Research


Can Financial Engineering Cure Cancer?

with David E. Fagnan, Jose Maria Fernandez, and Roger M. Stein, American Economic Review 103 (2013), 406-411.

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On a New Approach for Analyzing and Managing Macrofinancial Risks

with Robert C. Merton, Monica Billio, Mila Getmansky, Dale Gray, Loriana Pelizzon, Financial Analysts Journal 69 (2013), 22-33.

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Privacy-Preserving Methods for Sharing Financial Risk Exposures

with Emmanuel A. Abbe and Amir E. Khandani, American Economic Review: Papers & Proceedings 102 (2012), 65-70.

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Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors

with Monica Billio, Mila Getmansky, and Loriana Pelizzon, Journal of Financial Economics 104 (2012), 535-559.

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Reading About the Financial Crisis: A Twenty-One-Book Review

Journal of Economic Literature 50 (2012), 151-178.

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An Ordered Probit Analysis of Transaction Stock Prices

with Craig MacKinlay and Jerry Hausman, Journal of Financial Economics 31 (1992), 319–379.

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Long-Term Memory in Stock Market Prices

Econometrica 59 (1991), 1279–1313.

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Data Snooping Biases in Tests of Financial Asset Pricing Models

with Craig MacKinlay, Review of Financial Studies 3 (1990), 431–468.

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When Are Contrarian Profits Due To Stock Market Overreaction?

with Craig MacKinlay, Review of Financial Studies 3 (1990), 175–205.

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An Econometric Analysis of Nonsynchronous Trading

with Craig MacKinlay, Journal of Econometrics 45 (1990), 181–212.

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