Lu Zhang

Fisher College of Business
The Ohio State University
2100 Neil Avenue
Columbus, OH 43210
Tel: 585-267-6250

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
NBER Program Affiliations: AP
NBER Affiliation: Research Associate
Institutional Affiliation: Ohio State University

NBER Working Papers and Publications

December 2019Q-factors and Investment CAPM
October 2019Does Costly Reversibility Matter for U.S. Public Firms?
with Hang Bai, Erica X.N. Li, Chen Xue: w26372
July 2019Security Analysis: An Investment Perspective
with Kewei Hou, Haitao Mo, Chen Xue: w26060
June 2018q⁵
with Kewei Hou, Haitao Mo, Chen Xue: w24709
October 2017Does the Investment Model Explain Value and Momentum Simultaneously?
with Andrei S. Gonçalves, Chen Xue: w23910
June 2017The Economics of Value Investing
with Kewei Hou, Haitao Mo, Chen Xue: w23563
May 2017Replicating Anomalies
with Kewei Hou, Chen Xue: w23394

Published: Kewei Hou & Chen Xue & Lu Zhang & Stijn Van Nieuwerburgh, 2020. "Replicating Anomalies," The Review of Financial Studies, vol 33(5), pages 2019-2133.

March 2017The Investment CAPM

Published: Lu Zhang, 2017. "The Investment CAPM," European Financial Management, vol 23(4), pages 545-603. citation courtesy of

March 2015The CAPM Strikes Back? An Investment Model with Disasters
with Hang Bai, Kewei Hou, Howard Kung: w21016
November 2014Which Factors?
with Kewei Hou, Haitao Mo, Chen Xue: w20682

Published: Kewei Hou & Haitao Mo & Chen Xue & Lu Zhang, 2019. "Which Factors?*," Review of Finance, vol 23(1), pages 1-35. citation courtesy of

March 2014Exploring Asset Pricing Anomalies
NBER Reporter 2014 number 1
July 2013Unemployment Crises
with Nicolas Petrosky-Nadeau: w19207

Published: Nicolas Petrosky-Nadeau & Lu Zhang, 2020. "Unemployment Crises," Journal of Monetary Economics, .

Solving the DMP Model Accurately
with Nicolas Petrosky-Nadeau: w19208

Published: Petrosky‐Nadeau, N. and Zhang, L. (2017), Solving the Diamond–Mortensen–Pissarides model accurately. Quantitative Economics, 8: 611-650. doi:10.3982/QE452

October 2012Digesting Anomalies: An Investment Approach
with Kewei Hou, Chen Xue: w18435

Published: Kewei Hou & Chen Xue & Lu Zhang, 2015. "Digesting Anomalies: An Investment Approach," Review of Financial Studies, vol 28(3), pages 650-705.

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

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