Research


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

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

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Stock Market Trading Volume

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

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Efficient Markets Hypothesis

The New Palgrave: A Dictionary of Economics, edited by L. Blume and S. Durlauf, Second Edition, 2007. New York: Palgrave McMillan.

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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.

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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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Marketable Alternatives

Commonfund Quarterly Fall 2002.

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Personal Indexes

Journal of Indexes Q3 (2001), 26–35.

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Fat Tails, Long Memory, and the Stock Market Since the 1960’s

Economic Notes 26 (1997), 219–252.

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A Non-Random Walk Down Wall Street

The Proceedings of the 1994 Wiener Centennial Symposium, edited by D. Jerison, I. Singer, and D. Stroock. Providence, RI: American Mathematical Society.

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Securities Transaction Taxes: What Would Be Their Effects on Financial Markets and Institutions?

with John Heaton, False Hopes and Unintended Consequences, edited by Suzanne Hammond, 1995. Chicago, IL: Catalyst Institute

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