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 Asset Pricing Meeting, November 2000
Equilibrium stock return dynamics under alternative rules of learning about hidden states (with Michael W. Brandt and Qi Zeng): Western Finance Association Annual Meetings, June 2001; NBER Asset Pricing Meeting, November 2000
Invited Academic Seminars
Boston U. (Economics Department, scheduled), Federal Reserve Bank of St. Louis (scheduled), U. of Georgia (scheduled), NYU-Stern (scheduled): Seminar papers to be determined
Testing the q-theory of anomalies (with Toni Whited): Carnegie-Mellon U.
Optimal market timing (with Erica Li and Dmitry Livdan): U. of Colorado at Boulder
v Investment-based underperformance following seasoned equity offerings (with Evgeny Lyandres and Le Sun): Queen’s U., Texas A&M U., U. of Michigan, U. of Rochester, Duke U., U. of Texas at Austin
Anomalies/Testing the q-theory of anomalies (with Toni Whited): U. of Wisconsin at Madison, Vanderbilt U., UNC, Arizona State U., Ohio State U., U. of Minnesota at Twin Cities (Economics Department and Carlson School of Management), Yale U., Federal Reserve Bank of Minneapolis
Anomalies: U. of Rochester (Economics Department and Simon School of Business), MIT, UC- Berkeley
Momentum profits and macroeconomic risk (with Jerry Warner and Laura Liu): U. of Illinois at Urbana-Champaign, Michigan State U., U. of Rochester, UC-Berkeley
Is value riskier than growth? (with Ralitsa Petkova): Carnegie-Mellon U., U. of Rochester
The value premium: Emory U., Penn State U., U. of Maryland, Northwestern U., NYU-Stern, U. of Rochester, U. of Washington, UCLA, Washington U., Wharton
Invited Conference Discussions
Technological growth, asset pricing, and long run risk (by Stavros Panageas and Jianfeng Yu), Western Finance Association Annual Meetings, June 2006
International asset pricing: Evidence from the cross section of implied cost of capital (by Charles Lee, David Ng, and Bhaskaran Swaminathan), Western Finance Association Annual Meetings, June 2005
Industry concentration and average stock returns (by Kewei Hou and David Robinson), Western Finance Association Annual Meetings, June 2005
Asset prices under habit formation and reference-dependent preferences (by Motohiro Yogo), Simulation Based and Finite Sample Inference in Finance II, April 2005
Pay for expanding firm size (by Lucian Bebchuk and Yaniv Grinstein), the Johnson-Simon Finance Conference, April 2005
Simple forecasts and paradigm shifts (by Harrison Hong and Jeremy Stein), American Finance Association Annual Meetings, January 2005
Corporate investment and asset price dynamics: Implications for SEO event studies and long run performance (by Murray Carlson, Adlai Fisher, and Ron Giammarino), NBER Asset Pricing Meeting, November 2004
The cross-section of volatility and expected returns (by Andrew Ang, Robert Hodrick, Yuhang Xing, and Xiaoyan Zhang), the Johnson-Simon Finance Conference, September 2003
vi Consumption, dividends, and the cross-section of equity returns (by Ravi Bansal, Robert F. Dittmar, and Christian T. Lundblad), Western Finance Association, June 2002
Ph.D. Students Supervised
Ralitsa Petkova, 2003, Simon School, University of Rochester, “Do Fama-French factors proxy for innovations in predictive variables?” current position at Weatherhead School of Management, Case Western Reserve University
Laura Xiaolei Liu, 2005, Simon School, University of Rochester, “Do firms have target leverage ratios? Evidence from historical market-to-book and past return,” winner of the CRA International Corporate Finance Award for the best corporate finance paper in WFA 2005; current position at School of Business, Hong Kong University of Science and Technology
Horacio Sapriza, 2005, Economics Department, University of Rochester, “Sovereign default and interest rates in emerging market economies,” current position at Rutgers Business School, Rutgers University
Erica Xuenan Li, 2006, Simon School, University of Rochester, “Corporate governance and the cross section of returns,” in progress
Committee member/Outside reader for Michela Verardo (“Heterogeneous beliefs and momentum profits” 2003, Simon School, U. of Rochester); Guillaume Vandenbroucke (“Essays on macroeconomics and population growth” 2004, Economics Department, U. of Rochester); Ming Hon Suen (“On the cause of increased longevity and urban sprawl: A macroeconomic approach” 2006, Economics Department, U. of Rochester); Gokce Uysal (“Essays in dynamic contracts and macroeconomics” 2006, Economics Department, U. of Rochester)
Referee
National Science Foundation, American Economic Review, Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Quarterly Journal of Economics, Journal of Accounting and Economics, Journal of Financial and Quantitative Analysis, Review of Finance, Journal of Econometrics, Review of Economic Dynamics, Journal of Business and Economic Statistics, International Economic Review, Journal of Empirical Finance, Journal of Banking and Finance, Finance Research Letters, Journal of Financial Econometrics, Economic Inquiry, Economica, Quarterly Review of Economics and Finance, Research Grants Council of Hong Kong
Professional Affiliations
American Finance Association, Western Finance Association, American Economic Association
Professional Service
William Simon Graduate School of Business Administration, University of Rochester
vii Ph.D. Committee, 2003 to present; co-organizer, Finance Seminar, 2004 to 2005; organizer, Brown Bag Lunch Seminar, 2002 to present
American Finance Association
Program committee as the session chair for “Cross Section of Stock Returns,” the 2007 annual meetings
Financial Management Association
Co-chair, the 2005 Best Dissertation in Investments Award Committee; program committee member, the 2006 annual meetings
PERSONAL DATA
Birthday
August 31, 1972
Marital Status
Married, no children
Hobbies
Smooth jazz, fishing, go, history of economic thought, leadership and organizational behavior
viii