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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.

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

2011
Khandani, Amir E., and Andrew W. Lo (2011), What Happened to the Quants in August 2007? Evidence from Factors and Transactions Data, Journal of Financial Markets 14 (1), 1–46.

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

2011
Khandani, Amir E., and Andrew W. Lo (2011), Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and US Equity Portfolios, Quarterly Journal of Finance 1 (2), 205–264.

Stock Market Trading Volume

2010
Lo, Andrew W., and Jiang Wang (2010), Stock Market Trading Volume, In Handbook of Financial Econometrics, Volume 2, edited by Yacine Äit-Sahalia and Lars Peter Hansen, 241–337.

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