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Exploring asset pricing anomalies

Zhang, Lu - In: NBER reporter online (2014) 1, pp. 17-19

Persistent link: https://www.econbiz.de/10011368742

Equilibrium stock return dynamics under alternative rules of learning about hidden states

Brandt, Michael W.; Zeng, Qi; Zhang, Lu - In: Journal of economic dynamics & control 28 (2004) 10, pp. 1925-1954

Persistent link: https://www.econbiz.de/10002099538

Equilibrium cross section of returns

Gomes Neto, João Batista F.; Kogan, Leonid; Zhang, Lu - In: Journal of political economy 111 (2003) 4, pp. 693-732

Persistent link: https://www.econbiz.de/10001786306

Expected returns, yield spreads, and asset pricing tests

Campbello, Murillo; Chen, Long; Zhang, Lu - 2005

Persistent link: https://www.econbiz.de/10002823463

Equilibrium cross-section of returns

Gomes, Joao (contributor); Kogan, Leonid (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002006966

The stock market and aggregate employment

Chen, Long; Zhang, Lu - 2009

Persistent link: https://www.econbiz.de/10003875812

Equity market volatility and expected risk premium

Chen, Long (contributor); Guo, Hui (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003739618

Expected returns, yield spreads, and asset pricing tests

Campello, Murillo; Chen, Long; Zhang, Lu - In: The review of financial studies 21 (2008) 3, pp. 1297-1338

Persistent link: https://www.econbiz.de/10003742247

Is value riskier than growth?

Petkova, Ralitsa; Zhang, Lu - In: Journal of financial economics 78 (2005) 1, pp. 187-202

Persistent link: https://www.econbiz.de/10003127880

Anomalies

Zhang, Lu - 2010

I construct a neoclassical, Q-theoretical foundation for time-varying expected returns in connection with corporate policies and events. Under certain conditions, stock return equals investment return, which is directly tied with firm characteristics. This single equation is shown analytically...

Persistent link: https://www.econbiz.de/10012762464