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Dr Lucy Zhao


Lucy Zhao is currently a Lecturer at the Finance Discipline Group at UTS. She received her BSc in Business from Nanjing University, and her PhD in Finance from Rotman School of Management at University of Toronto in 2005. Her research interests include corporate event study, asset pricing and corporate finance. She has co-authored several Australian and international publications, and has presented her research at Australian and international conferences and seminars.

Lecturer, Finance Discipline Group
BA (NJNU), PhD (UofT)
+61 2 9514 7745

Research Interests

Corporate event study and valuation,  Corporate Finance and corporate governance, Risk Management, Asset Pricing, Liquidity Risk, Financial markets,

International Finance, Financial Management, Corporate Finance, Derivatives, Business Finance,  Investments


Nguyen, P., Rahman, N. & Zhao, L. 2014, 'Returns to Acquirers of Listed and Unlisted Targets: An Examination of Australian Bidders'.
Zhao, L. 2011, 'Signalling or wealth transfer: Evidence from the response of corporate bonds to payout changes', Global Business & International Management Conference - Journal of Global Business Management, Global Business and International Management Conference, Global Business & International Management Conference, Seattle, USA, pp. 55-63.
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Schmidt, C.H., Zhao, L. & Terry, C. 2011, 'Index effects: Further evidence for the S&P/ASX200', 24th Australasian Finance and Banking Conference 2011, Sydney Australia.
Zhao, L. 2008, 'TSX Index Revisions and Corporate Performance'.
Michayluk, D. & Zhao, L. 2007, 'Risk changes subsequent to stock splits', 43rd Annual Meeting of the Eastern Finance Association, 43rd Annual Meeting of the Eastern Finance Association, Eastern Finance Association, New Orleans, USA, pp. 1-32.
Michayluk, D. & Zhao, L. 2007, 'Risk changes subsequent to stock splits', 43rd Annual Meeting of the Eastern Finance Association, New Orleans, USA.
Zhao, L. 2006, 'Does risk really change after stock splits', 2006 Annual Meeting of the Southern Finance Association, Annual Meeting of the Southern Finance Association, Destin, FL, USA.
Zhao, L. 2006, 'New info in S&P 500 revision: Alternative perspective of corporate bonds and earnings', The 19th Australasian Finance and Banking Conference, Australasian Finance and Banking Conference, Sydney, Australia.
Zhao, L. 2006, 'Split signaling and implication for corporate performance and bond', Proceedings of the Asian Finance Association/ FMA Conference, 17th Annual Asian Finance Association/FMA Conference, Asian Finance Association, Auckland, New Zealand, pp. 1-34.
Michayluk, D. & Zhao, L. 2006, 'Risk changes subsequent to stock splits', Southern Finance Association Annual Meeting, Destin, Florida, USA.
Zhao, L. 2005, 'Information content of equity index revision', Seminar Presentation, School of Finance and Economics, University of Technology, Sydney, Sydney, Australia.

Journal articles

Nguyen, P., Rahman, N. & Zhao, R. 2017, 'Returns to acquirers of listed and unlisted targets: An empirical study of Australian bidders', Studies in Economics and Finance, vol. 34, no. 1, pp. 24-48.
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Purpose This paper aims to evaluate the robustness of the listing effect in Australia, that is whether acquisitions of private firms create more value to the bidding firm's shareholders than acquisitions of publicly listed firms. Design/methodology/approach The authors analyze the market reaction to the announcement of takeover bids initiated by Australian public firms on private and public targets over the period 1990-2011. The analysis controls for a wide range of bidder, deal and target country characteristics that are likely to correlate with the target's listing status and acquirer abnormal returns. The authors also use a selection model to address the endogenous choice of the target's listing status. Findings The results indicate that bidders experience significantly higher abnormal returns of about 1.7 per cent in the 11-day event window when the target is a private firm. The authors show that this result is broad-based and persistent. It does not appear to depend on whether the target is small or large; whether it is related or unrelated to the bidder's industry; whether it is in the resources sector; and whether the transaction is domestic or cross-border. They find some evidence that bidder returns might be stronger for larger acquisitions, for unrelated targets, and in poor market conditions such as in the wake of the recent global financial crisis. Research limitations/implications The research would benefit from the inclusion of the bidding firm's ownership and governance characteristics. Practical implications The results support the view that market frictions contribute to make private firms attractive targets. Originality/value The analysis confirms the pervasiveness of the listing effect in a market characterized by a lesser degree of competition, higher search costs and the significance of the natural resources sector.
Nguyen, P., Rahman, N., Tong, A. & Zhao, R. 2016, 'Board size and firm value: evidence from Australia', Journal of Management & Governance, vol. 20, no. 4, pp. 851-873.
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Zhao, R., Schmidt, C. & Terry, C. 2016, 'Index effects: Evidence from Australia', Journal of Internet Banking and Commerce, vol. 21, no. 1, pp. 1-17.
© Zhao R, 2016. This paper presents the findings of the first study of the index effects from changes in the composition of Australia's tradeable benchmark index: the S&P/ASX 200. Prior to the introduction of the S&P/ASX200 changes to the composition of the market's (then) benchmark index (the All Ordinaries Index) became evident before the formal announcement dates and the changes were made the following trading day. These announcement arrangements enabled profitable front-running trading. Along with the introduction of the new indices (including the S&P/ASX200) the arrangements for announcing changes to the composition of the index were changed to remove the opportunity for profitable frontrunning trading. While this objective was largely met for additions to the index the study found statistically significant evidence of price pressure between the announcement and implementation dates which were partially offset over the subsequent 20-day period. In relation to deletions the study found negative abnormal returns prior to announcement dates as well as between the announcement and implementation dates that were partially reversed over the subsequent 20-day period. The overall conclusion is that the event of changes in the composition of the S&P/ASX200 is on average associated with positive abnormal returns for additions and negative abnormal returns for deletions.
Zhao, R.L. 2016, 'Dividend signaling: What can we learn from corporate bond responses?', Journal of Internet Banking and Commerce, vol. 21, no. 1, pp. 1-16.
© Ruoyun Lucy Zhao, 2016. The literature has reported significant abnormal returns associated with the announcements of dividend changes. Various hypotheses such as information signaling hypothesis, agency theory and wealth transfer hypothesis, have been suggested to explain the abnormal returns and volumes following the corporate stock dividend changes. The response of corporate bond, as a related security not subject to the immediate capitalization changes are used to provide evidence to help distinguish between the signaling and wealth transfer hypothesis. Corporate bonds have a significant decline in bond yields following dividend increase and a significant increase in bond yields following dividend decrease, supporting signaling hypothesis rather than wealth transfer effect.
Nguyen, P.D., Rahman, N. & Zhao, L. 2013, 'Ownership structure and divestiture decisions: Evidence from Australian firms', International Review of Financial Analysis, vol. 30, pp. 170-181.
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Divestitures create shareholder value by helping firms to optimize their portfolio of assets. However, firms may forego value enhancing divestitures because of agency problems. More specifically, large controlling shareholders may prefer to retain the assets in order to extract private benefits of control at the expense of minority shareholders. In this paper, we explore the role that other blockholders play in constraining the largest shareholder's influence. The results indicate that divestiture activity decreases with the ownership of the largest shareholder. The presence of another significant blockholder appears to curb this negative bias towards divestitures. Our findings provide an economic rationale for the higher performance of firms characterized by more balanced ownership structures. Involvement of family owners also appears to provide similar benefits.
Schmidt, C., Zhao, L. & Terry, C. 2012, 'S&P/ASX 200: Does change in membership matter?', JASSA, vol. 2012, no. 4, pp. 12-18.
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Studies over recent decades of the return effects for the stocks added to and deleted from the S&P 500 have documented the so-called `S&P game, where traders could profit from stock price reactions to changes in the indexs composition. Studies on the All Ordinaries Index covering the 1990s also found profitable trading opportunities over the pre-announcement period. Our study of the effects of changes in the composition of the S&P/ASX 200 from its introduction (in April 2000) to June 2009 found these pre-announcement opportunities were eliminated but that potential exists for the `S&P/ASX 200 game between announcement and implementation dates.
Michayluk, D. & Zhao, L. 2010, 'Stock splits and bond yields: Isolating the signaling hypothesis', The Financial Review, vol. 45, no. 2, pp. 375-386.
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One explanation offered for stock splits is that the split signals positive information by reducing the stock price range in expectation of improved future prospects. Price declines also lead to changes in stock price dynamics, but related securities are not subject to these other changes and therefore can be used to provide a separate assessment of the markets interpretation of the split. We examine corporate bond issues around stock splits and find a significant decline in the bond yield spread following stock splits, supporting the signaling hypothesis. We also confirm improvements in forecasted and realized earnings subsequent to stock splits.
Michayluk, D. & Zhao, R. 2010, 'Stock Splits and Bond Yields: Isolating the Signaling Hypothesis', Financial Review, vol. 45, no. 2, pp. 375-386.
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Fan, E. & Zhao, L. 2009, 'Health status and portfolio choice: Causality or heterogeneity?', Journal Of Banking & Finance, vol. 33, no. 6, pp. 1079-1088.
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This paper explores the role of unobserved individual characteristics in the health-assets and health-portfolio correlations. We apply various econometrics models to a unique longitudinal dataset with rich information that allows for the exploitation of four different health indices. Our findings show strong cross-sectional correlations between health and both financial and non-financial assets, but these correlations seem to be mainly driven by heterogeneity as the correlations largely disappear in the fixed-effects model. Adverse health shocks, however, are found to motivate a safer portfolio choice even after individual fixed-effects are controlled for - a result consistent with the prediction made by the background risk theory. Our findings suggest that health shocks shift investment from risky assets toward other financial assets, but keep the total financial assets unchanged.


Zhao, L. 2011, 'Signaling or Wealth Transfer: Evidence from the Response of Corporate Bonds to Payout Changes'.