
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 (379,656)
Citation 2

Abstract:

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 281 (85,609)

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 (456,173)
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Abstract:

33.
Downloads 272 ( 88,902)
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 137 (169,856)
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 (192,305)
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 18 (456,173)
Citation 1

Abstract:

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 (119,492)
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 (383,739)
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 (439,011)
Citation 20
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Abstract:

Financial accelerator, business cycles, asset prices

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 (120,649)
Citation 3

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 (433,369)
Citation 3

Abstract:

36.
Downloads 214 (113,771)

Solving the DMP Model Accurately

Number of pages: 43 Posted: 27 Jun 2013 Last Revised: 08 Jan 2014
affiliation not provided to SSRN and Ohio State University - Fisher College of Business
Downloads 208 (116,699)

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
affiliation not provided to SSRN and Ohio State University - Fisher College of Business
Downloads 6 (523,152)

Abstract:

37.

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 (115,960)

Abstract:

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

38.

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 (111,704)
Citation 14

Abstract:

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

39.

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 (141,066)
Citation 15

Abstract:

40.

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 (178,750)
Citation 2

Abstract:

Valuation, Tobin's q, investment, structural estimation

41.

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 (229,904)
Citation 2

Abstract:

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

42.

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 (253,024)

Abstract:

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

43.

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 (278,324)
Citation 8

Abstract:

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

44.

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 (313,252)
Citation 6

Abstract:

45.

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 (336,768)
Citation 9

Abstract:

46.

Momentum Profits and Macroeconomic Risk

NBER Working Paper No. w11480
Number of pages: 28 Posted: 18 Aug 2005
Guanghua School of Management, Peking University, University of Rochester – Simon Business School and Ohio State University - Fisher College of Business
Downloads 43 (315,999)
Citation 40

Abstract:

47.

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 (313,252)
Citation 11

Abstract:

48.

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 (440,313)
Citation 3

Abstract: