Publications of Dong Lou

Portfolios often trade at substantial discounts relative to the sum of their components (e.g., closed-end funds, conglomerates). We propose a simple...

Historically, low-beta stocks deliver high average returns and low risk relative to high-beta stocks, offering a potentially profitable investment...

Portfolios often trade at substantial discounts relative to the sum of their components (e.g., closed-end funds, conglomerates). We propose a simple...

Review of Financial Studies, 27 (6). pp. 1797-1829. 

Review of Financial Studies, 26 (8). pp. 1891-1912.

We propose a novel measure of arbitrage activity to examine whether arbitrageurs can have a destabilizing effect in the stock market. We apply our...

We explore a new mechanism through which investors take correlated shortcuts. Specifically, we exploit a regulatory provision governing firm...

The conventional view of market timing suggests an unambiguous, negative relation between equity misvaluation and the equity share in new issues—that...

Review of Financial Studies, 25 (12). pp. 3457-3489. 

Journal of Financial Economics, 104 (2). pp. 383-400.

We show that Treasury security prices in the secondary market decrease significantly before subsequent auctions and recover shortly after. This price...

We exploit a novel setting in which the same piece of information affects two sets of firms: one set of firms requires straightforward processing to...

This paper provides empirical evidence that managers adjust firm advertising expenditures to influence investor behavior and short-term stock prices...

This paper proposes and tests an investment-flow based explanation for three empirical findings on return predictability – the persistence of mutual...