Bio
Dr. Lu Zhang is The John W. Galbreath Chair, Professor of Finance, at Fisher College of Business, The Ohio State University, as well as Research Associate at National Bureau of Economic Research (Asset Pricing program) and Associate Editor for Journal of Financial Economics and Journal of Financial and Quantitative Analysis. He is Founding President of Macro Finance Society, which is an international academic society devoted to advancing and disseminating high-quality research at the intersection of financial economics and macroeconomics. Before joining Ohio State in 2010, he taught at Stephen M. Ross School of Business at University of Michigan and William E. Simon Graduate School of Business Administration at University of Rochester.
Dr. Zhang’s research focuses on asset pricing, in connection with macroeconomics, corporate finance, labor economics, and capital markets research in accounting. His major contribution is ''The investment CAPM,'' which provides a unified conceptual framework for understanding asset pricing anomalies. As its empirical implementation, ''The q-factor model'' is a leading workhorse factor pricing model in both academia and the investment management industry. His recent theoretical work on "Endogenous disasters" shows how labor market frictions give rise endogenously to economic disasters. Dr. Zhang has published extensively at prestigious academic journals. One chapter of his doctoral thesis "The value premium" won the Smith-Breeden Award for Best Paper for 2005 from American Finance Association and Journal of Finance. His academic research has been frequently featured in prominent media outlets such as The Wall Street Journal, Bloomberg, Shanghai Financial News, and The Economist.
Recent publications include: ''Replicating anomalies'' (with Hou and Xue), Review of Financial Studies, forthcoming; ''Which factors?'' (with Hou, Mo, and Xue), Review of Finance, forthcoming; ''The CAPM strikes back? An equilibrium model with disasters'' (with Bai, Hou, Kung, and Li), Journal of Financial Economics, 2019; ''Endogenous disasters'' (with Petrosky-Nadeau and Kuehn), American Economic Review, 2018; ''The investment CAPM,'' European Financial Management, 2017; “Digesting anomalies: An investment approach” (with Hou and Xue), Review of Financial Studies, 2015; “A neoclassical interpretation of momentum” (with Liu), Journal of Monetary Economics, 2014; “A supply approach to valuation” (with Belo and Xue), Review of Financial Studies, 2013; “The investment manifesto” (with Lin), Journal of Monetary Economics, 2013.
Dr. Zhang has extensive teaching interests and experience at the undergraduate, M.B.A., and Ph.D. levels. He has taught a variety of courses including Investment Management, Derivative Securities, Capital Markets and Investment Strategy, Corporate Finance, Empirical Methodology in Finance, Theory of Finance, and Advanced Asset Pricing. In 2015, he was voted the Outstanding Working Professional MBA Elective Faculty Award recipient at Fisher College of Business, The Ohio State University.
Jiangxi University of Finance and Economics, B.A. in Economics, 1993, University High Honors. The Graduate School of the People’s Bank of China (renamed PBC School of Finance, Tsinghua University), M.S. in Finance, 1996. Washington University in St. Louis, M.A. in Economics, 1997. The Wharton School, University of Pennsylvania, M.A. in Finance, 2000, Ph.D. in Finance, 2002.
Media Impact
''Most reported anomalies fail to hold up,'' my interview with Robeco Quarterly, September 25, 2018 [pdf]
''Factor investing insights you won't hear from Fama and French,'' my interview with Wesley Gray, CEO/CIO, Alpha Architect, July 25, 2018
美国的投资规律是否适用于中国? 伍治坚证据主义, June 27, 2018
不忘初心, 砥砺前行, 清华大学五道口金融学院, June 14, 2018
Replicating anomalies in the Chinese A-share market, in Chinese, 新浪财经, 东北金工研究, March 7, 2018
Will a falling stock market take the job market along with it on the way down? by Martha C. White, NBCNews.com, February 9, 2018
''Factor investing” gains popularity,'' The Economist, February 1, 2018 [pdf]
The value effect and macroeconomic risk, alphaarchitect.com, by Larry Swedroe, January 9, 2018
Podcast interview: The economics of value investing (价值投资经济学), in Chinese, by Zhijian Wu, CEO, Woodsford Capital Management, Zhijian’s Evidentialist Channel (伍治坚证据主义) [transcript]
A reality check on stock-market ‘anomalies’, by Wesley Gray, The Wall Street Journal, November 5, 2017 [pdf]
Asset type matters with factors, ETF.com, by Larry Swedroe, October 30, 2017
Want to learn more about factor investing? Read this, ValueWalk.com, by Alpha Architect, October 26, 2017
''Factor investing conversation with Lu Zhang,'' my interview with Wesley Gray, CEO/CIO, Alpha Architect, LLC, October 26, 2017
Takeaways from a non-phd who powered through a 144-page factor investing paper, alphaarchitect.com, by Ryan Kirlin, October 25, 2017
447种股票异常, 你看花眼了吗?! In Chinese, 网易, 理财纪
Retesting investment anomalies with Dr. Lu Zhang, by Jeremy Schwartz, wisdomtree.com, October 17, 2017
Replicating anomalies, ValueWalk.com, October 15, 2017
Behind the Markets on Wharton Business Radio, hosted by Jeremy Schwartz and Wesley Gray, October 13, 2017
Replicating anomalies, alphaarchitect.com, by Wesley Gray, October 13, 2017
A 5 factor evaluation, ETF.com, by Larry Swedroe, September 25, 2017
Replicating anomalies, hedge.lu.com, July 3, 2017
Attention aux fake strategies smart beta, Associés en Finance, in French, June 30, 2017
Replicating anomalies in financial markets with Hou, Xue, and Zhang, The Economics Detective Radio, June 30, 2017
Bursting the big data bubble…. with theory, RealClearAgriculture.com, June 23, 2017
Replicating scientific research: Ugly truth, True Economics, June 16, 2017
Hou, Xue, and Zhang: Replication controversies in finance and accounting, The Replication Network, June 14, 2017
Financial anomalies are contingent on being unknown, Statistical Modeling, Causal Inference, and Social Science, June 10, 2017
Are markets efficient if you are a particle physicist? Prof. Jayanth R. Varma’s Financial Markets Blog, June 7, 2017
Mast investment letter, Mast Investment Advisors LLC, June 2017
My smart beta ETF premised on cats rang up an 849,751% return, Bloomberg
Reexamining accepted market wisdom, TwoPlusTwo Magazine
E’ possibile battere il mercato? Finanzaoperativa.com
One by one, the anti-EMH arguments collapse, TheMoneyIllusion.com
“What’d You Miss?” (57:29), Bloomberg, May 24, 2017
A practical approach to factor-based investing, The Globe and Mail, May 23, 2017
Most stock anomalies fake news? CXO Advisory, May 23, 2017
All about microcaps, Daily Speculations, May 23, 2017
Problems with the factor zoo, by Larry Swedroe, ETF.com, May 19, 2017
How well do anomalies in finance and accounting replicate? The Replication Network
P-hacking versus skin in the game: How can understanding incentive structures help us think about market efficiency? Episodeblog.com, Allocationblog.com
Weekly top 5 papers – May 15th 2017, The SSRN Blog
P-hacking in anomaly research, Diary of Imaginary, in Japanese
Most supposed market anomalies don’t exist, or are too small to matter, FamilyWealth news, May 15, 2017
Which anomalies are legit? Portfolio123.com
Kicking the tires of market anomalies, by James Mackintosh, The Wall Street Journal, Business & Finance B1-B2, May 12, 2017 [pdf]
When researchers and investors walk into a bar, the investors get hammered, by Jason Zweig, The Wall Street Journal, May 12, 2017 [pdf]
Active manager lags despite research, by Larry Swedroe, ETF.com, May 12, 2017
WSJ: Most market anomalies academics have identified don’t exist, Bogleheads.org
An algorithm, an ETF and an academic study walk into a bar, by James Mackintosh, The Wall Street Journal, May 11, 2017 [pdf]
Ivory tower wonks help traders make a quick buck, by Noah Smith, Bloomberg, May 11, 2017 [pdf]
Cleaning out the factor zoo, by James Picerno, The Capital Spectator, May 11, 2017, Investing.com, May 11, 2017, Seeking Alpha, May 12, 2017
Half anomalies are fantasy of the discoverers, IEXProfs, in Dutch, May 11, 2017
Do you think behavioral anomalies will persist? Bogleheads.org
Do trading costs destroy factor investing? ValueWalk.com
Anomalies, pitches, and promises, by Matt Levine, Bloomberg, May 9, 2017 [pdf]
Research paper says most market anomalies are imaginary, by Eric Weiner, The Globe and Mail, May 9, 2017
Forget factors, paper says most market anomalies are imaginary, by Eric Weiner, Bloomberg, May 9, 2017 [pdf]
A new paper just took a huge shot at some of the world’s hottest investments, by Eric Weiner, Bloomberg, May 8, 2017 [pdf]
Market anomalies fail to replicate, MarginalRevolution.com
Replicating anomalies, No Hesitations
How to make trouble, Anti-Dismal.com
Financial research, data mining, and star wars (金融研究，数据挖掘与星球大战), in Chinese, 辍耕录
投资CAPM, Diary of Imaginary, in Japanese, March 16, 2017
Factor investing is more art, and less science, by Wesley Gray, Alpha architect, February 3, 2017
A new four-factor investing model, by Larry Swedroe, BAM Intelligence, June 22, 2016
Applications of quantitative investment models in asset management (量化投资模型在资产管理中的策略与应用), in Chinese, 陆想汇, 雪球, June 17, 2016
Lu Zhang: The q-factor model can be used in quantitative investment management (张橹: q-因子模型可用于量化投资管理), in Chinese, Shanghai Financial News (上海金融报), June 17, 2016
The academic finance papers that changed my mind, by Wesley Gray, Alpha architect, May 5, 2016
Battle of new factor models, by Larry Swedroe, ETF.com, August 7, 2015
Is outperforming the market alpha or beta? by Larry Swedroe and Andrew Berkin, The AAII Journal, American Association of Individual Investors, June 2015
Using profitability as a factor? Perhaps you should think twice…, by Wesley Gray, Alpha architect, June 10, 2015
Passive investing’s foundations, by Larry Swedroe, ETF.com, December 8, 2014
A new benchmark model for estimating expected stock returns, Oxford University Press, November 12, 2014
Understanding the value premium, by Larry Swedroe, ETF.com, November 12, 2014
Stock anomaly smorgasbord-Wow! by Wesley Gray, Alpha architect, November 7, 2014
Improving on Fama-French, by Larry Swedroe, ETF.com, March 21, 2014
Challenge to the Fama French three factor model, Bogleheads.org
The expected value premium, CFA Institute Publications
Explaining the value premium, Index Fund Advisors, February 11, 2002
The countercyclical value premium? CXO Advisory
Is value riskier than growth? Edhec-Risk
The value of value, Advisor Perspectives
Smart beta: Strategies and implementation, PNC.com
Factor investing, tickrz.com
Value investing: Timeless reading, ValueWalk.com
Dr. Lu Zhang is The John W. Galbreath Chair, Professor of Finance, at Fisher College of Business, The Ohio State University, as well as Research Associate at National Bureau of Economic Research (Asset Pricing program) and Associate Editor for Journal of Financial Economics and Journal of Financial and Quantitative Analysis. He is Founding President of Macro Finance Society, which is an international academic society devoted to advancing and disseminating high-quality research at the intersection of financial economics and macroeconomics. Before joining Ohio State in 2010, he taught at Stephen M. Ross School of Business at University of Michigan and William E. Simon Graduate School of Business Administration at University of Rochester.
Dr. Zhang’s research focuses on asset pricing, in connection with macroeconomics, corporate finance, labor economics, and capital markets research in accounting. His major contribution is ''The investment CAPM,'' which provides a unified conceptual framework for understanding asset pricing anomalies. As its empirical implementation, ''The q-factor model'' is a leading workhorse factor pricing model in both academia and the investment management industry. His recent theoretical work on "Endogenous disasters" shows how labor market frictions give rise endogenously to economic disasters. Dr. Zhang has published extensively at prestigious academic journals. One chapter of his doctoral thesis "The value premium" won the Smith-Breeden Award for Best Paper for 2005 from American Finance Association and Journal of Finance. His academic research has been frequently featured in prominent media outlets such as The Wall Street Journal, Bloomberg, Shanghai Financial News, and The Economist.
Recent publications include: ''Replicating anomalies'' (with Hou and Xue), Review of Financial Studies, forthcoming; ''Which factors?'' (with Hou, Mo, and Xue), Review of Finance, forthcoming; ''The CAPM strikes back? An equilibrium model with disasters'' (with Bai, Hou, Kung, and Li), Journal of Financial Economics, 2019; ''Endogenous disasters'' (with Petrosky-Nadeau and Kuehn), American Economic Review, 2018; ''The investment CAPM,'' European Financial Management, 2017; “Digesting anomalies: An investment approach” (with Hou and Xue), Review of Financial Studies, 2015; “A neoclassical interpretation of momentum” (with Liu), Journal of Monetary Economics, 2014; “A supply approach to valuation” (with Belo and Xue), Review of Financial Studies, 2013; “The investment manifesto” (with Lin), Journal of Monetary Economics, 2013.
Dr. Zhang has extensive teaching interests and experience at the undergraduate, M.B.A., and Ph.D. levels. He has taught a variety of courses including Investment Management, Derivative Securities, Capital Markets and Investment Strategy, Corporate Finance, Empirical Methodology in Finance, Theory of Finance, and Advanced Asset Pricing. In 2015, he was voted the Outstanding Working Professional MBA Elective Faculty Award recipient at Fisher College of Business, The Ohio State University.
Jiangxi University of Finance and Economics, B.A. in Economics, 1993, University High Honors. The Graduate School of the People’s Bank of China (renamed PBC School of Finance, Tsinghua University), M.S. in Finance, 1996. Washington University in St. Louis, M.A. in Economics, 1997. The Wharton School, University of Pennsylvania, M.A. in Finance, 2000, Ph.D. in Finance, 2002.
Media Impact
''Most reported anomalies fail to hold up,'' my interview with Robeco Quarterly, September 25, 2018 [pdf]
''Factor investing insights you won't hear from Fama and French,'' my interview with Wesley Gray, CEO/CIO, Alpha Architect, July 25, 2018
美国的投资规律是否适用于中国? 伍治坚证据主义, June 27, 2018
不忘初心, 砥砺前行, 清华大学五道口金融学院, June 14, 2018
Replicating anomalies in the Chinese A-share market, in Chinese, 新浪财经, 东北金工研究, March 7, 2018
Will a falling stock market take the job market along with it on the way down? by Martha C. White, NBCNews.com, February 9, 2018
''Factor investing” gains popularity,'' The Economist, February 1, 2018 [pdf]
The value effect and macroeconomic risk, alphaarchitect.com, by Larry Swedroe, January 9, 2018
Podcast interview: The economics of value investing (价值投资经济学), in Chinese, by Zhijian Wu, CEO, Woodsford Capital Management, Zhijian’s Evidentialist Channel (伍治坚证据主义) [transcript]
A reality check on stock-market ‘anomalies’, by Wesley Gray, The Wall Street Journal, November 5, 2017 [pdf]
Asset type matters with factors, ETF.com, by Larry Swedroe, October 30, 2017
Want to learn more about factor investing? Read this, ValueWalk.com, by Alpha Architect, October 26, 2017
''Factor investing conversation with Lu Zhang,'' my interview with Wesley Gray, CEO/CIO, Alpha Architect, LLC, October 26, 2017
Takeaways from a non-phd who powered through a 144-page factor investing paper, alphaarchitect.com, by Ryan Kirlin, October 25, 2017
447种股票异常, 你看花眼了吗?! In Chinese, 网易, 理财纪
Retesting investment anomalies with Dr. Lu Zhang, by Jeremy Schwartz, wisdomtree.com, October 17, 2017
Replicating anomalies, ValueWalk.com, October 15, 2017
Behind the Markets on Wharton Business Radio, hosted by Jeremy Schwartz and Wesley Gray, October 13, 2017
Replicating anomalies, alphaarchitect.com, by Wesley Gray, October 13, 2017
A 5 factor evaluation, ETF.com, by Larry Swedroe, September 25, 2017
Replicating anomalies, hedge.lu.com, July 3, 2017
Attention aux fake strategies smart beta, Associés en Finance, in French, June 30, 2017
Replicating anomalies in financial markets with Hou, Xue, and Zhang, The Economics Detective Radio, June 30, 2017
Bursting the big data bubble…. with theory, RealClearAgriculture.com, June 23, 2017
Replicating scientific research: Ugly truth, True Economics, June 16, 2017
Hou, Xue, and Zhang: Replication controversies in finance and accounting, The Replication Network, June 14, 2017
Financial anomalies are contingent on being unknown, Statistical Modeling, Causal Inference, and Social Science, June 10, 2017
Are markets efficient if you are a particle physicist? Prof. Jayanth R. Varma’s Financial Markets Blog, June 7, 2017
Mast investment letter, Mast Investment Advisors LLC, June 2017
My smart beta ETF premised on cats rang up an 849,751% return, Bloomberg
Reexamining accepted market wisdom, TwoPlusTwo Magazine
E’ possibile battere il mercato? Finanzaoperativa.com
One by one, the anti-EMH arguments collapse, TheMoneyIllusion.com
“What’d You Miss?” (57:29), Bloomberg, May 24, 2017
A practical approach to factor-based investing, The Globe and Mail, May 23, 2017
Most stock anomalies fake news? CXO Advisory, May 23, 2017
All about microcaps, Daily Speculations, May 23, 2017
Problems with the factor zoo, by Larry Swedroe, ETF.com, May 19, 2017
How well do anomalies in finance and accounting replicate? The Replication Network
P-hacking versus skin in the game: How can understanding incentive structures help us think about market efficiency? Episodeblog.com, Allocationblog.com
Weekly top 5 papers – May 15th 2017, The SSRN Blog
P-hacking in anomaly research, Diary of Imaginary, in Japanese
Most supposed market anomalies don’t exist, or are too small to matter, FamilyWealth news, May 15, 2017
Which anomalies are legit? Portfolio123.com
Kicking the tires of market anomalies, by James Mackintosh, The Wall Street Journal, Business & Finance B1-B2, May 12, 2017 [pdf]
When researchers and investors walk into a bar, the investors get hammered, by Jason Zweig, The Wall Street Journal, May 12, 2017 [pdf]
Active manager lags despite research, by Larry Swedroe, ETF.com, May 12, 2017
WSJ: Most market anomalies academics have identified don’t exist, Bogleheads.org
An algorithm, an ETF and an academic study walk into a bar, by James Mackintosh, The Wall Street Journal, May 11, 2017 [pdf]
Ivory tower wonks help traders make a quick buck, by Noah Smith, Bloomberg, May 11, 2017 [pdf]
Cleaning out the factor zoo, by James Picerno, The Capital Spectator, May 11, 2017, Investing.com, May 11, 2017, Seeking Alpha, May 12, 2017
Half anomalies are fantasy of the discoverers, IEXProfs, in Dutch, May 11, 2017
Do you think behavioral anomalies will persist? Bogleheads.org
Do trading costs destroy factor investing? ValueWalk.com
Anomalies, pitches, and promises, by Matt Levine, Bloomberg, May 9, 2017 [pdf]
Research paper says most market anomalies are imaginary, by Eric Weiner, The Globe and Mail, May 9, 2017
Forget factors, paper says most market anomalies are imaginary, by Eric Weiner, Bloomberg, May 9, 2017 [pdf]
A new paper just took a huge shot at some of the world’s hottest investments, by Eric Weiner, Bloomberg, May 8, 2017 [pdf]
Market anomalies fail to replicate, MarginalRevolution.com
Replicating anomalies, No Hesitations
How to make trouble, Anti-Dismal.com
Financial research, data mining, and star wars (金融研究，数据挖掘与星球大战), in Chinese, 辍耕录
投资CAPM, Diary of Imaginary, in Japanese, March 16, 2017
Factor investing is more art, and less science, by Wesley Gray, Alpha architect, February 3, 2017
A new four-factor investing model, by Larry Swedroe, BAM Intelligence, June 22, 2016
Applications of quantitative investment models in asset management (量化投资模型在资产管理中的策略与应用), in Chinese, 陆想汇, 雪球, June 17, 2016
Lu Zhang: The q-factor model can be used in quantitative investment management (张橹: q-因子模型可用于量化投资管理), in Chinese, Shanghai Financial News (上海金融报), June 17, 2016
The academic finance papers that changed my mind, by Wesley Gray, Alpha architect, May 5, 2016
Battle of new factor models, by Larry Swedroe, ETF.com, August 7, 2015
Is outperforming the market alpha or beta? by Larry Swedroe and Andrew Berkin, The AAII Journal, American Association of Individual Investors, June 2015
Using profitability as a factor? Perhaps you should think twice…, by Wesley Gray, Alpha architect, June 10, 2015
Passive investing’s foundations, by Larry Swedroe, ETF.com, December 8, 2014
A new benchmark model for estimating expected stock returns, Oxford University Press, November 12, 2014
Understanding the value premium, by Larry Swedroe, ETF.com, November 12, 2014
Stock anomaly smorgasbord-Wow! by Wesley Gray, Alpha architect, November 7, 2014
Improving on Fama-French, by Larry Swedroe, ETF.com, March 21, 2014
Challenge to the Fama French three factor model, Bogleheads.org
The expected value premium, CFA Institute Publications
Explaining the value premium, Index Fund Advisors, February 11, 2002
The countercyclical value premium? CXO Advisory
Is value riskier than growth? Edhec-Risk
The value of value, Advisor Perspectives
Smart beta: Strategies and implementation, PNC.com
Factor investing, tickrz.com
Value investing: Timeless reading, ValueWalk.com