Research


Can Hedge-Fund Returns Be Replicated?: The Linear Case

with Jasmina Hasanhodzic, Journal of Investment Management 5 (2007), 5–45.

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What Happened To The Quants In August 2007?

Journal of Investment Management 5 (2007), 29-78.

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Do Hedge Funds Increase Systemic Risks?

with Nicholas Chan, Mila Getmansky, and Shane M. Haas, Federal Reserve Bank of Atlanta Economic Review 2006:Q4, 49–80.

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Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model

with Jiang Wang, Journal of Finance 61 (2006), 2805–2840.

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Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis

Journal of Investment Consulting 7 (2005), 21–44.

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Fear and Greed in Financial Markets: A Clinical Study of Day-Traders

with Dmitry V. Repin and Brett N. Steenbarger, American Economic Review 95 (2005), 352–359.

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The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective

Journal of Portfolio Management 30 (2004), 15–29.

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Asset Prices and Trading Volume Under Fixed Transactions Costs

with Harry Mamaysky and Jiang Wang, Journal of Political Economy 112 (2004), 1054–1090.

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An Econometric Model of Serial Correlation and Illiquidity in Hedge-Fund Returns

with Mila Getmansky and Igor Makarov, Journal of Financial Economics 74 (2004), 529–609.

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Sifting Through the Wreckage: Lessons from Recent Hedge Fund Liquidations

with Mila Getmansky and Shauna X. Mei, Journal of Investment Management 2 (2004), 6–38.

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