Details about Lu Zhang

Access statistics for papers by Lu Zhang.

Last updated 2019-04-07. Update your information in the RePEc Author Service.

Short-id: pzh29

Working Papers

2022

1. Asymmetric Investment Rates
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)

2020

2. Searching for the Equity Premium
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)

2019

3. Firm-level Irreversibility
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
4. Q-factors and Investment CAPM
   NBER Working Papers, National Bureau of Economic Research, Inc
5. Security Analysis: An Investment Perspective
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)

2018

6. Motivating Factors
   Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics
7. Q5
   Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics
8. q⁵
   NBER Working Papers, National Bureau of Economic Research, Inc

2017

9. Does the Investment Model Explain Value and Momentum Simultaneously?
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
10. Replicating Anomalies
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (31)
    Also in Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics (2017) View citations (37)
11. The Economics of Value Investing
    Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2017) View citations (1)
12. The Investment CAPM
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (36)
    Also in Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics (2015) View citations (8)
    See also Journal Article The Investment CAPM, European Financial Management, European Financial Management Association (2017) View citations (37) (2017)

2015

13. A Comparison of New Factor Models
    Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics View citations (19)
14. The CAPM Strikes Back? An Investment Model with Disasters
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
    Also in Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics (2015) View citations (6)

2014

15. Endogenous Economic Disasters and Asset Prices
    2014 Meeting Papers, Society for Economic Dynamics View citations (3)
16. Which Factors?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
    See also Journal Article Which Factors?, Review of Finance, European Finance Association (2019) (2019)

2013

17. "Shooting" the CAPM
    2013 Meeting Papers, Society for Economic Dynamics
18. Solving the DMP Model Accurately
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (22)
19. Unemployment Crises
    Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics View citations (13)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2013) View citations (11)
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business

2012

20. An Equilibrium Asset Pricing Model with Labor Market Search
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (16)
    Also in GSIA Working Papers, Carnegie Mellon University, Tepper School of Business
    Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics (2011) View citations (8)
21. Digesting Anomalies: An Investment Approach
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
    Also in Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics (2012) View citations (9)

2011

22. A Model of Momentum
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
23. Covariances versus Characteristics in General Equilibrium
    Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011)

2010

24. Aggregate Asset Pricing with Labor Market Frictions
    2010 Meeting Papers, Society for Economic Dynamics
25. Cross-sectional Tobin's Q
    NBER Working Papers, National Bureau of Economic Research, Inc
26. Does Risk Explain Anomalies? Evidence from Expected Return Estimates
    Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010)
27. Investment-Based Momentum Profits
    Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics View citations (3)
28. The Value Spread: A Puzzle
    Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics
29. Value versus Growth: Time-Varying Expected Stock Returns
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
    See also Journal Article Value versus Growth: Time‐Varying Expected Stock Returns, Financial Management, Financial Management Association International (2011) View citations (40) (2011)

2009

30. The stock market and aggregate employment
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)

2008

31. Costly External Finance: Implications for Capital Markets Anomalies
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)

2007

32. Neoclassical Factors
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
33. Regularities
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
34. Understanding the Accrual Anomaly
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)

2006

35. Equity market volatility and expected risk premium
    Working Papers, Federal Reserve Bank of St. Louis View citations (2)
36. Financially Constrained Stock Returns
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
    See also Journal Article Financially Constrained Stock Returns, Journal of Finance, American Finance Association (2009) View citations (101) (2009)
37. Optimal Market Timing
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
38. Testing the q-Theory of Anomalies
    2006 Meeting Papers, Society for Economic Dynamics
39. The Expected Value Premium
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
    See also Journal Article The expected value premium, Journal of Financial Economics, Elsevier (2008) View citations (37) (2008)

2005

40. Anomalies
    NBER Working Papers, National Bureau of Economic Research, Inc
    See also Journal Article Anomalies, The Review of Financial Studies, Society for Financial Studies (2009) (2009)
41. Expected Returns, Yield Spreads, and Asset Pricing Tests
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
    See also Journal Article Expected returns, yield spreads, and asset pricing tests, The Review of Financial Studies, Society for Financial Studies (2008) View citations (46) (2008)
42. Investment-Based Underperformance Following Seasoned Equity Offerings
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
43. Momentum Profits and Macroeconomic Risk
    NBER Working Papers, National Bureau of Economic Research, Inc
44. The Value Spread as a Predictor of Returns
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)

2003

45. Asset Prices and Business Cycles with Costly External Finance
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (57)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2002) View citations (9)
    See also Journal Article Asset Prices and Business Cycles with Costly External Finance, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2003) View citations (63) (2003)

2002

46. Asset Pricing Implications of Firms' Financing Constraints
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (13)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2002) View citations (9)
    See also Journal Article Asset Pricing Implications of Firms' Financing Constraints, The Review of Financial Studies, Society for Financial Studies (2006) View citations (53) (2006)
47. Equilibrium Cross-Section of Returns
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)
    See also Journal Article Equilibrium Cross Section of Returns, Journal of Political Economy, University of Chicago Press (2003) View citations (273) (2003)

2001

48. Equilibrium Stock Return Dynamics Under Alternative Rules of Learning About Hidden States
    Computing in Economics and Finance 2001, Society for Computational Economics View citations (4)
    See also Journal Article Equilibrium stock return dynamics under alternative rules of learning about hidden states, Journal of Economic Dynamics and Control, Elsevier (2004) View citations (32) (2004)

Journal Articles

2019

1. The CAPM strikes back? An equilibrium model with disasters
   Journal of Financial Economics, 2019, 131, (2), 269-298 View citations (24)
2. Which Factors?
   Review of Finance, 2019, 23, (1), 1-35
   See also Working Paper Which Factors?, NBER Working Papers (2014) View citations (4) (2014)

2018

3. EFM Special Issue “Corporate Policies and Asset Prices”
   European Financial Management, 2018, 24, (4), 487-487
4. Endogenous Disasters
   American Economic Review, 2018, 108, (8), 2212-45 View citations (43)

2017

5. Solving the Diamond–Mortensen–Pissarides model accurately
   Quantitative Economics, 2017, 8, (2), 611-650 View citations (25)
6. The Investment CAPM
   European Financial Management, 2017, 23, (4), 545-603 View citations (37)
   See also Working Paper The Investment CAPM, NBER Working Papers (2017) View citations (36) (2017)

2015

7. Editor's Choice Digesting Anomalies: An Investment Approach
   The Review of Financial Studies, 2015, 28, (3), 650-705 View citations (663)

2014

8. A neoclassical interpretation of momentum
   Journal of Monetary Economics, 2014, 67, (C), 109-128 View citations (26)
9. Do Anomalies Exist Ex Ante?
   Review of Finance, 2014, 18, (3), 843-875 View citations (15)

2013

10. A Supply Approach to Valuation
    The Review of Financial Studies, 2013, 26, (12), 3029-3067 View citations (12)
11. The investment manifesto
    Journal of Monetary Economics, 2013, 60, (3), 351-366 View citations (47)

2011

12. Do time-varying risk premiums explain labor market performance?
    Journal of Financial Economics, 2011, 99, (2), 385-399 View citations (15)
13. Value versus Growth: Time‐Varying Expected Stock Returns
    Financial Management, 2011, 40, (2), 381-407 View citations (40)
    See also Working Paper Value versus Growth: Time-Varying Expected Stock Returns, NBER Working Papers (2010) View citations (4) (2010)

2010

14. Does q-theory with investment frictions explain anomalies in the cross section of returns?
    Journal of Financial Economics, 2010, 98, (2), 297-314 View citations (83)
15. The q‐Theory Approach to Understanding the Accrual Anomaly
    Journal of Accounting Research, 2010, 48, (1), 177-223 View citations (62)

2009

16. Anomalies
    The Review of Financial Studies, 2009, 22, (11), 4301-4334
    See also Working Paper Anomalies, NBER Working Papers (2005) (2005)
17. Financially Constrained Stock Returns
    Journal of Finance, 2009, 64, (4), 1827-1862 View citations (101)
    See also Working Paper Financially Constrained Stock Returns, NBER Working Papers (2006) View citations (9) (2006)
18. Investment-Based Expected Stock Returns
    Journal of Political Economy, 2009, 117, (6), 1105-1139 View citations (173)

2008

19. Expected returns, yield spreads, and asset pricing tests
    The Review of Financial Studies, 2008, 21, (3), 1297-1338 View citations (46)
    Also in Proceedings, 2005 (2005) View citations (1)
    See also Working Paper Expected Returns, Yield Spreads, and Asset Pricing Tests, NBER Working Papers (2005) View citations (8) (2005)
20. Is the value spread a useful predictor of returns?
    Journal of Financial Markets, 2008, 11, (3), 199-227 View citations (17)
21. Momentum Profits, Factor Pricing, and Macroeconomic Risk
    The Review of Financial Studies, 2008, 21, (6), 2417-2448 View citations (161)
22. The New Issues Puzzle: Testing the Investment-Based Explanation
    The Review of Financial Studies, 2008, 21, (6), 2825-2855 View citations (158)
23. The expected value premium
    Journal of Financial Economics, 2008, 87, (2), 269-280 View citations (37)
    See also Working Paper The Expected Value Premium, NBER Working Papers (2006) View citations (1) (2006)

2006

24. Asset Pricing Implications of Firms' Financing Constraints
    The Review of Financial Studies, 2006, 19, (4), 1321-1356 View citations (53)
    See also Working Paper Asset Pricing Implications of Firms' Financing Constraints, CEPR Discussion Papers (2002) View citations (13) (2002)

2005

25. Is value riskier than growth?
    Journal of Financial Economics, 2005, 78, (1), 187-202 View citations (232)
26. The Value Premium
    Journal of Finance, 2005, 60, (1), 67-103 View citations (443)

2004

27. Equilibrium stock return dynamics under alternative rules of learning about hidden states
    Journal of Economic Dynamics and Control, 2004, 28, (10), 1925-1954 View citations (32)
    See also Working Paper Equilibrium Stock Return Dynamics Under Alternative Rules of Learning About Hidden States, Computing in Economics and Finance 2001 (2001) View citations (4) (2001)
28. Erratum: "Equilibrium Cross Section of Returns"
    Journal of Political Economy, 2004, 112, (3), 724-753

2003

29. Asset Prices and Business Cycles with Costly External Finance
    Review of Economic Dynamics, 2003, 6, (4), 767-788 View citations (63)
    See also Working Paper Asset Prices and Business Cycles with Costly External Finance, CEPR Discussion Papers (2003) View citations (57) (2003)
30. Equilibrium Cross Section of Returns
    Journal of Political Economy, 2003, 111, (4), 693-732 View citations (273)
    See also Working Paper Equilibrium Cross-Section of Returns, CEPR Discussion Papers (2002) View citations (3) (2002)