William E. Simon Graduate School of Business Administration University

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William E. Simon Graduate School of Business Administration University LU ZHANG William E. Simon Graduate School of Business Administration University of Rochester and NBER Rochester NY, 14627 Tel: 585-275-3491, fax: 585-273-1140, cell: 585-267-6250 Email: [email protected] http://www.simon.rochester.edu/fac/zhang/index.htm Last updated: June 2006 ACADEMIC APPOINTMENTS Associate Professor of Finance (tenure granted in May 2006), Stephen M. Ross School of Business, University of Michigan, Ann Arbor MI, starting in July 2006 Faculty Research Fellow, National Bureau of Economic Research, Asset Pricing Group, Cambridge MA, March 2005 to Present Assistant Professor of Finance, William E. Simon Graduate School of Business Administration, University of Rochester, Rochester NY, July 2002 to June 2006 Visiting Scholar, Research Department, Federal Reserve Bank of Minneapolis, Minneapolis MN, February 2006 EDUCATION Ph.D., Finance, the Wharton School, University of Pennsylvania, May 2002 M.A., Finance, the Wharton School, University of Pennsylvania, May 2000 M.A., Economics, Washington University in Saint Louis, December 1997 M.S., Finance, the Graduate School of the People’s Bank of China, April 1996 B.A., Economics, Jiangxi University of Finance and Economics, July 1993 HONORS AND AWARDS Guest lecturer, Ph.D. program in Economics, University of Minnesota, The rational expectations approach to the cross section of returns, February 2006 The value premium: winner of the Smith-Breeden Prize (first prize) in 2005 from American Finance Association and Journal of Finance Anomalies: runner-up, the Best Paper Award, Utah Winter Finance Conference, 2005 Investment-based underperformance following seasoned equity offerings (with Evgeny Lyandres and Le Sun): runner-up, the Barclay Global Investors Award for the Best Conference Paper, European Finance Association Meetings, 2005 Richard L. Rosenthal Award for Innovation in Investment Management/Corporate Finance, 2005 Finalist, Lehman Brothers Fellowship for Research Excellence in Finance, 2001 Dean’s Fellowship for Distinguished Merits, The Wharton School, University of Pennsylvania, September 1998 to May 2002 Fellowship, Washington University in Saint Louis, January 1997 to May 1998; Scholarship, August to December 1996 RESEARCH Main Interest Asset pricing, applied theoretical and empirical, in connection with corporate finance, macroeconomics, and capital markets research in accounting Publications Asset pricing implications of firms’ financing constraints (with Joao F. Gomes and Amir Yaron), August 2005, forthcoming, Review of Financial Studies, revision of NBER working paper 9365 Is value riskier than growth? (with Ralitsa Petkova), 2005, Journal of Financial Economics 78 (1), 187-202 The value premium, 2005, Journal of Finance 60 (1), 67-103, winner of the Smith-Breeden Prize (first prize) for 2005 from American Finance Association and Journal of Finance Equilibrium stock return dynamics under alternative rules of learning about hidden states (with Michael W. Brandt and Qi Zeng), 2004, Journal of Economic Dynamics and Control 28 (10), 1925-1954, lead article Asset prices and business cycles with costly external finance (with Joao F. Gomes and Amir Yaron), 2003, Review of Economic Dynamics 6 (4), 767-788, revision of NBER working paper 9364 Equilibrium cross section of returns (with Joao F. Gomes and Leonid Kogan), 2003, Journal of Political Economy 111 (4), 693-732, lead article Working Papers: Capital Markets in the Real Economy Financially constrained stock returns (with Dmitry Livdan and Horacio Sapriza), August 2005, working paper, University of Rochester and Texas A&M University Testing the q-theory of anomalies (with Toni Whited), March 2006, working paper, University of Rochester and University of Wisconsin-Madison ii Optimal market timing (with Dmitry Livdan and Erica X. N. Li), April 2006, NBER working paper 12014 Anomalies, March 2006, NBER working paper 11322, runner-up of the Best Paper Award at the 2005 Utah Winter Finance Conference Working Papers: Stock Returns and Financing Decisions Investment-based underperformance following seasoned equity offerings (with Evgeny Lyandres and Le Sun), December 2005, NBER working paper 11459, runner-up of the Barclay Global Investors Award of the Best Conference Paper at the 2005 European Finance Association Annual Meetings Earnings management and delisting risk of initial public offerings (with Jinliang Li and Jian Zhou), March 2006, working paper, Northeastern University, University of Rochester, and SUNY at Binghamton Working Papers: Empirical Asset Pricing The expected value premium (with Long Chen and Ralitsa Petkova), April 2006, NBER working paper 12183 Expected returns, yield spreads, and asset pricing tests (with Murillo Campello and Long Chen), January 2006, NBER working paper 11323 Momentum profits and macroeconomic risk (with Laura X. L. Liu and Jerold B. Warner), June 2005, NBER working paper 11480 The value spread as a predictor of returns (with Naiping Liu), April 2006, NBER working paper 11326 Value versus growth: movements in economic fundamentals (with Yuhang Xing), August 2004, working paper, University of Rochester and Rice University Dissertation Essays on the cross-section of returns, 2002, the Wharton School, University of Pennsylvania, supervised by Andrew Abel, Joao Gomes, Craig MacKinlay, and Amir Yaron TEACHING Stephen M. Ross School of Business, University of Michigan Capital Markets and Investment Strategy, MBA program (starting in January 2007); Empirical Methodology in Finance, Ph.D. program (starting in January 2007) iii William E. Simon Graduate School of Business Administration, University of Rochester Investments, MBA program (seven quarter sessions from Fall 2002 to Spring 2006); Corporate Finance, MBA program (one quarter session in Fall 2005); Advanced Topics in Capital Markets, Ph.D. program (four quarter sessions from Spring 2003 to Spring 2006) Finance Department, the Wharton School, University of Pennsylvania TA for Joao Gomes and Amir Yaron, Intertemporal Macroeconomics and Finance, Ph.D. program; TA for Martin Asher and Joao Gomes, Macroeconomic Analysis and Public Policy, MBA program; TA for Amir Yaron, International Finance, undergraduate program Economics Department, Washington University in Saint Louis TA for Robert Parks, Elements of Econometrics, Ph.D. program; lecturer of Intermediate Macroeconomics, undergraduate program PROFESSIONAL ACTIVITIES Invited Conference Presentations The expected value premium (with Long Chen and Ralitsa Petkova): American Finance Association Annual Meetings, January 2007 Testing the q-theory of anomalies (with Toni Whited): Society for Economic Dynamics Annual Meetings, July 2006; American Finance Association Annual Meetings, January 2007 Optimal market timing (with Dmitry Livdan and Erica X. N. Li): Utah Winter Finance Conference, February 2006, NBER Summer Institute, Asset Pricing Program, July 2006 Value versus growth: movements in economic fundamentals (with Yuhang Xing): The China International Conference in Finance, July 2005; American Finance Association Annual Meetings, January 2006 Investment-based underperformance following seasoned equity offerings (with Evgeny Lyandres and Le Sun): The UBC Summer Finance Conference (the three-slide session), July 2005; European Finance Association Annual Meeting, August 2005; Financial Management Association Annual Meeting, October 2005; Finance and Accounting in Tel-Aviv 10th Annual Conference, December 2005 Earnings management and delisting risk of IPO firms (with Jinliang Li and Jian Zhou): The China International Conference in Finance, July 2006; American Accounting Association Annual Meetings, August 2005; Financial Management Association Annual Meeting, October 2005 The value spread as a predictor of returns (with Naiping Liu): Western Finance Association Annual Meetings, June 2005 iv Expected returns, yield spreads, and asset pricing tests (with Murillo Campello and Long Chen): American Finance Association Annual Meetings, January 2005; Federal Reserve Board Conference on Financial Market Risk Premiums: Time-Variation and Macroeconomic Links, July 2005 Financially constrained stock returns (with Dmitry Livdan and Horacio Sapriza): American Finance Association Annual Meetings, January 2005 Anomalies: The Johnson-Simon Conference, September 2004; NBER Asset Pricing Meeting, November 2004; Utah Winter Finance Conference, February 2005 Momentum profits and macroeconomic risk (with Laura Liu and Jerry Warner): Finance Summit I, March 2004; Western Finance Association Annual Meetings, June 2004 Is value riskier than growth? (with Ralitsa Petkova): American Finance Association Annual Meetings, January 2004; the First UBC Finance Conference, July 2003; NBER Summer Institute, Asset Pricing Program, July 2003 Asset prices and business cycles with costly external finance (with Joao F. Gomes and Amir Yaron): Western Finance Association Annual Meetings, June 2003; Society of Economic Dynamics Annual Meetings, July 2003; C.V. Starr/RED Conference on Finance and Macroeconomy, October 2002 Asset pricing implications of firms’ financing constraints (with Joao F. Gomes and Amir Yaron): America Economic Association Annual Meetings, January 2004; American Finance Association Annual Meetings, January 2003; Utah Winter Finance Conference, February 2002; NBER Asset Pricing Meeting, November 2001; NBER Capital Markets in the Economy Meeting, July 2001 Equilibrium cross section of returns (with Joao F. Gomes and Leonid Kogan): Western Finance Association Annual Meetings, June 2001; NBER
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