''History, if viewed as a repository for more than anecdote or chronology, could produce
a decisive transformation in the image of science by which we are now possessed.''
(Thomas S. Kuhn, 1962)
a decisive transformation in the image of science by which we are now possessed.''
(Thomas S. Kuhn, 1962)
Introduction
Research area: Asset pricing, applied theoretical and empirical, in connection with macroeconomics, corporate finance, labor economics, computational economics, capital markets research in accounting, microeconometrics, cliometrics, history of economic thought, and philosophy of economics
My latest CV (9/2021), Google Scholar, SSRN, global-q data library, and YouTube
My unique, big-picture perspective of asset pricing, which differs drastically from both the consumption CAPM and behavioral finance, is elaborated in my 2017 article "The Investment CAPM" at European Financial Management. See keynote: The Investment CAPM: Latest Developments (YouTube) at the Swedish House of Finance (SHoF) Conference on ''Financial Markets and Corporate Decisions," Stockholm School of Economics, August 2019, Stockholm, Sweden; my 2020 article Q-factors and investment CAPM at Oxford Research Encyclopedia of Economics and Finance, q-factors and investment CAPM, by Tyler Cowen, Marginal Revolution, December 13, 2019, Another take on q-factors and investment CAPM, by Tyler Cowen, Marginal Revolution, December 14, 2019; my keynote: The supply theory of asset pricing at 2nd Annual Conference on ''Corporate Policies and Asset Prices,'' Cass Business School, University of London, December 2018, London, UK; and 2014 research summary: Exploring asset pricing anomalies, NBER Reporter.
My keynote: Toward a theory of everything? (YouTube) at the 6th Annual UConn Finance Conference, May 21, 2021. This talk summarizes my scientific research program that aims to explain the equity premium in general equilibrium production economies, by integrating macro labor with asset pricing.
My five representative articles:
My Ph.D. dissertation, 2002, Essays on the cross-section of returns, The Wharton School, University of Pennsylvania.
Research area: Asset pricing, applied theoretical and empirical, in connection with macroeconomics, corporate finance, labor economics, computational economics, capital markets research in accounting, microeconometrics, cliometrics, history of economic thought, and philosophy of economics
My latest CV (9/2021), Google Scholar, SSRN, global-q data library, and YouTube
My unique, big-picture perspective of asset pricing, which differs drastically from both the consumption CAPM and behavioral finance, is elaborated in my 2017 article "The Investment CAPM" at European Financial Management. See keynote: The Investment CAPM: Latest Developments (YouTube) at the Swedish House of Finance (SHoF) Conference on ''Financial Markets and Corporate Decisions," Stockholm School of Economics, August 2019, Stockholm, Sweden; my 2020 article Q-factors and investment CAPM at Oxford Research Encyclopedia of Economics and Finance, q-factors and investment CAPM, by Tyler Cowen, Marginal Revolution, December 13, 2019, Another take on q-factors and investment CAPM, by Tyler Cowen, Marginal Revolution, December 14, 2019; my keynote: The supply theory of asset pricing at 2nd Annual Conference on ''Corporate Policies and Asset Prices,'' Cass Business School, University of London, December 2018, London, UK; and 2014 research summary: Exploring asset pricing anomalies, NBER Reporter.
My keynote: Toward a theory of everything? (YouTube) at the 6th Annual UConn Finance Conference, May 21, 2021. This talk summarizes my scientific research program that aims to explain the equity premium in general equilibrium production economies, by integrating macro labor with asset pricing.
My five representative articles:
- Replicating anomalies (with Hou and Xue, 2020). Review of Financial Studies. Most anomalies fail to replicate | Lecture notes | YouTube
- Endogenous disasters (with Petrosky-Nadeau and Kuehn, 2018). American Economic Review. Market economies are intrinsically unstable | Lecture notes | YouTube
- Digesting anomalies: An investment approach (with Hou and Xue, 2015). Review of Financial Studies. The q-factor model largely summarizes the cross section of average stock returns | Lecture notes | YouTube
- Investment-based expected stock returns (with Liu and Whited, 2009). Journal of Political Economy. Structurally estimating the investment CAPM | Lecture notes | YouTube
- The value premium (2005). Journal of Finance. The first RBC model for the cross section of returns | Lecture notes | YouTube
My Ph.D. dissertation, 2002, Essays on the cross-section of returns, The Wharton School, University of Pennsylvania.
Working Papers
Hou, Kewei, Haitao Mo, Chen Xue, and Lu Zhang, 2021, The economics of security analysis. Slides | The investment theory, in which expected returns vary cross-sectionally with investment, profitability, and expected growth, is a good start to reconciling Graham and Dodd (1934) within efficient markets. | What happened to price-to-book ratio in value investing? Nir Kaissar, Bloomberg, July 21, 2021
Bai, Hang, Erica X. N. Li, Chen Xue, and Lu Zhang, 2019, Does costly reversibility matter for U.S. public firms? Slides | The firm-level evidence on costly reversibility is even stronger than the prior evidence at the plant level.
Zhang, Lu, 2005, Anomalies, NBER working paper 11322 | Runner-up, Best Paper Award at the 2005 Utah Winter Finance Conference | An economic explanation for why investment and profitability play a fundamental role in the cross section of expected returns.
Hou, Kewei, Haitao Mo, Chen Xue, and Lu Zhang, 2021, The economics of security analysis. Slides | The investment theory, in which expected returns vary cross-sectionally with investment, profitability, and expected growth, is a good start to reconciling Graham and Dodd (1934) within efficient markets. | What happened to price-to-book ratio in value investing? Nir Kaissar, Bloomberg, July 21, 2021
Bai, Hang, Erica X. N. Li, Chen Xue, and Lu Zhang, 2019, Does costly reversibility matter for U.S. public firms? Slides | The firm-level evidence on costly reversibility is even stronger than the prior evidence at the plant level.
Zhang, Lu, 2005, Anomalies, NBER working paper 11322 | Runner-up, Best Paper Award at the 2005 Utah Winter Finance Conference | An economic explanation for why investment and profitability play a fundamental role in the cross section of expected returns.
Publications
[All articles are the sole copyright of the respective publishers. Materials are provided for educational use only.]
2021
Bai, Hang, and Lu Zhang, Searching for the equity premium, forthcoming, Journal of Financial Economics. The Internet Appendix | Lecture notes | YouTube
Hou, Kewei, Haitao Mo, Chen Xue, and Lu Zhang, An augmented q-factor model with expected growth, Review of Finance 25 (1), 1-41. Editor's Choice, lead article | Supplementary appendix | Lecture notes | Keynote at 5th AP2-CFF Conference on "Can Financial Research Be Used in the Finance Industry?" University of Gothenburg, Sweden | Finalist, 2021 Spangler-IQAM Prize for best investments paper published in Review of Finance | Building a better q-factor asset pricing model, Larry Swedroe, alpha architect blog, April 22, 2021 | q-factors data library | YouTube
Petrosky-Nadeau, Nicolas, and Lu Zhang, Unemployment crises, Journal of Monetary Economics 117, 335-353. The Internet Appendix | Historical series of U.S. unemployment rates, vacancy rates, and labor productivity | Unemployment worst since Depression era, by Heather Long and Andrew Van Dam, The Washington Post, May 9, 2020 | Few precedents for grim US jobless numbers, by Brooke Fox and Steven Bernard, Financial Times, May 9, 2020
2020
Zhang, Lu, Q-factors and investment CAPM, in Oxford Research Encyclopedia of Economics and Finance, Oxford University Press. doi: https://doi.org/10.1093/acrefore/9780190625979.013.593 | q-factors and investment CAPM, by Tyler Cowen, Marginal Revolution, December 13, 2019 | Another take on q-factors and investment CAPM, by Tyler Cowen, Marginal Revolution, December 14, 2019 | q-factors data library
Goncalves, Andrei S., Chen Xue, and Lu Zhang, Aggregation, capital heterogeneity, and the investment CAPM, Review of Financial Studies 33 (6), 2728-2771. The Internet Appendix | Lecture notes | YouTube
Hou, Kewei, Chen Xue, and Lu Zhang, Replicating anomalies, Review of Financial Studies 33 (5), 2019-2133. The Internet Appendix | Lecture notes | YouTube | Slides at NBER Long-term Asset Management Conference, May 2018 | Keynote at the 2017 Autumn Inquire Europe Symposium on ''Advances in Factor Investing,'' October 2017 | Second Prize, the 2017 Chicago Quantitative Alliance Academic Competition | Professor has some questions about your index funds, by Nir Kaissar, Bloomberg, December 24, 2018 | A reality check on stock-market 'anomalies,' by Wesley Gray, The Wall Street Journal, November 5, 2017 | When researchers and investors walk into a bar, the investors get hammered, by Jason Zweig, The Wall Street Journal, May 12, 2017 | An algorithm, an ETF and an academic study walk into a bar, by James Mackintosh, The Wall Street Journal, May 11, 2017 | Anomalies, pitches and promises, by Matt Levine, Bloomberg, May 9, 2017 | A new paper just took a huge shot at some of the world's hottest investments, by Eric Weiner, Bloomberg, May 8, 2017 | q-factors data library
2019
Bai, Hang, Kewei Hou, Howard Kung, Erica X. N. Li, and Lu Zhang, The CAPM strikes back? An equilibrium model with disasters, Journal of Financial Economics 131 (2), 269-298. Lecture notes | YouTube
Hou, Kewei, Haitao Mo, Chen Xue, and Lu Zhang, Which factors? Review of Finance 23 (1), 1-35. Editor's Choice, lead article | Supplementary appendix | Lecture notes | YouTube | 2019 Spängler IQAM Best Paper Prize for the best investments paper published in Review of Finance, European Finance Association | one of top 10 highly cited articles published at Review of Finance in 2018-2019 | Second Prize, the 2015 Chicago Quantitative Alliance Academic Competition | Swedroe: Battle of new factor models, ETF.com | q-factors data library
2018
Petrosky-Nadeau, Nicolas, Lu Zhang, and Lars-Alexander Kuehn, Endogenous disasters, American Economic Review 108 (8), 2212-2245. The Internet Appendix | Lecture notes | Data and codes | YouTube
2017
Zhang, Lu, The investment CAPM, European Financial Management 23 (4), 545-603. Lead article | Lecture notes | Keynote at the European Financial Management Symposium on "Finance and Real Economy," April 2017, Xiamen, China | Keynote on "The Investment CAPM: An Update" at "Merton H. Miller" EFM 2018 Doctoral Seminar, June 2018, Milan, Italy | Keynote at 2nd Annual Conference on ''Corporate Policies and Asset Prices,'' Cass Business School, City, University of London, December 2018, London, UK | Keynote on "The Investment CAPM: Latest Developments" (YouTube) at the Swedish House of Finance (SHoF) Conference on ''Financial Markets and Corporate Decisions," Stockholm School of Economics, August 2019, Stockholm, Sweden | Another take on q-factors and investment CAPM, by Tyler Cowen, Marginal Revolution, December 14, 2019
Petrosky-Nadeau, Nicolas, and Lu Zhang, Solving the Diamond-Mortensen-Pissarides model accurately, Quantitative Economics 8 (2), 611-650. Lecture notes | Codes | YouTube
2016
Zhang, Lu, Factors war, Tsinghua Financial Review 37, 101-104 in Chinese | q-factors data library
2015
Hou, Kewei, Chen Xue, and Lu Zhang, Digesting anomalies: An investment approach, Review of Financial Studies 28 (3), 650-705. Editor's Choice, lead article | The Internet Appendix | Lecture notes | YouTube | Oxford University Press blog: A new benchmark for estimating expected stock returns | Swedroe: Passive investing's foundations, ETF.com | Most cited RFS paper published in 2015 | | q-factors data library
2014
Liu, Laura Xiaolei, and Lu Zhang, 2014, A neoclassical interpretation of momentum, Journal of Monetary Economics 67, 109-128. Lecture notes
Tang, Yue, Jin (Ginger) Wu, and Lu Zhang, Do anomalies exist ex ante? Review of Finance 18 (3), 843-875. Lead article.
2013
Belo, Frederico, Chen Xue, and Lu Zhang, A supply approach to valuation, Review of Financial Studies 26 (12), 3029-3067. The Internet Appendix | Lecture notes
Lin, Xiaoji, and Lu Zhang, The investment manifesto, Journal of Monetary Economics 60 (3), 351-366. Lecture notes
2011
Gulen, Huseyin, Yuhang Xing, and Lu Zhang, Value versus growth: Time-varying expected stock returns, Financial Management 40 (2), 381-407.
Chen, Long, and Lu Zhang, Do time-varying risk premiums explain labor market performance? Journal of Financial Economics 99 (2), 385-399.
2010
Li, Dongmei, and Lu Zhang, Does q-theory with investment frictions explain anomalies in the cross-section of returns? Journal of Financial Economics 98 (2), 297-314. Lecture notes
Wu, Jin (Ginger), Lu Zhang, and X. Frank Zhang, The q-theory approach to understanding the accrual anomaly, Journal of Accounting Research 48 (1), 177-223.
2009
Liu, Laura Xiaolei, Toni M. Whited, and Lu Zhang, Investment-based expected stock returns, Journal of Political Economy 117 (6), 1105-1139. The Internet Appendix | Gauss programs and data | Matlab programs and data | Lecture notes | YouTube
Li, Erica X. N., Dmitry Livdan, and Lu Zhang, Anomalies, Review of Financial Studies 22 (11), 4301-4334. Lead article | Lecture notes
Livdan, Dmitry, Horacio Sapriza, and Lu Zhang, Financially constrained stock returns, Journal of Finance 64 (4), 1827-1862. Lecture notes
2008
Liu, Laura Xiaolei, and Lu Zhang, Momentum profits, factor pricing, and macroeconomic risk, Review of Financial Studies 21 (6), 2417-2448.
Lyandres, Evgeny, Le Sun, and Lu Zhang, The new issues puzzle: Testing the investment-based explanation, Review of Financial Studies 21 (6), 2825-2855. Runner-up, Barclays Global Investors Award for the Best Conference Paper at the 2005 European Finance Association Annual Meetings
Liu, Naiping, and Lu Zhang, Is the value spread a useful predictor of returns? Journal of Financial Markets 11 (3), 199-227.
Campello, Murillo, Long Chen, and Lu Zhang, Expected returns, yield spreads, and asset pricing tests, Review of Financial Studies 21 (3), 1297-1338.
Chen, Long, Ralitsa Petkova, and Lu Zhang, The expected value premium, Journal of Financial Economics 87 (2), 269-280.
2006
Gomes, Joao F., Amir Yaron, and Lu Zhang, Asset pricing implications of firms' financing constraints, Review of Financial Studies 19 (4), 1321-1356.
2005
Petkova, Ralitsa, and Lu Zhang, Is value riskier than growth? Journal of Financial Economics 78 (1), 187-202. Discussion in Bodie, Kane, and Marcus, 2018, Investments, 11th edition.
Zhang, Lu, The value premium, Journal of Finance 60 (1), 67-103. Lecture notes | YouTube | First Prize, Smith-Breeden Award for Best Paper in 2005 from Journal of Finance and American Finance Association | Matlab and Fortran 90 programs | Discussion in Bodie, Kane, and Marcus, 2018, Investments, 11th edition | One of the 25 most cited articles in Journal of Finance since 2004 | The 4th most highly cited article in the literature on anomalies and fundamental analysis since 2000 with the highest average number of citations per year per Richardson, Tuna, and Wysocki (2010) | Swedroe: Understanding the value premium
2004
Brandt, Michael W., Qi Zeng, and Lu Zhang, Equilibrium stock return dynamics under alternative rules of learning about hidden states, Journal of Economic Dynamics and Control 28 (10), 1925-1954. Lead article.
2003
Gomes. Joao F., Amir Yaron, and Lu Zhang, Asset prices and business cycles with costly external finance, Review of Economic Dynamics 6 (4), 767-788.
Gomes, Joao F., Leonid Kogan, and Lu Zhang, Equilibrium cross section of returns, Journal of Political Economy 111 (4), 693-732. Lead article | Matlab programs | Erratum | Reprinted in ''Stephen A. Ross, Mentor: Influence Through Generations,'' ed. Mark Grinblatt, McGraw-Hill Irwin, 2008
[All articles are the sole copyright of the respective publishers. Materials are provided for educational use only.]
2021
Bai, Hang, and Lu Zhang, Searching for the equity premium, forthcoming, Journal of Financial Economics. The Internet Appendix | Lecture notes | YouTube
Hou, Kewei, Haitao Mo, Chen Xue, and Lu Zhang, An augmented q-factor model with expected growth, Review of Finance 25 (1), 1-41. Editor's Choice, lead article | Supplementary appendix | Lecture notes | Keynote at 5th AP2-CFF Conference on "Can Financial Research Be Used in the Finance Industry?" University of Gothenburg, Sweden | Finalist, 2021 Spangler-IQAM Prize for best investments paper published in Review of Finance | Building a better q-factor asset pricing model, Larry Swedroe, alpha architect blog, April 22, 2021 | q-factors data library | YouTube
Petrosky-Nadeau, Nicolas, and Lu Zhang, Unemployment crises, Journal of Monetary Economics 117, 335-353. The Internet Appendix | Historical series of U.S. unemployment rates, vacancy rates, and labor productivity | Unemployment worst since Depression era, by Heather Long and Andrew Van Dam, The Washington Post, May 9, 2020 | Few precedents for grim US jobless numbers, by Brooke Fox and Steven Bernard, Financial Times, May 9, 2020
2020
Zhang, Lu, Q-factors and investment CAPM, in Oxford Research Encyclopedia of Economics and Finance, Oxford University Press. doi: https://doi.org/10.1093/acrefore/9780190625979.013.593 | q-factors and investment CAPM, by Tyler Cowen, Marginal Revolution, December 13, 2019 | Another take on q-factors and investment CAPM, by Tyler Cowen, Marginal Revolution, December 14, 2019 | q-factors data library
Goncalves, Andrei S., Chen Xue, and Lu Zhang, Aggregation, capital heterogeneity, and the investment CAPM, Review of Financial Studies 33 (6), 2728-2771. The Internet Appendix | Lecture notes | YouTube
Hou, Kewei, Chen Xue, and Lu Zhang, Replicating anomalies, Review of Financial Studies 33 (5), 2019-2133. The Internet Appendix | Lecture notes | YouTube | Slides at NBER Long-term Asset Management Conference, May 2018 | Keynote at the 2017 Autumn Inquire Europe Symposium on ''Advances in Factor Investing,'' October 2017 | Second Prize, the 2017 Chicago Quantitative Alliance Academic Competition | Professor has some questions about your index funds, by Nir Kaissar, Bloomberg, December 24, 2018 | A reality check on stock-market 'anomalies,' by Wesley Gray, The Wall Street Journal, November 5, 2017 | When researchers and investors walk into a bar, the investors get hammered, by Jason Zweig, The Wall Street Journal, May 12, 2017 | An algorithm, an ETF and an academic study walk into a bar, by James Mackintosh, The Wall Street Journal, May 11, 2017 | Anomalies, pitches and promises, by Matt Levine, Bloomberg, May 9, 2017 | A new paper just took a huge shot at some of the world's hottest investments, by Eric Weiner, Bloomberg, May 8, 2017 | q-factors data library
2019
Bai, Hang, Kewei Hou, Howard Kung, Erica X. N. Li, and Lu Zhang, The CAPM strikes back? An equilibrium model with disasters, Journal of Financial Economics 131 (2), 269-298. Lecture notes | YouTube
Hou, Kewei, Haitao Mo, Chen Xue, and Lu Zhang, Which factors? Review of Finance 23 (1), 1-35. Editor's Choice, lead article | Supplementary appendix | Lecture notes | YouTube | 2019 Spängler IQAM Best Paper Prize for the best investments paper published in Review of Finance, European Finance Association | one of top 10 highly cited articles published at Review of Finance in 2018-2019 | Second Prize, the 2015 Chicago Quantitative Alliance Academic Competition | Swedroe: Battle of new factor models, ETF.com | q-factors data library
2018
Petrosky-Nadeau, Nicolas, Lu Zhang, and Lars-Alexander Kuehn, Endogenous disasters, American Economic Review 108 (8), 2212-2245. The Internet Appendix | Lecture notes | Data and codes | YouTube
2017
Zhang, Lu, The investment CAPM, European Financial Management 23 (4), 545-603. Lead article | Lecture notes | Keynote at the European Financial Management Symposium on "Finance and Real Economy," April 2017, Xiamen, China | Keynote on "The Investment CAPM: An Update" at "Merton H. Miller" EFM 2018 Doctoral Seminar, June 2018, Milan, Italy | Keynote at 2nd Annual Conference on ''Corporate Policies and Asset Prices,'' Cass Business School, City, University of London, December 2018, London, UK | Keynote on "The Investment CAPM: Latest Developments" (YouTube) at the Swedish House of Finance (SHoF) Conference on ''Financial Markets and Corporate Decisions," Stockholm School of Economics, August 2019, Stockholm, Sweden | Another take on q-factors and investment CAPM, by Tyler Cowen, Marginal Revolution, December 14, 2019
Petrosky-Nadeau, Nicolas, and Lu Zhang, Solving the Diamond-Mortensen-Pissarides model accurately, Quantitative Economics 8 (2), 611-650. Lecture notes | Codes | YouTube
2016
Zhang, Lu, Factors war, Tsinghua Financial Review 37, 101-104 in Chinese | q-factors data library
2015
Hou, Kewei, Chen Xue, and Lu Zhang, Digesting anomalies: An investment approach, Review of Financial Studies 28 (3), 650-705. Editor's Choice, lead article | The Internet Appendix | Lecture notes | YouTube | Oxford University Press blog: A new benchmark for estimating expected stock returns | Swedroe: Passive investing's foundations, ETF.com | Most cited RFS paper published in 2015 | | q-factors data library
2014
Liu, Laura Xiaolei, and Lu Zhang, 2014, A neoclassical interpretation of momentum, Journal of Monetary Economics 67, 109-128. Lecture notes
Tang, Yue, Jin (Ginger) Wu, and Lu Zhang, Do anomalies exist ex ante? Review of Finance 18 (3), 843-875. Lead article.
2013
Belo, Frederico, Chen Xue, and Lu Zhang, A supply approach to valuation, Review of Financial Studies 26 (12), 3029-3067. The Internet Appendix | Lecture notes
Lin, Xiaoji, and Lu Zhang, The investment manifesto, Journal of Monetary Economics 60 (3), 351-366. Lecture notes
2011
Gulen, Huseyin, Yuhang Xing, and Lu Zhang, Value versus growth: Time-varying expected stock returns, Financial Management 40 (2), 381-407.
Chen, Long, and Lu Zhang, Do time-varying risk premiums explain labor market performance? Journal of Financial Economics 99 (2), 385-399.
2010
Li, Dongmei, and Lu Zhang, Does q-theory with investment frictions explain anomalies in the cross-section of returns? Journal of Financial Economics 98 (2), 297-314. Lecture notes
Wu, Jin (Ginger), Lu Zhang, and X. Frank Zhang, The q-theory approach to understanding the accrual anomaly, Journal of Accounting Research 48 (1), 177-223.
2009
Liu, Laura Xiaolei, Toni M. Whited, and Lu Zhang, Investment-based expected stock returns, Journal of Political Economy 117 (6), 1105-1139. The Internet Appendix | Gauss programs and data | Matlab programs and data | Lecture notes | YouTube
Li, Erica X. N., Dmitry Livdan, and Lu Zhang, Anomalies, Review of Financial Studies 22 (11), 4301-4334. Lead article | Lecture notes
Livdan, Dmitry, Horacio Sapriza, and Lu Zhang, Financially constrained stock returns, Journal of Finance 64 (4), 1827-1862. Lecture notes
2008
Liu, Laura Xiaolei, and Lu Zhang, Momentum profits, factor pricing, and macroeconomic risk, Review of Financial Studies 21 (6), 2417-2448.
Lyandres, Evgeny, Le Sun, and Lu Zhang, The new issues puzzle: Testing the investment-based explanation, Review of Financial Studies 21 (6), 2825-2855. Runner-up, Barclays Global Investors Award for the Best Conference Paper at the 2005 European Finance Association Annual Meetings
Liu, Naiping, and Lu Zhang, Is the value spread a useful predictor of returns? Journal of Financial Markets 11 (3), 199-227.
Campello, Murillo, Long Chen, and Lu Zhang, Expected returns, yield spreads, and asset pricing tests, Review of Financial Studies 21 (3), 1297-1338.
Chen, Long, Ralitsa Petkova, and Lu Zhang, The expected value premium, Journal of Financial Economics 87 (2), 269-280.
2006
Gomes, Joao F., Amir Yaron, and Lu Zhang, Asset pricing implications of firms' financing constraints, Review of Financial Studies 19 (4), 1321-1356.
2005
Petkova, Ralitsa, and Lu Zhang, Is value riskier than growth? Journal of Financial Economics 78 (1), 187-202. Discussion in Bodie, Kane, and Marcus, 2018, Investments, 11th edition.
Zhang, Lu, The value premium, Journal of Finance 60 (1), 67-103. Lecture notes | YouTube | First Prize, Smith-Breeden Award for Best Paper in 2005 from Journal of Finance and American Finance Association | Matlab and Fortran 90 programs | Discussion in Bodie, Kane, and Marcus, 2018, Investments, 11th edition | One of the 25 most cited articles in Journal of Finance since 2004 | The 4th most highly cited article in the literature on anomalies and fundamental analysis since 2000 with the highest average number of citations per year per Richardson, Tuna, and Wysocki (2010) | Swedroe: Understanding the value premium
2004
Brandt, Michael W., Qi Zeng, and Lu Zhang, Equilibrium stock return dynamics under alternative rules of learning about hidden states, Journal of Economic Dynamics and Control 28 (10), 1925-1954. Lead article.
2003
Gomes. Joao F., Amir Yaron, and Lu Zhang, Asset prices and business cycles with costly external finance, Review of Economic Dynamics 6 (4), 767-788.
Gomes, Joao F., Leonid Kogan, and Lu Zhang, Equilibrium cross section of returns, Journal of Political Economy 111 (4), 693-732. Lead article | Matlab programs | Erratum | Reprinted in ''Stephen A. Ross, Mentor: Influence Through Generations,'' ed. Mark Grinblatt, McGraw-Hill Irwin, 2008
Other Publications
Zhang, Lu, 2018, Editorial: EFM Special Issues on ''Corporate Policies and Asset Prices,'' European Financial Management 24 (4), 487.
Zhang, Lu, 2014, Exploring asset pricing anomalies, NBER Reporter 1, 17-19.
Zhang, Lu, 2018, Editorial: EFM Special Issues on ''Corporate Policies and Asset Prices,'' European Financial Management 24 (4), 487.
Zhang, Lu, 2014, Exploring asset pricing anomalies, NBER Reporter 1, 17-19.