Research


Jumping the Gates: Using Beta-Overlay Strategies to Hedge Liquidity Constraints

Healy, Alexander D., and Andrew W. Lo (2009), Jumping the Gates: Using Beta-Overlay Strategies to Hedge Liquidity Constraints, Journal of Investment Management 7 (3), 1–20.

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Regulatory Reform in the Wake of the Financial Crisis of 2007-2008

Lo, Andrew W. (2009), Regulatory Reform in the Wake of the Financial Crisis of 2007-2008, Journal of Financial Economic Policy 1 (1), 4–43.

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

Lo, Andrew W. (2008), Where Do Alphas Come From?: A Measure of the Value of Active Investment Management, Journal of Investment Management 6 (3), 6–34.

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130/30: The New Long-Only

Lo, Andrew W., and Pankaj N. Patel (2008), 130/30: The New Long-Only, Journal of Portfolio Management 34 (2), 12–38.

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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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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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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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