|
|
|
|
"All truths are easy to understand once they are discovered; the point is to discover them." (Galileo Galilei, 1564-1642)
News
October 2009: The article "Investment-based expected stock returns" (with Laura Xiaolei Liu and Toni M. Whited) is forthcoming at Journal of Political Economy. October 2009: The NBER's board of directors has elected me a Research Associate in the Bureau's Asset Pricing program.
September 2009: The article by Chen and Zhang (2009) has been featured by the October 2009 issue of the SmartMoney magazine. September 2009: I have delivered an invited lecture on "A better three-factor model that explains more anomalies" based on Chen and Zhang (2009) at Society of Quantitative Analysts, New York City.
August 2009: A general purpose data library a la Ken French's is in service to accompany Chen and Zhang (2009). August 2009: The article "The q-theory approach to understanding the accrual anomaly" (with Jin (Ginger) Wu and X. Frank Zhang) is forthcoming at Journal of Accounting Research.
July 2009: I have delivered an invited lecture on "The anomalies literature: Implications for Capital Markets in China" [English Chinese] at Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University, Shanghai.
June 2009: The article "A better three-factor model that explains more anomalies" (with Long Chen) is forthcoming at Journal of Finance. June 2009: I have received the Inaugural Distinguished Referee Award from Review of Financial Studies. June 2009: I have accepted the invitation to serve as an Associate Editor of Review of Financial Studies from July 1, 2009 to June 30, 2012. June 2009: I have been appointed Chair of Finance Department at Stephen M. Ross School of Business at the University of Michigan.
Research Interests
Asset pricing, applied theoretical and empirical, in connection with corporate finance, macroeconomics, and capital markets research in accounting
Dissertation
Essays on the cross-section of returns, 2002, The Wharton School, University of Pennsylvania
Working Papers [See also my SSRN page that contains early drafts of my papers]
Costly external finance: Implications for capital markets anomalies (with Dongmei Li), September 2009 [Presentation]
Do anomalies exist ex ante? (with Jin (Ginger) Wu), May 2009 [Presentation]
The stock market and aggregate employment (with Long Chen), November 2009 [Internet Appendix] Value versus growth: Time-varying expected stock returns (with Huseyin Gulen and Yuhang Xing), June 2009
Publications and Forthcoming Articles [All articles are the sole copyright of the respective publishers. Materials are provided for educational use only]
Investment-based expected stock returns (with Laura Xiaolei Liu and Toni M. Whited), 2009, forthcoming, Journal of Political Economy [Article] [Internet Appendix] [Presentation]
The q-theory approach to understanding the accrual anomaly (with Jin (Ginger) Wu and X. Frank Zhang), 2009, forthcoming, Journal of Accounting Research [Article]
A better three-factor model that explains more anomalies (with Long Chen), 2009, forthcoming, Journal of Finance [Article] [Internet Appendix] [Data library] [Presentation] [Discussion by SmartMoney]
Anomalies (with Erica X. N. Li and Dmitry Livdan), 2009, Review of Financial Studies 22 (11), 4301-4334, lead article [Runner-up of the Best Paper Award at the 2005 Utah Winter Finance Conference] [Article]
Financially constrained stock returns (with Dmitry Livdan and Horacio Sapriza), 2009, Journal of Finance 64 (4), 1827-1862 [Article] Momentum profits, factor pricing, and macroeconomic risk (with Laura Xiaolei Liu), 2008, Review of Financial Studies 21 (6), 2417-2448 [Data for macroeconomic factors and momentum portfolios] [Article] The new issues puzzle: Testing the investment-based explanation (with Evgeny Lyandres and Le Sun), 2008, Review of Financial Studies 21 (6), 2825-2855 [Runner-up of the Barclays Global Investors Award for the Best Conference Paper at the 2005 European Finance Association Annual Meetings] [Article] Is the value spread a useful predictor of returns? (with Naiping Liu), 2008, Journal of Financial Markets 11 (3), 199-227, lead article [Article] Expected returns, yield spreads, and asset pricing tests (with Murillo Campello and Long Chen), 2008, Review of Financial Studies 21 (3), 1297-1338 [Data for expected equity and bond risk premiums by credit ratings] [Article] The expected value premium (with Long Chen and Ralitsa Petkova), 2008, Journal of Financial Economics 87 (2), 269-280 [Article]
Asset pricing implications of firms’ financing constraints (with Joao F. Gomes and Amir Yaron), 2006, Review of Financial Studies 19 (4), 1321-1356 [Article]
Is value riskier than growth? (with Ralitsa Petkova), 2005, Journal of Financial Economics 78 (1), 187-202 [Discussion by Bodie, Kane, and Marcus (2008, 7e, Investments)] [Data for aggregate conditioning variables] [Article] The value premium, 2005, Journal of Finance 60 (1), 67-103 [Discussion by Bodie, Kane, and Marcus (2008, 7e, Investments)] [Programs in Matlab and Fortran 90] [First Prize, Smith-Breeden Awards for 2005 from American Finance Association and Journal of Finance] [Article] Equilibrium stock return dynamics under alternative rules of learning about hidden states (with Michael W. Brandt and Qi Zeng), 2004, Journal of Economic Dynamics and Control 28 (10), 1925-1954, lead article [Article] Asset prices and business cycles with costly external finance (with Joao F. Gomes and Amir Yaron), 2003, Review of Economic Dynamics 6 (4), 767-788 [Article] Equilibrium cross section of returns (with Joao F. Gomes and Leonid Kogan), 2003, Journal of Political Economy 111 (4), 693-732, lead article [Programs in Matlab] [Article] [Erratum]
Citation Analysis 242 cites in published or forthcoming papers (as of September 2009). Citation counts do not include cites in unpublished papers or self-citations, but include cites in published or forthcoming papers that reference my unpublished papers. Some papers are cited under different titles. See Lu's citation count by year and detailed citation list.
Professional Presentations
Lecture on "A better three-factor model that explains more anomalies" at Society of Quantitative Analysts, New York City, September 2009
Discussion on "The long and the short of asset prices: Using long run consumption-return correlations to test asset pricing models" (by Yu) at University of Minnesota Macro-Finance Conference, Minneapolis, Minnesota, May 2009
Discussion on "What's vol got to do with it" (by Drechsler and Yaron) at the 19th Utah Winter Finance Conference at Salt Lake City, Utah, February 2009
Discussion on "Long-run productivity risk: A new hope for production-based asset pricing" (by Croce) at the UBC PH&N Summer Finance Conference in Whistler, BC, July 2008
Discussion on "Durability of output and expected stock returns" (by Gomes, Kogan, and Yogo) at the NBER Summer Institute, Asset Pricing workshop, July 2008
Discussion on "Can investor heterogeneity be useful in explaining the cross-section of average stock returns in emerging markets?" (by Jung, Lee, and Park) at the China International Conference in Finance, July 2008
Discussion on "Why do aggressive payout policies reduce fund discounts: Is it signaling, agency costs, or dividend preferences? (by Wang and Nanda) at the Financial Intermediation Research Society Conference on Banking, Corporate Finance, and Intermediation, June 2008
Discussion on "Limited arbitrage between equity and credit markets" (by Kapadia and Pu) at the 5th Annual Academic Conference at the Caesarea Center for Capital Markets and Risk Management, Herzliya, Israel, May 2008 (the pdf contains additional slides not presented at the conference because of time constraints)
Lecture on "Understanding anomalies: Is
much of what
we call alpha actually beta?" at Sanford C. Bernstein Conference on
Controversies in Quantitative Finance and Asset Management, New York City, March
2008
Discussion on "Financial distress and the cross section of equity returns" (by Garlappi and Yan) at the AFA meetings in New Orleans, January 2008
Discussion on "Levered returns" (by Gomes and Schmid) at the Duke-UNC Asset Pricing Conference, December 2007 (with additional slides not presented at the conference because of time constraints)
Discussion on "Asset pricing in a production economy with Chew-Dekel preferences" (by Campanale, Castro, and Clementi) at the NBER Asset Pricing Meeting, November 2007
Discussion on "Two Trees" (by Cochrane, Longstaff, and Santa-Clara) at the Michigan Asset Pricing Reading Group, September 2007
Discussion on "In search of distress risk" (by Campbell, Hilscher, and Szilagyi) at the Federal Reserve Board Conference on Credit Risk and Credit Derivatives, March 2007
Discussion on "Market reactions to tangible and intangible information" (by Daniel and Titman) at the Michigan Asset Pricing Reading Group, October 2006
Discussion on "Technological revolutions and stock prices" (by Pastor and Veronesi) at UBC Summer Finance Conference, July 2006
Discussion on "Technological growth, asset pricing, and consumption risk" (by Panageas and Yu) at WFA meetings, June 2006
Lecture on "The rational expectations approach to the cross section of returns," Ph.D. Program, Department of Economics, University of Minnesota, February 2006 Discussion on "International asset pricing: Evidence from market implied costs of capital" (by Lee, Ng, and Swaminathan) at WFA meetings, June 2005 Discussion on "Asset prices under habit formation and reference-dependent preferences" (by Yogo) at Simulation Based and Finite Sample Inference in Finance II, April 2005 Discussion on "Simple forecasts and paradigm shifts" (by Hong and Stein) at AFA meetings, January 2005 Discussion on "Corporate investment and asset price dynamics: Implications for SEO event studies and long run performance" (by Carlson, Fisher, and Giammarino) at NBER Asset Pricing Meeting, November 2004 Discussion on "Consumption, dividends, and the cross-section of equity returns" (by Bansal, Dittmar, and Lundblad) at WFA meetings, June 2002
|