Zhongjin (Gene) Lu

B312 Amos Hall

“Charitable Capital Allocation: Evidence from Private Foundations,” with Steve Malliaris
“Uncertainty and the Rationality of Market Expectations,” with Harrison Ham, Biao Yang, Renxuan Wang, and Katherine Elizabeth Wood
“Dissecting the Return Predicting Power of Risk-Neutral Variance,” with Chaehyun Pyun
“Expectations Matter: When (not) to Use Machine Learning Earnings Forecasts”, with John Campbell, Harrison Ham, and Katherine Elizabeth Wood
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.

Zhongjin Lu, Guojun Chen, and Siddharth Vij. Risk Management with Variable Capital Utilization and Procyclical Collateral Capacity. Management Science, 2024
Zhongjin Lu, Steven Malliaris, and Zhongling Qin. Fast and Slow Arbitrageurs: Implications for Return Predictability. Journal of Financial Economics, 148, no. 3 (2023): 175-200
Tingting Liu, Zhongjin Lu, Tao Shu, and Fengrong Wei, Unique Bidder-Target Relatedness and Synergies in Mergers and Acquisitions. Working Paper.
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, and Zhongjin Lu. The Carry Trade: Risks and Drawdowns. Critical Finance Review: Vol. 6: No. 2 (2017), Pp 211-262.
Zhongjin Lu and Yingzi Zhu. 2010. Volatility Components: The Term Structure Dynamics of VIX Futures. Journal Of Futures Markets , 30(3):230 – 256.

Education