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Research


What Happened To The Quants In August 2007?

Khandani, Amir E., and Andrew W. Lo (2007), What Happened to the Quants in August 2007?, Journal of Investment Management 5 (4), 29–78.

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

Hasanhodzic, Jasmina, and Andrew W. Lo (2007), Can Hedge-Fund Returns Be Replicated?: The Linear Case, Journal of Investment Management 5 (2), 5–45.

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Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model

Lo, Andrew W., and Jiang Wang (2006), Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model, Journal of Finance 61 (6), 2805–2840.

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Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis

Lo, Andrew W. (2005), Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis, Journal of Investment Consulting 7 (2), 21–44.

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

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.

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

Lo, Andrew W., Dmitry V. Repin, Brett N. Steenbarger, David Laibson, David Hirshleifer, and Kevin McCabe (2005), Fear and Greed in Financial Markets: A Clinical Study of Day-Traders, American Economic Review 95 (2), 352–359.

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The Origin of Behavior

Brennan, Thomas J., and Andrew W. Lo (2011), The Origin of Behavior, Quarterly Journal of Finance 1 (1), 55–108.

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Sifting Through the Wreckage: Lessons from Recent Hedge Fund Liquidations

Getmansky, Mila, Andrew W. Lo, and Shauna X. Mei (2004), Sifting Through the Wreckage: Lessons from Recent Hedge-Fund Liquidations, Journal of Investment Management 2 (4), 6–38.

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Securities Trading of Concepts (STOC)

Dahan, Ely, Adlar J. Kim, Andrew W. Lo, Tomaso Poggio, and Nicholas Chan (2011), Securities Trading of Concepts (STOC), Journal of Marketing Research 48 (3), 497–517.

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The National Transportation Safety Board A Model for Systemic Risk Management

Fielding, Eric, Andrew W. Lo, and Jian Helen Yang (2011), The National Transportation Safety Board: A Model for Systemic Risk Management, Journal of Investment Management 9 (1), 17–49.

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