Research


Hedge Fund Holdings and Stock Market Efficiency

with Charles Cao, Bing Liang, and Lubomir Petrasek, Review of Asset Pricing Studies rax015 (2017)

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Return Smoothing, Liquidity Costs, and Investor Flows: Evidence from a Separate Account Platform

with Charles Cao, Grant Farnsworthy, Bing Liang, Management Science Vol. 63, No. 7, July 2017, pp. 2233–2250

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Hedge Funds: A Dynamic Industry In Transition

with Mila Getmansky, Peter A. Lee, Annual Review of Financial Economics 7(2015), 483–577.

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Hedge Fund Beta Replication: A Five-Year Retrospective

with Peter A. Lee, Journal of Investment Management 12(2014), 5–18

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Can Hedge Funds Time Market Liquidity?

with Charles Cao, Yong Chen, Bing Liang, Journal of Financial Economics

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What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data

with Amir Khandani, Journal of Financial Markets 14 (2011), 1-46.

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Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and US Equity Portfolios

with Amir Khandani, Quarterly Journal of Finance 1 (2011), 1-59.

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Stock Market Trading Volume

with Jiang Wang, Handbook of Financial Econometrics, Volume 2, 2010, North-Holland

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Impossible Frontiers

with Thomas J. Brennan, Management Science 56 (2010), 905-923.

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Jumping the Gates: Using Beta-Overlay Strategies to Hedge Liquidity Constraints

with A. Healy, Journal of Investment Management 7 (2009), 1–20.

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