Andrea Lu

A Market-Based Funding Liquidity Measure

Zhuo Chen, Andrea Lu

Journal article  |  2019  |  Review of Asset Pricing Studies

We construct a traded funding liquidity measure from stock returns. Guided by a model, we extract the measure as the return spread..

Seeing the Unobservable from the Invisible: The Role of CO2 in Measuring Consumption Risk

Zhuo Chen, Andrea Lu

Journal article  |  2018  |  REVIEW OF FINANCE

In contrast to past studies that assume service flow of durable goods consumption to be a constant fraction of the stock, we study..

Growing Pains: International Instability and Equity Market Returns

Z Chen, AY Lu, Z Yang

Journal article  |  2017  |  FINANCIAL MANAGEMENT

We use the ratio of growth in global military expenditures to gross domestic product (GDP) to capture ex ante expectations of poli..

Slow Diffusion of Information and Price Momentum in Stocks: Evidence from Options Markets

Z Chen, A LU

Journal article  |  2017  |  Journal of Banking and Finance

This paper investigates the source of price momentum in the stock market using information from options markets. We provide direct..

The role of storage in a competitive electricity market and the effects of climate change

Lewis Evans, Graeme Guthrie, Andrea Lu

Journal article  |  2013  |  ENERGY ECONOMICS

This paper uses a new model of a competitive electricity market to investigate the role of storage in markets dominated by hydro g..