NBER Working Papers and Publications by Lu Zhang

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

Working Papers and Chapters and Reporter Articles

June 2017The Economics of Value Investing
with Kewei Hou, Haitao Mo, Chen Xue: w23563
May 2017Replicating Anomalies
with Kewei Hou, Chen Xue: w23394
March 2017The Investment CAPM
March 2015The CAPM Strikes Back? An Investment Model with Disasters
with Hang Bai, Kewei Hou, Howard Kung: w21016
November 2014A Comparison of New Factor Models
with Kewei Hou, Chen Xue: w20682
March 2014Exploring Asset Pricing Anomalies
NBER Reporter 2014 number 1
July 2013Unemployment Crises
with Nicolas Petrosky-Nadeau: w19207
Solving the DMP Model Accurately
with Nicolas Petrosky-Nadeau: w19208
October 2012Digesting Anomalies: An Investment Approach
with Kewei Hou, Chen Xue: w18435

Published: Digesting Anomalies: An Investment Approach Kewei Hou, Chen Xue and Lu Zhang Rev. Financ. Stud. (2015) 28 (3): 650-705. doi: 10.1093/rfs/hhu068 First published online: September 26, 2014

January 2012An Equilibrium Asset Pricing Model with Labor Market Search
with Lars-Alexander Kuehn, Nicolas Petrosky-Nadeau: w17742
August 2011Covariances versus Characteristics in General Equilibrium
with Xiaoji Lin: w17285
January 2011A Model of Momentum
with Laura Xiaolei Liu: w16747
September 2010Cross-sectional Tobin's Q
with Frederico Belo, Chen Xue: w16336
May 2010Value versus Growth: Time-Varying Expected Stock Returns
with Huseyin Gulen, Yuhang Xing: w15993

Published: Huseyin Gulen & Yuhang Xing & Lu Zhang, 2011. "Value versus Growth: Time‐Varying Expected Stock Returns," Financial Management, Financial Management Association International, vol. 40(2), pages 381-407, 06. citation courtesy of

April 2010Does Risk Explain Anomalies? Evidence from Expected Return Estimates
with Jin Ginger Wu: w15950
August 2009The stock market and aggregate employment
with Long Chen: w15219

Published: Do time-varying risk premiums explain labor market performance? (with Chen), 2011, Journal of Financial Economics 99 (2), 385-399.

September 2008Costly External Finance: Implications for Capital Markets Anomalies
with Dongmei Li: w14342
October 2007Understanding the Accrual Anomaly
with Jin Ginger Wu, X. Frank Zhang: w13525

Published: WU, J., ZHANG, L. and ZHANG, X. F. (2010), The q-Theory Approach to Understanding the Accrual Anomaly. Journal of Accounting Research, 48: 177–223. doi: 10.1111/j.1475-679X.2009.00353.x

July 2007Neoclassical Factors
with Long Chen: w13282
April 2007Regularities
with Laura X. L. Liu, Toni Whited: w13024
October 2006Financially Constrained Stock Returns
with Dmitry Livdan, Horacio Sapriza: w12555

Published: Dmitry Livdan & Horacio Sapriza & Lu Zhang, 2009. "Financially Constrained Stock Returns," Journal of Finance, American Finance Association, vol. 64(4), pages 1827-1862, 08. citation courtesy of

May 2006The Expected Value Premium
with Long Chen, Ralitsa Petkova: w12183

Published: Chen, Long & Petkova, Ralitsa & Zhang, Lu, 2008. "The expected value premium," Journal of Financial Economics, Elsevier, vol. 87(2), pages 269-280, February. citation courtesy of

February 2006Optimal Market Timing
with Erica X. N. Li, Dmitry Livdan: w12014
July 2005Momentum Profits and Macroeconomic Risk
with Laura X.L. Liu, Jerold B. Warner: w11480
Investment-Based Underperformance Following Seasoned Equity Offerings
with Evgeny Lyandres, Le Sun: w11459
May 2005Anomalies

Published: Erica X. N. Li & Dmitry Livdan & Lu Zhang, 2009. "Anomalies," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 22(11), pages 4301-4334, November. citation courtesy of

The Value Spread as a Predictor of Returns
with Naiping Lu: w11326

Published: Liu, Naiping & Zhang, Lu, 2008. "Is the value spread a useful predictor of returns?," Journal of Financial Markets, Elsevier, vol. 11(3), pages 199-227, August.

Expected Returns, Yield Spreads, and Asset Pricing Tests
with Murillo Campello, Long Chen: w11323


December 2002Asset Pricing Implications of Firms' Financing Constraints
with Joao Gomes, Amir Yaron: w9365

Published: Gomes, Joao F., Amir Yaron and Lu Zhang. "Asset Pricing Implications Of Firms' Financing Constraints," Review of Financial Studies, 2006, v19(4,Winter), 1321-1356. citation courtesy of

Asset Prices and Business Cycles with Costly External Finance
with Joao Gomes, Amir Yaron: w9364

Published: Gomes, Joao F., Amir Yaron and Lu Zhang. "Asset Prices And Business Cycles With Costly External Finance," Review of Economic Dynamics, 2003, v6(3,Oct), 767-788. citation courtesy of

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

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