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Research


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

2019
Chaudhuri, Shomesh E., and Andrew W. Lo (2019), Dynamic Alpha: A Spectral Decomposition of Investment Performance Across Time Horizons, Management Science 65 (9), 4440–4450.

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.

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

2017
Cao, Charles, Grant Farnsworth, Bing Liang, and Andrew W. Lo (2017), Return Smoothing, Liquidity Costs, and Investor Flows: Evidence from a Separate Account Platform, Management Science 63 (7), 2233–2250.

What Is An Index?

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

Hedge Funds: A Dynamic Industry In Transition

2015
Getmansky, Mila, Peter A. Lee, and Andrew W. Lo (2015), Hedge Funds: A Dynamic Industry in Transition, Annual Review of Financial Economics 7 (1), 483–577.

Hedge Fund Beta Replication: A Five-Year Retrospective

2014
Lee, Peter A., and Andrew W. Lo (2014), Hedge Fund Beta Replication: A Five-Year Retrospective, Journal of Investment Management 12 (3), 5–18.

Quantifying Systemic Risk

2013
Haubrich, Joseph G., and Andrew W. Lo (2013), Quantifying Systemic Risk, edited volume, University of Chicago Press.

Can Hedge Funds Time Market Liquidity?

2013
Cao, Charles, Yong Chen, Bing Liang, and Andrew W. Lo (2013), Can Hedge Funds Time Market Liquidity?, Journal of Financial Economics 109 (2), 493–516.

What’s the Use of Economics? Teaching the Dismal Science after the Crisis, Chapter 7

2012
Lo, Andrew W. (2012), What Post-Crisis Changes Does the Economics Discipline Need?: Beware of Theory Envy!, In What’s the Use of Economics?: Teaching the Dismal Science After the Crisis, edited by Diane Coyle, 39–48.

Rethinking the Financial Crisis

2012
Blinder, Alan S., Andrew W. Lo, and Robert M. Solow (2012), Rethinking the Financial Crisis, edited volume, Russell Sage Foundation.

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