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“Our lives begin to end the day we become silent about things that matter.”

Martin Luther King, Jr.





Area of concentration: Asset pricing, applied theoretical and empirical, in connection with macroeconomics, corporate finance, labor economics, computational economics, and capital markets research in accounting




[See my Google Scholar page for a quick citation count] [see my SSRN page for early drafts of my work]


Lectures on the investment CAPM | Lecture 1: The q-factor model | Lecture 2: The structural investment CAPM | Lecture 3: Quantitative investment theories | Lecture 4: The big picture: Past, present, and future


Research Summary: Exploring asset pricing anomalies, 2014, NBER Reporter 1, 17-19.


Oxford University Press blog on “A new benchmark model for estimating expected stock returns” | blog: Passive investing’s foundations | blog: Battle of new factor models


The q-factor model, to appear, Tsinghua Financial Review, in Chinese; q-因子模型,《清华金融评论》





Essays on the cross-section of returns, 2002, The Wharton School, University of Pennsylvania



Working Papers


Hou, Kewei, Chen Xue, and Lu Zhang, 2016, A comparison of new factor models. Second Prize, the 22nd Chicago Quantitative Alliance (CQA) Annual Academic Competition | Presentations at the 2015 Arizona State University Sonoran Winter Finance Conference, the 2015 Florida State University SunTrust Beach Conference, the 2015 Rodney L. White Center for Financial Research Conference on Financial Decisions and Asset Market at Wharton, the 7th McGill Global Asset Management Conference, the 2015 Financial Intermediation Research Society Conference, the 2015 Society for Financial Studies Finance Cavalcade, the 2015 University of British Columbia Summer Finance Conference, the 27th Annual Conference on Financial Economics and Accounting | HKUST Finance Symposium 2016 | Internet appendix | Slides | Shortened slides | blog: Battle of new factor models

The Hou, Xue, and Zhang (2015) q-factor model outperforms the Fama-French (2015) five-factor model on both conceptual and empirical grounds.


Zhang, Lu, 2015, The investment CAPM

A new class of Capital Asset Pricing Models arises from the first principle of real investment for individual firms.


Bai, Hang, Kewei Hou, Howard Kung, Erica X. N. Li, and Lu Zhang, 2016, The CAPM strikes back? An investment model with disasters. Slides

An investment model with rare disasters reproduces the failure of the CAPM in explaining the value premium in finite samples in which disasters are not materialized, as well as its relative success in samples in which disasters are materialized.


Petrosky-Nadeau, Nicolas, Lu Zhang, and Lars-Alexander Kuehn, 2015, Endogenous disasters. Slides

The textbook Diamond-Mortensen-Pissarides model of equilibrium unemployment, once solved accurately with a globally nonlinear algorithm, gives rise endogenously to rare disasters. 


Petrosky-Nadeau, Nicolas, and Lu Zhang, 2013, Unemployment crises, presented at NBER SI 2014 Macro Perspectives workshop. Slides

A search and matching model with credible bargaining, when calibrated to the mean and volatility of unemployment in the postwar sample, can potentially explain the unemployment crisis in the Great Depression.


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 stock returns.




[All articles are the sole copyright of the respective publishers. Materials are provided for educational use only]


2016       Petrosky-Nadeau, Nicolas, and Lu Zhang, Solving the DMP model accurately, conditionally accepted, Quantitative Economics.


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 | Internet appendix | Lecture notes | Oxford University Press blog: A new benchmark for estimating expected stock returns | blog: Passive investing’s foundations


2014       Liu, Laura Xiaolei, and Lu Zhang, A neoclassical interpretation of momentum, Journal of Monetary Economics 67, 109-128. Lecture notes


2014       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. Internet appendix | Lecture notes


2013       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.


2011       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


2010      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. Internet appendix | Gauss programs and data | Matlab programs and data | Lecture notes


2009      Li, Erica X. N., Dmitry Livdan, and Lu Zhang, Anomalies, Review of Financial Studies 22 (11), 4301-4334, lead article. Lecture notes


2009      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.  


2008      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.


2008      Liu, Naiping, and Lu Zhang, Is the value spread a useful predictor of returns?, Journal of Financial Markets 11 (3), 199-227.


2008      Campello, Murillo, Long Chen, and Lu Zhang, Expected returns, yield spreads, and asset pricing tests, Review of Financial Studies 21 (3), 1297-1338.


2008      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, 2009, Investments.


2005      Zhang, Lu, The value premium, Journal of Finance 60 (1), 67-103. First Prize, Smith-Breeden Award for 2005 | Matlab and Fortran 90 programs | Discussion in Bodie, Kane, and Marcus, 2009, Investments | 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 according to Richardson, Tuna, and Wysocki (2010) | blog: Understanding the value premium | Lecture notes


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.


2003      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, 2014, Research Summary: Exploring asset pricing anomalies, NBER Reporter 1, 17-19.


Zhang, Lu, 2016, The q-factor model, to appear, Tsinghua Financial Review, in Chinese; q-因子模型,《清华金融评论》.