Helen Lu

University of Auckland Business School

12 Grafton Rd

Private Bag 92019

Auckland, 1010

New Zealand

http://www.business.auckland.ac.nz/people/hlu079

University of Auckland - Department of Accounting and Finance

Assistant professor

Private Bag 92019

Auckland 1001

New Zealand

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 15,581

SSRN RANKINGS

Top 15,581

in Total Papers Downloads

3,994

SSRN CITATIONS
Rank 39,909

SSRN RANKINGS

Top 39,909

in Total Papers Citations

16

CROSSREF CITATIONS

3

Scholarly Papers (15)

Cross-Asset Return Predictability: Carry Trades, Stocks and Commodities

Number of pages: 52 Posted: 22 Feb 2014
Helen Lu and Ben Jacobsen
University of Auckland Business School and Tilburg University - TIAS School for Business and Society
Downloads 340 (110,062)

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Carry Trade, Return Predictability, Safe-haven Currencies, Gradual Information Diffusion

Cross-Asset Return Predictability: Carry Trades, Stocks and Commodities

Number of pages: 52 Posted: 20 Feb 2014
Helen Lu and Ben Jacobsen
University of Auckland Business School and Tilburg University - TIAS School for Business and Society
Downloads 262 (145,397)

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Carry Trade; Return Predictability; Safe-haven Currencies; Gradual Information Diffusion; Time-varying Risk Premium; Vector Auto Regressions

Cross-Asset Return Predictability: Carry Trades, Stocks and Commodities

Number of pages: 61 Posted: 07 Feb 2015 Last Revised: 18 Sep 2015
Helen Lu and Ben Jacobsen
University of Auckland Business School and Tilburg University - TIAS School for Business and Society
Downloads 212 (178,760)
Citation 2

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Carry Trade; Gradual Information Diffusion; Return Predictability, Safe-haven Currencies, Time-varying Risk Premium, Vector Auto Regression

2.

The Correlation Structure of Anomaly Strategies

Number of pages: 97 Posted: 19 Jul 2017 Last Revised: 04 Aug 2020
Paul Geertsema and Helen Lu
University of Auckland Business School and University of Auckland Business School
Downloads 755 (41,522)
Citation 1

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anomalies; correlation; cluster analysis; machine learning; asset pricing

3.

Machine Valuation

Number of pages: 56 Posted: 07 Sep 2019
Paul Geertsema and Helen Lu
University of Auckland Business School and University of Auckland Business School
Downloads 484 (73,555)

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valuation; asset pricing; return predictability; machine learning; gradient boosted trees

4.
Downloads 325 (116,421)
Citation 1

Real Earnings Management Around CEO Turnovers

Number of pages: 52 Posted: 07 Dec 2015 Last Revised: 03 Jun 2020
University of Auckland Business School, University of Otago - Department of Accountancy and Finance and University of Auckland Business School
Downloads 325 (115,720)
Citation 2

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CEO Turnover, Real Earnings Management, Abnormal Operating Performance, Discretionary Accruals

Real Earnings Management Around CEO Turnovers

Accounting & Finance, Vol. 60, Issue 3, pp. 2397-2426, 2020
Number of pages: 30 Posted: 06 Oct 2020
University of Auckland Business School, University of Otago - Department of Accountancy and Finance and University of Auckland Business School
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CEO turnover, Real earnings management, Abnormal operating performance, Discretionary accruals

5.

Relative Valuation with Machine Learning

Number of pages: 99 Posted: 17 Dec 2020 Last Revised: 24 Apr 2021
Paul Geertsema and Helen Lu
University of Auckland Business School and University of Auckland Business School
Downloads 303 (125,463)

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Relative Valuation, Fundamental Analysis, Comparable Companies, IPOs, Machine Learning, Gradient Boosting Machines

6.

Where Is the Risk in Risk Factors? Evidence from the Vietnam War to the COVID-19 Pandemic.

Number of pages: 34 Posted: 08 Jun 2020
Paul Geertsema and Helen Lu
University of Auckland Business School and University of Auckland Business School
Downloads 268 (142,643)
Citation 1

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Risk factors; COVID-19; Bear markets; Short-sales constraints; Biased expectations

7.

Long-Run Expected Stock Returns

Number of pages: 73 Posted: 11 May 2021
Paul Geertsema and Helen Lu
University of Auckland Business School and University of Auckland Business School
Downloads 235 (162,346)

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Long-run discount rates, return predictability, cross-section of returns, machine learning, gradient boosting; variable importance, SHAP values

8.
Downloads 157 (233,272)
Citation 2

Stock Price Response to New CEO Earnings News

28th Australasian Finance and Banking Conference
Number of pages: 45 Posted: 20 Aug 2015 Last Revised: 23 Aug 2016
University of Auckland Business School, University of Otago - Department of Accountancy and Finance and University of Auckland Business School
Downloads 156 (235,006)

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CEO Turnover, Unexpected Earnings, Earnings Response Coefficient, Meet and Beat Premium, Information Environment

Stock Price Response to New‐CEO Earnings News

Accounting & Finance, Vol. 58, Issue 3, pp. 849-883, 2018
Number of pages: 35 Posted: 17 Sep 2018
University of Auckland Business School, University of Otago - Department of Accountancy and Finance and University of Auckland Business School
Downloads 1 (823,542)
Citation 2
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CEO turnover, Unexpected earnings, Earnings response coefficient, Meet and beat premium, Information environment

9.

The Cross-section of Long-run Expected Stock Returns

Number of pages: 80 Posted: 26 Feb 2021
Paul Geertsema and Helen Lu
University of Auckland Business School and University of Auckland Business School
Downloads 127 (275,777)

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Long-Run Discount Rates; Return Predictability; Cross-Section of Returns; Machine Learning; Gradient Boosting; Variable Importance; SHAP Values

10.

Asymmetric Extreme Tails and Prospective Utility of Momentum Returns

Economics Letters, Forthcoming
Number of pages: 9 Posted: 23 Sep 2010 Last Revised: 07 May 2012
Massey University - Department of Commerce, University of Auckland Business School and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 109 (307,714)
Citation 1

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Extreme value theory, Asymmetric tails, Prospective utility

11.

The Impact of SOX on Earnings Management Activities around CEO Turnovers

Number of pages: 56 Posted: 17 Dec 2018
University of Auckland Business School, University of Otago - Department of Accountancy and Finance and University of Auckland Business School
Downloads 105 (315,678)

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CEO Turnover, SOX, Real Earnings Management, Discretionary Accruals

12.

A Game-Theoretic Model of Underpricing and Over-Subscription in Chinese IPO's

Number of pages: 9 Posted: 28 Nov 2015
Paul Geertsema and Helen Lu
University of Auckland Business School and University of Auckland Business School
Downloads 99 (328,202)

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IPO Underpricing, Risk aversion, Game theory

13.

Regulated Price and Demand in China’s IPO Market

Number of pages: 35 Posted: 16 Jul 2018 Last Revised: 31 May 2019
Paul Geertsema and Helen Lu
University of Auckland Business School and University of Auckland Business School
Downloads 91 (346,289)

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Initial Public Offering; IPO Underpricing, IPO Oversubscription, Endogeneity, Simultaneous Equations, A-share Markets

14.

Trust and the Value of CSR during the Global Financial Crisis

Number of pages: 15 Posted: 04 Jun 2020 Last Revised: 17 Jul 2020
Henk Berkman, Michelle Li and Helen Lu
University of Auckland Business School, University of Auckland and University of Auckland Business School
Downloads 68 (409,917)
Citation 2

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Corporate Social Responsibility, Event Study, Replication, Validity Test, Japan

15.

CEO Inside Debt and Innovation

Number of pages: 49 Posted: 24 Mar 2021
Ha Nguyen, Helen Lu and Alastair Marsden
University of Auckland, Business School, Department of Accounting and Finance, University of Auckland Business School and University of Auckland Business School
Downloads 54 (458,837)

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CEO compensation, Inside Debt, Patent, Citation, Research Quotient