Laura Xiaolei Liu

Guanghua School of Management, Peking University

Professor of Finance and Accounting

Peking University

Beijing, Beijing 100871

China

http://www.pku.edu.lauraliu.cn/en-home.html

SCHOLARLY PAPERS

20

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SSRN CITATIONS
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Top 2,857

in Total Papers Citations

68

CROSSREF CITATIONS

315

Scholarly Papers (20)

1.

Attracting Attention in an IPO

AFA 2009 San Francisco Meetings Paper
Number of pages: 57 Posted: 14 Mar 2006 Last Revised: 10 Jan 2019
Laura Xiaolei Liu, Ruichang Lu, Ann E. Sherman and Yong Zhang
Guanghua School of Management, Peking University, Department of Finance, Guanghua School of Management, Peking University, DePaul University and Hong Kong Polytechnic University
Downloads 1,506 (11,985)
Citation 1

Abstract:

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Limited attention, initial public offerings, investor attention, IPO underpricing, JOBS Act, pre-IPO trading, equity crowdfunding, crowdinvesting.

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 953 (23,635)
Citation 20

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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

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 450 (64,700)
Citation 3

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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 296 (105,214)
Citation 9

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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

Abstract:

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G12, E44

4.

The Long-Run Role of the Media: Evidence from Initial Public Offerings

Midwest Finance Association 2013 Annual Meeting Paper, Management Science, Forthcoming
Number of pages: 37 Posted: 09 Jan 2011 Last Revised: 10 Jun 2014
Laura Xiaolei Liu, Ann E. Sherman and Yong Zhang
Guanghua School of Management, Peking University, DePaul University and Hong Kong Polytechnic University
Downloads 673 (38,997)
Citation 10

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media coverage, IPO, initial public offering, investor attention, Merton, investor recognition, instrumental variable

5.

Securitization and Capital Structure in Nonfinancial Firms: An Empirical Investigation

Journal of Finance, 69(4) 1787-1825, August 2014
Number of pages: 89 Posted: 25 Nov 2011 Last Revised: 02 Feb 2018
Michael L. Lemmon, Laura Xiaolei Liu, Mike Qinghao Mao and Greg Nini
University of Utah - Department of Finance, Guanghua School of Management, Peking University, Deakin University - Faculty of Business and Law and Drexel University - Department of Finance
Downloads 613 (44,193)
Citation 4

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asset-backed securitization, ABS, capital structure, off-balance sheet, SPE, VIE

6.

Do Firms Have Target Leverage Ratios? Evidence from Historical Market-to-Book and Past Returns

Number of pages: 48 Posted: 12 Jan 2006
Laura Xiaolei Liu
Guanghua School of Management, Peking University
Downloads 583 (47,227)
Citation 19

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capital structure, trade-off theory, market-timing

7.

The Impacts of Political Uncertainty on Asset Prices: Evidence from the Bo Scandal in China

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 61 Posted: 24 Jan 2017 Last Revised: 06 Feb 2017
Laura Xiaolei Liu, Haibing Shu and K.C. John Wei
Guanghua School of Management, Peking University, Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management and Hong Kong Polytechnic University
Downloads 569 (48,753)
Citation 11

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political uncertainty risk; politically sensitive firms; stock returns; discount rate news; cash flow news

8.

Intangible Assets and Cross-Sectional Stock Returns: Evidence from Structural Estimation

Number of pages: 37 Posted: 28 Feb 2010 Last Revised: 02 Jan 2015
Erica X. N. Li, Laura Xiaolei Liu and Chen Xue
Cheung Kong Graduate School of Business, Guanghua School of Management, Peking University and University of Cincinnati
Downloads 554 (50,390)
Citation 9

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investment-based asset pricing, intangible assets, structural estimation, R&D, investment specific technological change, adjustment costs, structural estimation, GMM

9.
Downloads 510 ( 55,982)

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 341 (89,865)

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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 142 (211,587)

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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
Laura Xiaolei Liu and Lu Zhang
Guanghua School of Management, Peking University and Ohio State University - Fisher College of Business
Downloads 27 (512,202)

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10.

Cost Structure and Capital Structure – A Test of the Stakeholder Theory of Capital Structure

Number of pages: 47 Posted: 15 Mar 2012 Last Revised: 19 Oct 2014
Qianqian Du, Laura Xiaolei Liu and Rui Shen
Hong Kong University of Science & Technology (HKUST) - Department of Finance, Guanghua School of Management, Peking University and Chinese University of Hong Kong, Shenzhen
Downloads 466 (62,656)
Citation 2

Abstract:

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Capital Structure, Stakeholder Theory, Cost Structure

11.

The Crowding-Out Effects of Real Estate Shocks – Evidence from China

Number of pages: 39 Posted: 24 Mar 2015 Last Revised: 25 Mar 2015
Ting Chen, Laura Xiaolei Liu and Li-An Zhou
Hong Kong University of Science & Technology (HKUST), Guanghua School of Management, Peking University and Peking University - Guanghua School of Management
Downloads 446 (66,034)

Abstract:

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real estate, crowd out, resource misallocation, natural experiment

12.

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 382 (79,338)
Citation 5

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Expected Growth, Momentum, Risk, Event Study

13.
Downloads 336 ( 92,036)
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 295 (105,600)
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 2010
Laura Xiaolei Liu, Toni M. Whited and Lu Zhang
Guanghua School of Management, Peking University, University of Michigan, Stephen M. Ross School of Business and Ohio State University - Fisher College of Business
Downloads 41 (442,785)

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14.

Implicit Government Guarantee and the Pricing of Chinese LGFV Debt

Claremont McKenna College Robert Day School of Economics and Finance Research Paper No. 2922946
Number of pages: 33 Posted: 24 Feb 2017
Laura Xiaolei Liu, Yuanzhen Lyu and Fan Yu
Guanghua School of Management, Peking University, Hong Kong University of Science & Technology (HKUST) and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 311 (100,252)
Citation 10

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Chinese LGFV debt, chengtou bonds, implicit government guarantee, yield spread, city and provincial debt ratios

15.

Historical Market-to-Book and Past Returns in a Partial-Adjustment Model of Leverage

Number of pages: 35 Posted: 02 Aug 2007 Last Revised: 03 Oct 2008
Laura Xiaolei Liu
Guanghua School of Management, Peking University
Downloads 229 (137,882)
Citation 1

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capital structure, trade-off theory, market-timing, partial adjustment, target capital structure

16.

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 118 (243,632)
Citation 6

Abstract:

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

17.

Marketwide Private Information and Market Volatility-Volume Relation

Number of pages: 35 Posted: 25 May 2007
Laura Xiaolei Liu
Guanghua School of Management, Peking University
Downloads 117 (245,117)
Citation 3

Abstract:

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Private information, Volatility, Trading volume

18.

Momentum Profits and Macroeconomic Risk

NBER Working Paper No. w11480
Number of pages: 28 Posted: 18 Aug 2005 Last Revised: 24 Mar 2010
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 56 (380,614)

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19.

Customer Risk and Corporate Financial Policy: Evidence from Receivables Securitization

Journal of Corporate Finance, Forthcoming
Number of pages: 40 Posted: 15 Feb 2015 Last Revised: 27 Jan 2018
Laura Xiaolei Liu, Mike Qinghao Mao and Greg Nini
Guanghua School of Management, Peking University, Deakin University - Faculty of Business and Law and Drexel University - Department of Finance
Downloads 52 (393,658)

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capital structure, asset backed securitization, customer-supplier relationship, special purpose entity

20.

Historical Market-to-Book and Past Returns in a Target Partial Adjustment Model

Journal of Corporate Finance, Vol. 15, No. 5, 2009
Posted: 21 Nov 2009
Laura Xiaolei Liu
Guanghua School of Management, Peking University

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capital structure, trade-off theory, market timing, partial adjustment, target capital structure

Other Papers (1)

Total Downloads: 164
1.

Media Coverage and IPO Underpricing

Number of pages: 34 Posted: 21 Mar 2007
Laura Xiaolei Liu, Ann E. Sherman and Yong Zhang
Guanghua School of Management, Peking University, DePaul University and Hong Kong Polytechnic University
Downloads 164

Abstract:

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IPOs, underpricing, media attention, marketing, partial adjustment