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Research


Dynamic Alpha: A Spectral Decomposition of Investment Performance Across Time Horizons

2018
Management Science
Shomesh E. Chaudhuri

Hedge Fund Holdings and Stock Market Efficiency

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

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

2016
Management Science Vol. 63, No. 7, July 2017, pp. 2233–2250
Charles Cao, Grant Farnsworthy, Bing Liang

Hedge Funds: A Dynamic Industry In Transition

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

Hedge Fund Beta Replication: A Five-Year Retrospective

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

Can Hedge Funds Time Market Liquidity?

2013
Journal of Financial Economics
Charles Cao, Yong Chen, Bing Liang

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

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

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

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

Stock Market Trading Volume

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

Impossible Frontiers

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

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