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

60

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62,225

SSRN CITATIONS
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Top 120

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2,089

CROSSREF CITATIONS

2,788

Scholarly Papers (60)

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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, Robert Novy-Marx and Lu Zhang
Luohan Academy, Simon Business School, University of Rochester and Ohio State University - Fisher College of Business
Downloads 12,080 (426)
Citation 148

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Anomalies, Alphas, Factor Regressions, Asset Pricing Tests

2.

Replicating Anomalies

Downloads 9,728 ( 629)
Citation 105

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 8,506 (793)
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 1,042 (25,666)
Citation 52

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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 2021
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 180 (204,756)

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3.

Digesting Anomalies: An Investment Approach

Downloads 4,111 ( 2,840)
Citation 430

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 2,537 (6,358)
Citation 60

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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 1,532 (14,302)
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
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 42 (512,898)
Citation 218

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4.

A Comparison of New Factor Models

Downloads 3,634 ( 3,488)
Citation 54

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 3,568 (3,526)
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: 27 Jun 2021
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 66 (416,256)
Citation 1

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5.

Is Value Riskier than Growth?

Downloads 2,580 ( 6,285)
Citation 88

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 1,877 (10,344)
Citation 91

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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 703 (44,404)
Citation 2

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6.

The Value Premium

Downloads 1,709 ( 12,267)
Citation 90

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 1,709 (12,058)
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 1,680 ( 12,606)
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 1,307 (18,316)
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 297 (125,654)
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 Jun 2021
Lu Zhang
Ohio State University - Fisher College of Business
Downloads 76 (384,660)

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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 1,448 ( 15,951)
Citation 49

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 - Samuel Curtis Johnson Graduate School of Management, Luohan Academy and Ohio State University - Fisher College of Business
Downloads 1,158 (21,965)
Citation 5

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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 and Lu Zhang
Cornell University - Samuel Curtis Johnson Graduate School of Management, Luohan Academy and Ohio State University - Fisher College of Business
Downloads 231 (162,218)

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Expected returns, risk factors, systematic risk, yield spreads

NBER Working Paper No. w11323
Number of pages: 41 Posted: 13 Jun 2005 Last Revised: 15 Jun 2020
Murillo Campello, Long Chen and Lu Zhang
Cornell University - Samuel Curtis Johnson Graduate School of Management, Luohan Academy and Ohio State University - Fisher College of Business
Downloads 59 (441,174)
Citation 2

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9.

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 1,223 (20,591)
Citation 5

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Value, growth, economic fundamentals, business cycles, VAR

10.

q5

Downloads 1,154 ( 22,460)
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, Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 1,119 (23,106)
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 2021
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 35 (548,994)

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11.

The Expected Value Premium

Downloads 1,066 ( 25,216)
Citation 283

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
Luohan Academy, Case Western Reserve University - Department of Banking & Finance and Ohio State University - Fisher College of Business
Downloads 651 (49,179)

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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, Ralitsa Petkova and Lu Zhang
Luohan Academy, Case Western Reserve University - Department of Banking & Finance and Ohio State University - Fisher College of Business
Downloads 365 (100,082)

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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: 17 Apr 2021
Long Chen, Ralitsa Petkova and Lu Zhang
Luohan Academy, Case Western Reserve University - Department of Banking & Finance and Ohio State University - Fisher College of Business
Downloads 50 (476,706)
Citation 51

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12.

Investment-Based Expected Stock Returns

Downloads 1,030 ( 26,505)
Citation 34

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 1,030 (26,121)
Citation 34

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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

13.

Neoclassical Factors

Downloads 980 ( 28,454)
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 and Long Chen
Ohio State University - Fisher College of Business and Luohan Academy
Downloads 912 (31,104)
Citation 2

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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: 18 Apr 2021
Long Chen and Lu Zhang
Luohan Academy and Ohio State University - Fisher College of Business
Downloads 68 (409,571)

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14.

The CAPM Strikes Back? An Equilibrium Model with Disasters

Downloads 962 ( 29,256)
Citation 9

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 588 (56,209)
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 244 (153,819)
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 2021
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 130 (268,473)

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15.

The Economics of Value Investing

Downloads 906 ( 31,849)

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, Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 863 (33,531)

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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: 27 Jun 2021
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 43 (508,120)

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16.

Do Anomalies Exist Ex Ante?

Downloads 889 ( 32,690)
Citation 5

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 606 (54,083)
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 283 (132,237)
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

17.

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, Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 805 (37,408)
Citation 4

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

18.

Equilibrium Cross-Section of Returns

Downloads 785 ( 38,785)
Citation 210

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 743 (41,205)
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 (512,898)
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

19.

Value Versus Growth: Time-Varying Expected Stock Returns

Downloads 777 ( 39,313)
Citation 14

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 719 (43,060)
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: 14 Sep 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 58 (444,900)

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20.

Momentum Profits, Factor Pricing, and Macroeconomic Risk

Downloads 774 ( 39,533)
Citation 103

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 461 (76,167)
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 313 (118,757)
Citation 17

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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.

Understanding the Accrual Anomaly

Downloads 759 ( 40,626)
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 701 (44,586)
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 Jun 2021
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 58 (444,900)

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22.

The Investment CAPM

Downloads 754 ( 40,975)
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 521 (65,382)

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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 190 (195,171)

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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 2021
Lu Zhang
Ohio State University - Fisher College of Business
Downloads 43 (508,120)
Citation 1

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The Investment CAPM

European Financial Management, Vol. 23, Issue 4, pp. 545-603, 2017
Number of pages: 59 Posted: 02 Oct 2017
Lu Zhang
Ohio State University - Fisher College of Business
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investment CAPM, consumption CAPM, CAPM, asset pricing anomalies, efficient markets, behavioural finance, aggregation, general equilibrium, joint‐hypothesis problem

23.

Endogenous Disasters

Downloads 740 ( 42,023)
Citation 22

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 614 (53,219)
Citation 21

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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 104 (315,549)
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
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 22 (633,635)

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24.

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 668 (48,230)
Citation 35

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

25.

Financially Constrained Stock Returns

Downloads 656 ( 49,318)
Citation 17

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 320 (115,969)
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 308 (120,829)
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: 23 Apr 2021
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 28 (591,035)
Citation 3

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26.

The Investment Manifesto

Downloads 641 ( 50,853)
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 488 (70,979)
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 153 (235,533)

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

27.

Unemployment Crises

Downloads 634 ( 51,623)
Citation 4

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 584 (56,707)

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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 36 (543,514)
Citation 1

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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 2021
Nicolas Petrosky-Nadeau and Lu Zhang
Federal Reserve Banks - Federal Reserve Bank of San Francisco and Ohio State University - Fisher College of Business
Downloads 14 (695,742)

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28.

Optimal Market Timing

Downloads 424 ( 60,707)

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 393 (91,836)

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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 2021
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 31 (571,941)

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29.

A Model of Momentum

Downloads 533 ( 64,241)

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 354 (103,678)

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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 148 (242,185)

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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: 05 Apr 2021
Laura Xiaolei Liu and Lu Zhang
Guanghua School of Management, Peking University and Ohio State University - Fisher College of Business
Downloads 31 (571,941)

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30.

Is the Value Spread a Useful Predictor of Returns?

Downloads 524 ( 65,643)
Citation 9

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 416 (85,984)
Citation 9

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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 108 (307,342)

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The Value Spread, Time Series Predictability, Business Cycles

31.

Asset Pricing Implications of Firms' Financing Constraints

Downloads 509 ( 68,053)
Citation 47

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 326 (113,711)

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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 and Lu Zhang
The Wharton School, University of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 129 (270,053)

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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: 30 Oct 2010
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 29 (584,434)

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Asset Pricing Implications of Firms' Financing Constraints

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 (611,608)
Citation 8
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Production based asset pricing, financing constraints, financing premium

32.

q-Factors and Investment CAPM

Downloads 494 ( 70,651)
Citation 5

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 477 (73,002)

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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: 04 Jan 2021
Lu Zhang
Ohio State University - Fisher College of Business
Downloads 17 (671,753)
Citation 6
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33.

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
Luohan Academy, University of Cincinnati - Department of Finance - Real Estate and Ohio State University - Fisher College of Business
Downloads 491 (71,167)
Citation 1

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

34.

Aggregation, Capital Heterogeneity, and the Investment CAPM

Downloads 437 ( 81,884)
Citation 13

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 Gonçalves, Chen Xue and Lu Zhang
University of North Carolina (UNC) at Chapel Hill - Finance Area, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 354 (103,678)
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 Gonçalves, Chen Xue and Lu Zhang
University of North Carolina (UNC) at Chapel Hill - Finance Area, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 69 (406,332)
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: 02 May 2021
Andrei Gonçalves, Chen Xue and Lu Zhang
University of North Carolina (UNC) at Chapel Hill - Finance Area, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 14 (695,742)

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35.

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 430 (83,477)
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

36.

Security Analysis: An Investment Perspective

Downloads 406 ( 89,250)

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, Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 369 (98,818)

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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: 27 Jun 2021
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 37 (538,112)

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37.

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 389 (93,725)
Citation 5

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Expected Growth, Momentum, Risk, Event Study

38.

Regularities

Downloads 344 (107,790)
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 300 (124,373)
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: 01 Feb 2021
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 44 (503,376)

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39.

The Stock Market and Aggregate Employment

Downloads 343 (108,155)

The Stock Market and Aggregate Employment

Number of pages: 40 Posted: 16 Jul 2009 Last Revised: 16 Sep 2009
Long Chen and Lu Zhang
Luohan Academy and Ohio State University - Fisher College of Business
Downloads 328 (112,923)

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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: 05 Aug 2010
Long Chen and Lu Zhang
Luohan Academy and Ohio State University - Fisher College of Business
Downloads 15 (687,606)

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40.

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, Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 332 (112,154)
Citation 7

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

41.

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, Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 330 (113,253)
Citation 21

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

42.

Cross-Sectional Tobin's Q

Downloads 319 (117,094)
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 166 (219,750)
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 126 (274,969)

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Tobin's Q, the value spread, investment, valuation, structural estimation

Cross-Sectional Tobin&Apos;S Q

NBER Working Paper No. w16336
Number of pages: 44 Posted: 07 Sep 2010 Last Revised: 20 Feb 2021
Frederico Belo, Chen Xue and Lu Zhang
INSEAD, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 27 (597,643)

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43.

Solving the DMP Model Accurately

Downloads 284 (132,448)
Citation 5

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 239 (156,902)

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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 25 (611,608)
Citation 3

Abstract:

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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: 27 Jun 2021
Nicolas Petrosky-Nadeau and Lu Zhang
Federal Reserve Banks - Federal Reserve Bank of San Francisco and Ohio State University - Fisher College of Business
Downloads 20 (648,617)

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44.

Asset Prices and Business Cycles with Costly External Finance

Downloads 271 (139,012)
Citation 42

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 215 (173,968)

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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: 01 Feb 2021
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 35 (548,994)
Citation 6

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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 and Lu Zhang
The Wharton School, University of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 21 (640,939)
Citation 8
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Financial accelerator, business cycles, asset prices

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 268 (140,635)
Citation 15

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

46.

Searching for the Equity Premium

Downloads 252 (149,568)

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 242 (155,054)

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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: 05 Jul 2021
Hang Bai and Lu Zhang
University of Connecticut - Department of Finance and Ohio State University - Fisher College of Business
Downloads 10 (729,136)
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47.

Costly External Finance: Implications for Capital Markets Anomalies

Downloads 240 (156,824)
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 215 (173,968)
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 2010
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 25 (611,608)

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48.

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 227 (165,511)
Citation 1

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

49.

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 220 (170,495)

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

50.

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 190 (195,244)
Citation 4

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Valuation, Tobin's q, investment, structural estimation

51.

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 190 (195,244)
Citation 21

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52.

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 139 (254,088)
Citation 8

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

53.

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
Luohan Academy and Ohio State University - Fisher College of Business
Downloads 114 (294,266)
Citation 1

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

54.

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 78 (375,037)
Citation 11

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

55.

Does Risk Explain Anomalies? Evidence from Expected Return Estimates

NBER Working Paper No. w15950
Number of pages: 47 Posted: 03 May 2010 Last Revised: 31 Jan 2021
Jin (Ginger) Wu and Lu Zhang
University of Georgia - Department of Banking and Finance and Ohio State University - Fisher College of Business
Downloads 63 (420,939)

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56.

The Value Spread as a Predictor of Returns

NBER Working Paper No. w11326
Number of pages: 42 Posted: 13 Jun 2005 Last Revised: 23 Jun 2005
Naiping Liu and Lu Zhang
University of Pennsylvania - Statistics Department and Ohio State University - Fisher College of Business
Downloads 62 (424,256)

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57.

Momentum Profits and Macroeconomic Risk

NBER Working Paper No. w11480
Number of pages: 28 Posted: 18 Aug 2005 Last Revised: 16 May 2021
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 58 (438,371)

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58.

Investment-Based Underperformance Following Seasoned Equity Offerings

NBER Working Paper No. w11459
Number of pages: 54 Posted: 25 May 2006 Last Revised: 25 Apr 2021
Evgeny Lyandres, Jerry Sun and Lu Zhang
Tel Aviv University, Invesco Advisers, Inc. and Ohio State University - Fisher College of Business
Downloads 55 (449,368)
Citation 1

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59.

Covariances Versus Characteristics in General Equilibrium

NBER Working Paper No. w17285
Number of pages: 46 Posted: 12 Aug 2011 Last Revised: 26 Mar 2021
Xiaoji Lin and Lu Zhang
University of Minnesota and Ohio State University - Fisher College of Business
Downloads 28 (575,099)

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60.

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

NBER Working Paper No. w26372
Number of pages: 50 Posted: 14 Oct 2019 Last Revised: 24 Jul 2021
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 8 (716,785)

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