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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CITATIONS
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Top 2,865

in Total Papers Citations

194

Scholarly Papers (20)

1.

Attracting Attention in an IPO

AFA 2009 San Francisco Meetings Paper
Number of pages: 49 Posted: 14 Mar 2006 Last Revised: 28 Nov 2016
Laura Xiaolei Liu, Ruichang Lu, Ann E. Sherman and Yong Zhang
Guanghua School of Management, Peking University, Peking University - Department of Finance, DePaul University and Hong Kong Polytechnic University
Downloads 1,209 (10,350)
Citation 2

Abstract:

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

2.
Downloads 801 ( 22,503)
Citation 64

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 801 (22,113)
Citation 64

Abstract:

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

Investment-Based Expected Stock Returns

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

Abstract:

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

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 428 (51,357)
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 219 (109,379)
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

4.

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 502 (40,260)
Citation 17

Abstract:

capital structure, trade-off theory, market-timing

5.

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 480 (37,471)

Abstract:

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

6.
Downloads 462 ( 47,243)
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 (73,708)
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 122 (183,847)
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 (417,194)
Citation 5

Abstract:

7.

Securitization and Capital Structure in Nonfinancial Firms: An Empirical Investigation

Journal of Finance, Forthcoming
Number of pages: 89 Posted: 25 Nov 2011 Last Revised: 17 Jan 2013
Michael L. Lemmon, Laura Xiaolei Liu, Mike Qinghao Mao and Greg Nini
University of Utah - Department of Finance, Guanghua School of Management, Peking University, Erasmus University Rotterdam and Drexel University - Department of Finance
Downloads 394 (44,413)
Citation 1

Abstract:

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

8.

Economic Fundamentals, Risk, and Momentum Profits

Simon School Working Paper No. FR 04-03
Number of pages: 32 Posted: 13 Jan 2004
Laura Xiaolei Liu, Jerold B. Warner and Lu Zhang
Guanghua School of Management, Peking University, University of Rochester – Simon Business School and Ohio State University - Fisher College of Business
Downloads 353 (63,223)
Citation 10

Abstract:

Expected Growth, Momentum, Risk, Event Study

9.

The Use of Asset-Backed Securitization and Capital Structure in Industrial Firms: An Empirical Investigation

22nd Australasian Finance and Banking Conference 2009
Number of pages: 56 Posted: 24 Aug 2009 Last Revised: 10 Jun 2010
Laura Xiaolei Liu, Mike Qinghao Mao and Michael L. Lemmon
Guanghua School of Management, Peking University, Erasmus University Rotterdam and University of Utah - Department of Finance
Downloads 340 (63,617)

Abstract:

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

10.
Downloads 316 ( 74,217)
Citation 2

Regularities

AFA 2007 Chicago Meetings Paper, Ross School of Business Paper No. 1071
Number of pages: 59 Posted: 21 Mar 2006
Laura Xiaolei Liu, Toni M. Whited and Lu Zhang
Guanghua School of Management, Peking University, University of Michigan, Stephen M. Ross School of Business and Ohio State University - Fisher College of Business
Downloads 283 (83,497)
Citation 2

Abstract:

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

Regularities

NBER Working Paper No. w13024
Number of pages: 59 Posted: 14 Apr 2007
Laura Xiaolei Liu, Toni M. Whited and Lu Zhang
Guanghua School of Management, Peking University, University of Michigan, Stephen M. Ross School of Business and Ohio State University - Fisher College of Business
Downloads 33 (375,065)
Citation 2

Abstract:

11.

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 283 (59,690)
Citation 6

Abstract:

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

12.

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 Nanyang Technological University (NTU) - Division of Accounting
Downloads 267 (73,687)
Citation 1

Abstract:

Capital Structure, Stakeholder Theory, Cost Structure

13.

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 216 (110,277)
Citation 2

Abstract:

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

14.

The Use of Asset-Backed Securitization and Capital Structure in Industrial Firms: An Empirical Investigation

Number of pages: 56 Posted: 16 Mar 2010 Last Revised: 10 Jun 2010
Michael L. Lemmon, Mike Qinghao Mao and Laura Xiaolei Liu
University of Utah - Department of Finance, Erasmus University Rotterdam and Guanghua School of Management, Peking University
Downloads 168 (132,349)

Abstract:

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

15.

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 110 (196,596)
Citation 1

Abstract:

Private information, Volatility, Trading volume

16.

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 96 (111,280)

Abstract:

real estate, crowd out, resource misallocation, natural experiment

17.

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 (253,801)

Abstract:

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

18.

Momentum Profits and Macroeconomic Risk

NBER Working Paper No. w11480
Number of pages: 28 Posted: 18 Aug 2005
Laura Xiaolei Liu, Jerold B. Warner and Lu Zhang
Guanghua School of Management, Peking University, University of Rochester – Simon Business School and Ohio State University - Fisher College of Business
Downloads 43 (317,858)
Citation 40

Abstract:

19.

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 School of Accounting and Finance, Hong Kong Polytechnic University
Downloads 0 (329,561)

Abstract:

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

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

Abstract:

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

Other Papers (1)

Total Downloads: 49    Citations: 3
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 26
Citation 3

Abstract:

IPOs, underpricing, media attention, marketing, partial adjustment