Publications of Dong Lou

We use granular data covering regulated (brokerage-financed) and unregulated (shadow-financed) margin trading during the 2015 market turmoil in China...

An intriguing observation in the US mutual fund industry is that most equity funds do not short sell, even though virtually all regulatory...

Using comprehensive administrative data from the UK, we examine trading by different investor types in government bond markets. Our sample covers...

Management Science, 66(8), Pages v, 3295-3798, iii-iv.

Journal of Financial Economics, 134 (1), 192-213.

We study the effect of superstar firms on an important human capital decision – college students’ choice of major. Past salient, extreme events in an...

Review of Financial Studies, 29 (12): 3354-3393.

We decompose the abnormal profits associated with well-known patterns in the cross-section of expected returns into their overnight and intraday...

We explore a subtle but important mechanism through which firms manipulate their information environments. We show that firms control information flow...

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...