Research


Hedge Funds, Systemic Risk, and the Financial Crisis of 2007-2008

View abstract

Where Do Alphas Come From?: A New Measure of the Value of Active Investment Management

Journal of Investment Management 6 (2008), 1–29.

View abstract

130/30: The New Long-Only

with Pankaj Patel, Journal of Portfolio Management 34 (2008), 12-38.

View abstract

Systemic Risk and Hedge Funds

with Nicholas Chan, Mila Getmansky, Shane M. Haas, The Risks of Financial Institutions and the Financial Sector, edited by M. Carey and R. Stulz, 2007. Chicago, IL: University of Chicago Press.

View abstract

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

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

View abstract

What Happened To The Quants In August 2007?

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

View abstract

Attack of the Clones

with Jasmina Hasanhodzic, Alpha Magazine

View abstract

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.

View abstract

Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model

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

View abstract

Asset Prices and Trading Volume Under Fixed Transactions Costs

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

View abstract

Follow me on © 2017 Andrew W. Lo, MIT Sloan School of Management. All rights reserved.
Design by: Opus Design