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Details about Lu Zhang

E-mail:
Homepage:http://theinvestmentcapm.com/index.html
Phone:585-267-6250
Postal address:760A Fisher Hall 2100 Neil Avenue Columbus OH 43210-1144
Workplace:Department of Finance, Fisher College of Business, Ohio State University, (more information at EDIRC)

Access statistics for papers by Lu Zhang.

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

Short-id: pzh29


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Working Papers

2022

  1. Asymmetric Investment Rates
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)

2020

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

2019

  1. Does Costly Reversibility Matter for U.S. Public Firms?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
  2. Q-factors and Investment CAPM
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  3. Security Analysis: An Investment Perspective
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)

2018

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

2017

  1. Does the Investment Model Explain Value and Momentum Simultaneously?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
  2. Replicating Anomalies
    Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics Downloads View citations (37)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2017) Downloads View citations (31)
  3. The Economics of Value Investing
    Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics Downloads View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2017) Downloads View citations (1)
  4. The Investment CAPM
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (35)
    Also in Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics (2015) Downloads View citations (8)

    See also Journal Article The Investment CAPM, European Financial Management, European Financial Management Association (2017) Downloads View citations (36) (2017)

2015

  1. A Comparison of New Factor Models
    Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics Downloads View citations (16)
  2. The CAPM Strikes Back? An Investment Model with Disasters
    Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics Downloads View citations (6)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2015) Downloads View citations (6)

2014

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

2013

  1. "Shooting" the CAPM
    2013 Meeting Papers, Society for Economic Dynamics Downloads
  2. Solving the DMP Model Accurately
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (22)
  3. Unemployment Crises
    Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics Downloads View citations (12)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2013) Downloads View citations (10)
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business Downloads

2012

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

2011

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

2010

  1. Aggregate Asset Pricing with Labor Market Frictions
    2010 Meeting Papers, Society for Economic Dynamics Downloads
  2. Cross-sectional Tobin's Q
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  3. Does Risk Explain Anomalies? Evidence from Expected Return Estimates
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    Also in Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics (2010) Downloads
  4. Investment-Based Momentum Profits
    Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics Downloads View citations (3)
  5. The Value Spread: A Puzzle
    Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics Downloads
  6. Value versus Growth: Time-Varying Expected Stock Returns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads 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

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

2008

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

2007

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

2006

  1. Equity market volatility and expected risk premium
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (2)
  2. Financially Constrained Stock Returns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
    See also Journal Article Financially Constrained Stock Returns, Journal of Finance, American Finance Association (2009) Downloads View citations (93) (2009)
  3. Optimal Market Timing
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
  4. Testing the q-Theory of Anomalies
    2006 Meeting Papers, Society for Economic Dynamics Downloads
  5. The Expected Value Premium
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    See also Journal Article The expected value premium, Journal of Financial Economics, Elsevier (2008) Downloads View citations (37) (2008)

2005

  1. Anomalies
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article Anomalies, The Review of Financial Studies, Society for Financial Studies (2009) Downloads (2009)
  2. Expected Returns, Yield Spreads, and Asset Pricing Tests
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads 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) Downloads View citations (46) (2008)
  3. Investment-Based Underperformance Following Seasoned Equity Offerings
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
  4. Momentum Profits and Macroeconomic Risk
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  5. The Value Spread as a Predictor of Returns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)

2003

  1. Asset Prices and Business Cycles with Costly External Finance
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (57)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2002) Downloads 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) Downloads View citations (63) (2003)

2002

  1. Asset Pricing Implications of Firms' Financing Constraints
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (13)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2002) Downloads View citations (9)

    See also Journal Article Asset Pricing Implications of Firms' Financing Constraints, The Review of Financial Studies, Society for Financial Studies (2006) Downloads View citations (51) (2006)
  2. Equilibrium Cross-Section of Returns
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (3)
    See also Journal Article Equilibrium Cross Section of Returns, Journal of Political Economy, University of Chicago Press (2003) Downloads View citations (268) (2003)

2001

  1. 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) Downloads 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 Downloads View citations (23)
  2. Which Factors?
    Review of Finance, 2019, 23, (1), 1-35 Downloads
    See also Working Paper Which Factors?, NBER Working Papers (2014) Downloads View citations (4) (2014)

2018

  1. EFM Special Issue “Corporate Policies and Asset Prices”
    European Financial Management, 2018, 24, (4), 487-487 Downloads
  2. Endogenous Disasters
    American Economic Review, 2018, 108, (8), 2212-45 Downloads View citations (39)

2017

  1. Solving the Diamond–Mortensen–Pissarides model accurately
    Quantitative Economics, 2017, 8, (2), 611-650 Downloads View citations (23)
  2. The Investment CAPM
    European Financial Management, 2017, 23, (4), 545-603 Downloads View citations (36)
    See also Working Paper The Investment CAPM, NBER Working Papers (2017) Downloads View citations (35) (2017)

2015

  1. Editor's Choice Digesting Anomalies: An Investment Approach
    The Review of Financial Studies, 2015, 28, (3), 650-705 Downloads View citations (606)

2014

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

2013

  1. A Supply Approach to Valuation
    The Review of Financial Studies, 2013, 26, (12), 3029-3067 Downloads View citations (11)
  2. The investment manifesto
    Journal of Monetary Economics, 2013, 60, (3), 351-366 Downloads View citations (44)

2011

  1. Do time-varying risk premiums explain labor market performance?
    Journal of Financial Economics, 2011, 99, (2), 385-399 Downloads View citations (15)
  2. 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) Downloads View citations (4) (2010)

2010

  1. Does q-theory with investment frictions explain anomalies in the cross section of returns?
    Journal of Financial Economics, 2010, 98, (2), 297-314 Downloads View citations (80)
  2. The q‐Theory Approach to Understanding the Accrual Anomaly
    Journal of Accounting Research, 2010, 48, (1), 177-223 Downloads View citations (61)

2009

  1. Anomalies
    The Review of Financial Studies, 2009, 22, (11), 4301-4334 Downloads
    See also Working Paper Anomalies, NBER Working Papers (2005) Downloads (2005)
  2. Financially Constrained Stock Returns
    Journal of Finance, 2009, 64, (4), 1827-1862 Downloads View citations (93)
    See also Working Paper Financially Constrained Stock Returns, NBER Working Papers (2006) Downloads View citations (9) (2006)
  3. Investment-Based Expected Stock Returns
    Journal of Political Economy, 2009, 117, (6), 1105-1139 Downloads View citations (169)

2008

  1. Expected returns, yield spreads, and asset pricing tests
    The Review of Financial Studies, 2008, 21, (3), 1297-1338 Downloads View citations (46)
    Also in Proceedings, 2005 (2005) Downloads View citations (1)

    See also Working Paper Expected Returns, Yield Spreads, and Asset Pricing Tests, NBER Working Papers (2005) Downloads View citations (8) (2005)
  2. Is the value spread a useful predictor of returns?
    Journal of Financial Markets, 2008, 11, (3), 199-227 Downloads View citations (16)
  3. Momentum Profits, Factor Pricing, and Macroeconomic Risk
    The Review of Financial Studies, 2008, 21, (6), 2417-2448 Downloads View citations (153)
  4. The New Issues Puzzle: Testing the Investment-Based Explanation
    The Review of Financial Studies, 2008, 21, (6), 2825-2855 Downloads View citations (150)
  5. The expected value premium
    Journal of Financial Economics, 2008, 87, (2), 269-280 Downloads View citations (37)
    See also Working Paper The Expected Value Premium, NBER Working Papers (2006) Downloads View citations (1) (2006)

2006

  1. Asset Pricing Implications of Firms' Financing Constraints
    The Review of Financial Studies, 2006, 19, (4), 1321-1356 Downloads View citations (51)
    See also Working Paper Asset Pricing Implications of Firms' Financing Constraints, CEPR Discussion Papers (2002) Downloads View citations (13) (2002)

2005

  1. Is value riskier than growth?
    Journal of Financial Economics, 2005, 78, (1), 187-202 Downloads View citations (231)
  2. The Value Premium
    Journal of Finance, 2005, 60, (1), 67-103 Downloads View citations (444)

2004

  1. Equilibrium stock return dynamics under alternative rules of learning about hidden states
    Journal of Economic Dynamics and Control, 2004, 28, (10), 1925-1954 Downloads 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)
  2. Erratum: "Equilibrium Cross Section of Returns"
    Journal of Political Economy, 2004, 112, (3), 724-753 Downloads

2003

  1. Asset Prices and Business Cycles with Costly External Finance
    Review of Economic Dynamics, 2003, 6, (4), 767-788 Downloads View citations (63)
    See also Working Paper Asset Prices and Business Cycles with Costly External Finance, CEPR Discussion Papers (2003) Downloads View citations (57) (2003)
  2. Equilibrium Cross Section of Returns
    Journal of Political Economy, 2003, 111, (4), 693-732 Downloads View citations (268)
    See also Working Paper Equilibrium Cross-Section of Returns, CEPR Discussion Papers (2002) Downloads View citations (3) (2002)
 
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