Zhongjin (Gene) Lu

• PhD, Finance, Columbia Business School, 2014
• MA, Economics, Duke University, 2010
• BS, Economics, Tsinghua University, 2008

• Empirical asset pricing
• International finance
• Financial econometrics
• Behavioral finance

Working Papers

• Fast and Slow Arbitrageurs: Implications for Return Predictability, Steven Malliaris and Zhongling Qin. Working Paper.
• Risk Management with Variable Capital Utilization and Procyclical Collateral Capacity, with Guojun Chen and Siddharth Vij. Working Paper.
• Tingting Liu, Zhongjin Lu, Tao Shu, and Fengrong Wei, Distinct Relatedness and Synergies in Mergers and Acquisitions. Working Paper.
• Zhongjin Lu. The Cross Section of Long-Term Expected Returns. Working Paper.
• Zhongjin Lu. Momentum and Reversal: Disentangling the Underreaction and Delayed Overreaction. Working Paper.
• Eva Jenkner, Zhongjin Lu. Sub-National Credit Risk and Sovereign Bailouts-Who Pays the Premium? Imf Working Paper.

Journal Articles

• Zhongjin Lu and Zhongling Qin, Leveraged Funds and the Shadow Cost of Leverage Constraints.  Journal of Finance 76, no. 3 (June 2021): 1295–1338
• Zhongjin Lu and Scott Murray. Bear Beta. Journal Of Financial Economics:131 (3), 2019, pp 736-760
• Kent Daniel, Robert Hodrick, Zhongjin Lu. The Carry Trade: Risks and Drawdowns. Critical Finance Review: Vol. 6: No. 2 (2017), Pp 211-262.
• Zhongjin Lu, Yingzi Zhu. 2010. Volatility Components: The Term Structure Dynamics of VIX Futures. Journal Of Futures Markets , 30(3):230–256.

• Finalist for AQR Insight Award, AQR, 2017
• First Prize, INQUIRE EUROPE & INQUIRE UK, 2017