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Research


On Black’s Leverage Effect in Firms with No Leverage

2019
Hasanhodzic, Jasmina, and Andrew W. Lo (2019), On Black’s Leverage Effect in Firms with No Leverage, Journal of Portfolio Management 46 (1), 106–122.

All the News that’s Fit to Print

2018
Lo, Andrew W. (2018), All the News that’s Fit to Print, RISK, October 25.

Is Smaller Better? A Proposal to Use Bacteria for Neuroscientific Modeling

2018
Ram, Archana, and Andrew W. Lo (2018), Is Smaller Better? A Proposal to Use Bacteria for Neuroscientific Modeling, Frontiers in Computational Neuroscience 12 (7).

Variety Is the Spice of Life: Irrational Behavior as Adaptation to Stochastic Environments

2018
Brennan, Thomas J., Andrew W. Lo, and Ruixun Zhang (2018), Variety Is the Spice of Life: Irrational Behavior as Adaptation to Stochastic Environments, Quarterly Journal of Finance 8 (3), 55–108.

The Growth of Relative Wealth and the Kelly Criterion

2017
Lo, Andrew W., H. Allen Orr, and Ruixun Zhang (2018), The Growth of Relative Wealth and the Kelly Criterion, Journal of Bioeconomics 20 (1), 49–67.

Stop-loss Strategies with Serial Correlation, Regime Switching, and Transaction Costs

2017
Lo, Andrew W., and Alexander Remorov (2017), Stop-Loss Strategies with Serial Correlation, Regime Switching, and Transaction Costs, Journal of Financial Markets 34, 1–15.

Hedge Fund Holdings and Stock Market Efficiency

2017
Cao, Charles, Bing Liang, Andrew W. Lo, and Lubomir Petrasek (2018), Hedge Fund Holdings and Stock Market Efficiency, Review of Asset Pricing Studies 8 (1), 77–116.

What Is An Index?

2016
Lo, Andrew W. (2016), What Is an Index?, Journal of Portfolio Management 42 (2), 21–36.

The Gordon Gekko Effect: The Role of Culture in the Financial Industry

2016
Lo, Andrew W. (2016), The Gordon Gekko Effect: The Role of Culture in the Financial Industry, FRBNY Economic Policy Review 22 (1), 17–42.

The Wisdom of Crowds Vs. the Madness of Mobs

2015
Lo, Andrew W. (2015), The Wisdom of Crowds vs. the Madness of Mobs, In Handbook of Collective Intelligence, edited by Thomas W. Malone and Michael S. Bernstein, 21–38.

© 2020 Andrew W. Lo, MIT Sloan School of Management. All rights reserved.