 Dong Lou
Professor of Finance (on leave)
CEPR Research Fellow
London School of Economics
Houghton Street
London WC2A 2AE
Office: MAR 8.09
Email: d.lou AT lse.ac.uk
Phone: +44
(0)2071075360
[Curriculum Vitae] [Short Bio]
Publications
A Flow-Based Explanation for Return Predictability, 2012
Review of Financial Studies, 25, 3457-3489 (Internet Appendix)
Lead Article
Complicated Firms (with Lauren Cohen), 2012
Journal of Financial
Economics, 104, 383-400
Winner
of First Prize, Crowell Memorial Award for Best Paper in Quantitative
Investments, 2011
Winner of Best Paper Prize, the Center for Research in Security Prices (CRSP) Forum, 2010
Winner of Institute for Quantitative
Investment Research (INQUIRE UK) Grant, 2010
Winner of First Prize, Istanbul Stock Exchange
25th Anniversary Best Paper Competition, 2010
Winner of Paul Woolley Center
(UTS) Academic Grant, 2010
Anticipated and Repeated
Shocks in Liquid Markets (with Hongjun Yan and Jinfan Zhang), 2013
Review of Financial Studies, 26, 1891-1912
Winner of NASDAQ OMX Award for Best
Paper on Asset Pricing, Western Finance Association, 2011
Attracting Investor Attention through Advertising, 2014
Review of Financial Studies, 27, 1797-1829
Industry Window Dressing (with Huaizhi Chen and Lauren Cohen), 2016
Review of Financial Studies, 29, 3354-3393 (Internet Appendix)
A Tug of War: Overnight vs. Intraday Expected
Returns (with Christopher Polk and Spyros Skouras), 2019
Journal of Financial Economics,
134, 192-213 (Internet Appendix)
Offsetting Disagreement
and Security Prices (with Shiyang Huang, Byoung-Hyoun Hwang, and Chengxi Yin), 2020
Management Science, 66,
3295-3798 (Internet Appendix)
IQ from IP: Simplifying
Search in Portfolio Choice (with
Huaizhi Chen, Lauren Cohen, Umit Gurun, and
Christopher Malloy), 2020
Journal of Financial Economics,
138, 118-137
Winner
of First Prize, Crowell Memorial Award for Best Paper in Quantitative
Investments, 2018
Casting Conference Calls (with Lauren Cohen and Christopher Malloy), 2020
Management Science, 66,
4921-5484 (Internet Appendix)
Winner of First Prize, Crowell Memorial
Award for Best Paper in Quantitative Investments, 2014
The Rate of Communication (with Shiyang Huang and Byoung-Hyoun
Hwang), 2021
Journal of Financial
Economics, 141, 533-550 (Internet Appendix)
Informed Trading in Government Bond Markets
(with Robert Czech, Shiyang
Huang, and Tianyu Wang), 2021
Journal of Financial Economics,
142, 1253-1274 (Internet Appendix)
Winner of Best Paper Award, China International
Conference in Finance, 2019
Comomentum: Inferring Arbitrage
Activity from Return Correlations (with Christopher Polk), 2022
Review of Financial Studies,
35, 3272–3302 (Internet Appendix)
Finalist
for AQR Insight Award, 2014
Winner
of Institute for
Quantitative Investment Research (Q Group) Grant, 2012
Winner
of Institute for
Quantitative Investment Research (INQUIRE Europe) Grant, 2012
Ripples into Waves: Trade Networks, Economic
Activity, and Asset Prices (with
Jeffery Chang, Huancheng Du, and Christopher Polk),
2022
Journal of Financial Economics,
145, 217-238 (Internet Appendix)
Wealth Redistribution in Bubbles and Crashes
(with Li An and Donghui
Shi), 2022
Journal of Monetary Economics,
126, 134-153 (Internet Appendix)
Winner
of Best Paper Award, China Financial Research Conference, 2019
The Booms and Busts of Beta Arbitrage (with Shiyang Huang, Xin Liu, and
Christopher Polk), 2024
Management Science, 70,
5367-5385 (Internet Appendix)
Winner
of Quantitative Management Initiative (QMI) Grant, 2013
Winner
of Europlace Institute of Finance Research Grant,
2013
The Drivers and
Implications of Retail Margin Trading (with Jiangze Bian, Zhi Da, Zhiguo He,
Kelly Shue, and Hao Zhou), 2024
Journal of Finance,
forthcoming
Winner of Best Paper Award in Asset
Pricing, SFS Cavalcade Asia-Pacific, 2017
Winner of Best Paper Award, China
Financial Research Conference, 2016
Superstar Firms and College Major Choice
(with Darwin Choi and Abhiroop Mukherjee), 2024
Journal
of Political Economy: Microeconomics, forthcoming (Internet Appendix;
SurveyMonkey Questions)
Bond Supply, Yield Drifts, and Liquidity Provision
Before Macroeconomic Announcements (with Gabor Pinter, Semih Uslu, and Danny Walker), 2024
Journal of Financial
Economics, forthcoming
Working
Papers
An Anatomy of Long-Short Equity Funds (with Li An, Shiyang Huang, and Jiahong Shi), 2023
(Internet Appendix)
Inferring Mutual Fund Intra-Quarter Trading: An
Application to ESG Window Dressing (with Li An, Shiyang Huang, Xudong Wen, and Mingxin
Xu), 2024
(Internet Appendix)
Relative Basis and the
Expected Returns of Commodity Futures (with Ming Gu, Wenjin Kang, and Ke Tang),
2024
The Day Destroys the Night, Night Extends the Days: A Clientele Perspective
on Equity Premium Variation (with Christopher Polk and
Spyros Skouras), 2024
The Effect of Advisors’
Incentives on Clients’ Investments (with Diego Battiston, Jordi
Blanes-Vidal, and Rafael Hortala-Vallve), 2024
Unintended Consequences of Holding Dollar Assets
(with Robert Czech, Shiyang
Huang, and Tianyu Wang), 2023
Last updated: November 2024 | Visits since July 2009:
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