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The new issues puzzle : testing the investment-based explanation

Lyandres, Evgeny; Sun, Le; Zhang, Lu - In: The review of financial studies 21 (2008) 6, pp. 2825-2855

Persistent link: https://www.econbiz.de/10003805147

Enhanced disclosure environment and stock dividend/split in China

Wang, Guojun; Wang, Yuetang; Yang, Dan; Zhang, Lu; Zhu, … - In: Applied economics letters 28 (2021) 4, pp. 324-328

Persistent link: https://www.econbiz.de/10012484987

Do Overpaid Dividends Drive Stock Price Crash Risk? Evidence from China

ling, xiaoting; Shan, Yuan George; Wu, Wuqing; Zhang, Lu - 2022

This study is motivated by the research gap concerning cash dividend payouts in China. To fill this gap, we explore the impact of overpaid dividends on future stock price crash risk. We use a dataset of 2,662 firms with 15,416 firm-year observations of China’s A-share listed firms for the...

Persistent link: https://www.econbiz.de/10013405123

Investment-based momentum profits

Liu, Laura Xiaolei; Zhang, Lu - 2010

Persistent link: https://www.econbiz.de/10008702809

Does q-theory with investment frictions explain anomalies in the cross section of returns?

Li, Dongmei; Zhang, Lu - In: Journal of financial economics 98 (2010) 2, pp. 297-314

Persistent link: https://www.econbiz.de/10008826328

Investment-based momentum profits

Liu, Laura Xiaolei; Zhang, Lu - 2011

"Momentum is consistent with value maximization of firms. The neoclassical theory of investment implies that expected stock returns are connected with expected marginal benefits of investment divided by marginal costs of investment. Winners have higher expected growth and expected marginal...

Persistent link: https://www.econbiz.de/10008842263

Asset pricing implications of firms financing constraints

Gomes, João; Yaron, Amir; Zhang, Lu - In: The review of financial studies 19 (2006) 4, pp. 1321-1356

Persistent link: https://www.econbiz.de/10003391763

Covariances versus characteristics in general equilibrium

Lin, Xiaoji; Zhang, Lu - 2011

Persistent link: https://www.econbiz.de/10009240503

Covariances versus characteristics in general equilibrium

Lin, Xiaoji; Zhang, Lu - 2011

Persistent link: https://www.econbiz.de/10009266748

The CAPM strikes back? : an investment model with disasters

Bai, Hang; Hou, Kewei; Kung, Howard; Zhang, Lu - 2015

in the pricing kernel, helping explain the empirical failure of the (consumption) CAPM. Our single-factor model … reproduces the failure of the CAPM in explaining the value premium in finite samples without disasters, and its relative success … in samples with disasters. The standard consumption CAPM fails in simulations, even though a nonlinear model with the …

Persistent link: https://www.econbiz.de/10010531874