Research


The Sources and Nature of Long-Term Dependence in the Business Cycle

with Joseph Haubrich, Federal Reserve Bank of Cleveland Economic Review 37 (2001), 15–30.

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Where Do Alphas Come From?: A New Measure of the Value of Active Investment Management

Journal of Investment Management 6 (2008), 1–29.

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130/30: The New Long-Only

with Pankaj Patel, Journal of Portfolio Management 34 (2008), 12-38.

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What Happened To The Quants In August 2007?

Journal of Investment Management 5 (2007), 29-78.

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Can Hedge-Fund Returns Be Replicated?: The Linear Case

with Jasmina Hasanhodzic, Journal of Investment Management 5 (2007), 5–45.

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Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model

with Jiang Wang, Journal of Finance 61 (2006), 2805–2840.

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Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis

Journal of Investment Consulting 7 (2005), 21–44.

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

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

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Fear and Greed in Financial Markets: A Clinical Study of Day-Traders

with Dmitry V. Repin and Brett N. Steenbarger, American Economic Review 95 (2005), 352–359.

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The Origin of Behavior

with Thomas Brennan, Quarterly Journal of Finance 1 (2011), 55-108.

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