Andrew Lo: Articles ARTICLES

RESEARCH PUBLICATIONS

  1. A Large-Sample Chow Test for the Single Linear Simultaneous Equation, with Whitney Newey, Economics Letters 19(1986), 351–353.
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  2. Statistical Tests of Contingent Claims Asset-Pricing Models: A New Methodology, Journal of Financial Economics 17(1986), 143–173.
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  3. Logit Versus Discriminant Analysis: A Specification Test with Applications to Corporate Bankruptcies, Journal of Econometrics 31(1986), 151–178.
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  4. Semiparametric Upper Bounds for Option Prices and Expected Payoffs, Journal of Financial Economics 19(1987), 373–388.
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  5. Maximum Likelihood Estimation of Generalized Ito Processes with Discretely-Sampled Data, Econometric Theory 4(1988), 231–247.
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  6. Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test, with Craig MacKinlay, Review of Financial Studies 1(1988), 41–66.
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  7. The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation, with Craig MacKinlay, Journal of Econometrics 40(1989), 203–238.
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  8. Games of Survival in the Newspaper Industry, with Randolph Bucklin and Richard Caves, Applied Economics 21(1989), 631–650.
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  9. An Econometric Analysis of Nonsynchronous Trading, with Craig MacKinlay, Journal of Econometrics 45(1990), 181–212.
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  10. When Are Contrarian Profits Due To Stock Market Overreaction?, with Craig MacKinlay, Review of Financial Studies 3(1990), 175–206.
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  11. Data Snooping Biases in Tests of Financial Asset Pricing Models, with Craig MacKinlay, Review of Financial Studies 3(1990), 431–468.
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  12. Long-Term Memory in Stock Market Prices, Econometrica 59(1991), 1279–1313.
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  13. An Ordered Probit Analysis of Transaction Stock Prices, with Craig MacKinlay and Jerry Hausman, Journal of Financial Economics 31(1992), 319–379.
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  14. A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks, with James Hutchinson and Tomaso Poggio, Journal of Finance 49(1994), 851-889.
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  15. Implementing Option Pricing Models When Asset Returns Are Predictable, with Jiang Wang, Journal of Finance 50(1995), 87–129.
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  16. Maximizing Predictability in the Stock and Bond Markets, with Craig MacKinlay, Macroeconomic Dynamics 1(1997), 118–158.
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  17. Nonparametric Estimation of State-Price Densities Implicit In Financial Asset Prices, with Yacine Ait-Sahalia, Journal of Finance 52(1998), 499–548.
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  18. Optimal Control of Execution Costs, with Dimitris Bertsimas, Journal of Financial Markets 1(1998), 1–50.
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  19. The Three P's of Total Risk Management, Financial Analysts Journal 55(1999), 13–26.
    [abstract ] [download pdf (144Kb) ]

  20. Frontiers of Finance: Evolution and Efficient Markets, with J. Doyne Farmer, Proceedings of the National Academy of Sciences 96(1999), 9991–9992.
    [abstract ] [download pdf (55Kb) ]

  21. Nonparametric Risk Management and Implied Risk Aversion, with Yacine Ait-Sahalia, Journal of Econometrics 94(2000), 9–51.
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  22. Optimal Control of Execution Costs for Portfolios, with Dimitris Bertsimas and Paul Hummel, Computing in Science & Engineering 1(2000), 40–53.
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  23. Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory, with Jiang Wang, Review of Financial Studies 13(2000), 257–300.
    [ abstract ] [download pdf (440Kb) ]

  24. When Is Time Continuous?, with Dimitris Bertsimas and Leonid Kogan, Journal of Financial Economics 55(2000), 173–204.
    [abstract ] [download pdf (304Kb) ]

  25. Finance: A Selective Survey, Journal of the American Statistical Association 95(2000).
    [abstract ] [ download pdf (189Kb) ]

  26. Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation, with Harry Mamaysky and Jiang Wang, Journal of Finance 55(2000), 1705–1765.
    [abstract ] [download pdf (8Mb)]

  27. Asset Allocation and Derivatives, with Martin Haugh, Quantitative Finance 1(2001), 45–72.
    [ abstract ] [ download pdf (359Kb) ]

  28. Computational Challenges of Financial Engineering, with Martin Haugh, Computing in Science & Engineering 3(2001), 54–59.
    [ abstract ] [ download pdf (211Kb) ]

  29. Hedging Derivative Securities and Incomplete Markets: An Epsilon-Arbitrage Approach, with Dimitris Bertsimas and Leonid Kogan, Operations Research 49(2001), 372–397.
    [abstract ] [download pdf (369Kb) ]

  30. The Sources and Nature of Long-Term Dependence in the Business Cycle, with Joseph Haubrich, Economic Review 37(2001), 15–30.
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  31. Econometric Models of Limit-Order Executions, with Craig MacKinlay and June Zhang, Journal of Financial Economics 65(2002), 31–71.
    [abstract ] [ download pdf (579Kb) ]

  32. The Psychophysiology of Real-Time Financial Risk Processing, with Dmitry V. Repin, Journal of Cognitive Neuroscience 14(2002), 323–339.
    [ abstract ] [ download pdf (826Kb) ]

  33. Bubble, Rubble, Finance In Trouble?, Journal of Psychology and Financial Markets 3(2002), 76–86.
    [ abstract ] [download pdf (218Kb)]

  34. It's 11pm—Do You Know Where Your Liquidity Is? The Mean-Variance-Liquidity Frontier, with Constantin Petrov and Martin Wierzbicki, Journal of Investment Management 1(2003), 55–93.
    [ abstract ] [ download pdf (523Kb) ]

  35. Trading Volume, with Jiang Wang, in Dewatripont, M., Hansen, L. and S. Turnovsky, eds., 2003, Advances in Economic Theory: Eight World Congress (Econometric Society Monograph).
    [ abstract ] [ download pdf (451Kb) ]

  36. The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective, Journal of Portfolio Management 30(2004), 15–29.
    [ abstract ] [download pdf (199Kb) ]

  37. Asset Prices and Trading Volume Under Fixed Transactions Costs, with Harry Mamaysky and Jiang Wang, Journal of Political Economy 112(2004), 1054–1090.
    [ abstract ] [ download pdf (272Kb) ]

  38. An Econometric Model of Serial Correlation and Illiquidity in Hedge-Fund Returns, with Mila Getmansky and Igor Makarov, Journal of Financial Economics 74(2004), 529–609.
    [ abstract ] [download pdf (727Kb) ]

  39. Sifting Through the Wreckage: Lessons from Recent Hedge Fund Liquidations, with Mila Getmansky and Shauna X. Mei, to appear in Journal of Investment Management 2(2004), 6–38.
    [ abstract ] [download pdf (349Kb) ]

  40. 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.
    [ abstract ] [ download pdf (75Kb) ]

  41. Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis, Journal of Investment Consulting 7(2005), 21–44.
    [ abstract ] [ download pdf (530Kb) ]

  42. Systemic Risk and Hedge Funds, with Nicholas Chan, Mila Getmansky, and Shane M. Haas, in M. Carey and R. Stulz, eds., The Risks of Financial Institutions and the Financial Sector, 2007. Chicago, IL: University of Chicago Press.
    [ abstract ] [download pdf (829Kb) ]

  43. Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model, with Jiang Wang, Journal of Finance 61(2006), 2805–2840.
    [ abstract ] [ download pdf (951Kb) ]

  44. Can Hedge-Fund Returns Be Replicated?: The Linear Case, with Jasmina Hasanhodzic, Journal of Investment Management 5(2007), 5–45.
    [ abstract ] [ download pdf (330) ]

  45. What Happened To The Quants In August 2007?, Journal of Investment Management 5(2007), 29–78.
    [ abstract ] [download pdf (1.7Mb) ]

  46. 130/30: The New Long-Only, with Pankaj Patel, Journal of Portfolio Management 34(2008), 12–38.
    [ abstract ] [download pdf (1.7Mb) ]

  47. Where Do Alphas Come From?: A New Measure of the Value of Active Investment Management,Journal of Investment Management, 6(2008), 1–29.
    [ abstract ] [download pdf (272Kb) ]

  48. Regulatory Reform in the Wake of the Financial Crisis of 2007–2008,Journal of Financial Economic Policy, 1(2009),4–43.
    [ abstract ] [download pdf (310Kb) ]

  49. Jumping the Gates: Using Beta-Overlay Strategies to Hedge Liquidity Constraints, with A.\ Healy,Journal of Investment Management, 7(2009), 1–20.
    [ abstract ] [download pdf (308Kb) ]

  50. Impossible Frontiers, with Thomas J. Brennan, Management Science, 56(2010), 905–923.
    [ abstract ] [download pdf (329Kb) ]

  51. WARNING: Physics Envy May Be Hazardous To Your Wealth, with Mark Mueller, Journal of Investment Management 8(2010), 13–63
    [ abstract ] [download pdf (791Kb) ]

  52. Consumer Credit Risk Models via Machine-Learning Algorithms, with Amir E. Khandani and Adlar J. Kim, Journal of Banking & Finance 34(2010), 2767–2787.
    [abstract ] [download pdf (6.7Mb) ]

  53. What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data, with Amir Khandani, to appear in Journal of Financial Markets.
    [ abstract ] [download pdf (671Kb) ]

  54. Security Trading of Concepts (STOC), with Ely Dahan, Adlar J. Kim, Tomaso Poggio, and Nicholas T. Chan, to appear in Journal of Marketing Research.
    [abstract ] [download pdf (6.8Mb) ]

WORKING PAPERS

  1. The Origin of Behavior, with Thomas J. Brennan.
    [    abstract ] [download pdf (504Kb) ]

  2. Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and U.S. Equity Portfolios, with Amir E. Khandani.
    [abstract ] [download pdf (377Kb) ]

  3. The National Transportation Safety Board: A Model for Systemic Risk Management, with Eric Fielding and Jian Helen Yang.
    [abstract ] [download pdf (654Kb) ]

  4. Can Hedge Funds Time Market Liquidity?, with Charles Cao, Yong Chen, and Bing Liang.
    [abstract ] [download pdf (463Kb) ]

  5. Is It Real, or Is It Randomized?: A Financial Turing Test, with Jasmina Hasanhodzic and Emanuele Viola.
    [abstract ] [download pdf (167Kb) ]

  6. Measuring Systemic Risk in the Finance and Insurance Sectors, with Monica Billio, Mila Getmansky, and Loriana Pelizzon.
    [abstract ] [download pdf (1.0Mb) ]

  7. Systemic Risk and the Refinancing Ratchet Effect, with Amir E. Khandani and Robert C. Merton.
    [abstract ] [download pdf (1.4Mb) ]

  8. Agent-Based Models of Financial Markets: A Comparison with Experimental Markets, with Nicholas Chan, Blake LeBaron, and Tomaso Poggio.
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REVIEW PAPERS AND BOOK CHAPTERS

  1. Empirical Issues in the Pricing of Options and Other Derivative Securities, Cuadernos Economicos de ICE 50(1992), 129–155.

  2. Nontrading Effect, New Palgrave Dictionary of Money and Finance, 1992, with Craig MacKinlay. London: Stockton Press.

  3. Neural Networks and Other Nonparametric Techniques in Economics and Finance, in H. Russell Fogler, ed.: Blending Quantitative and Traditional Equity Analysis, 1994. Charlottesville, VA: Association for Investment Management and Research.
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  4. Data-Snooping Biases in Financial Analysis, in H. Russell Fogler, ed.: Blending Quantitative and Traditional Equity Analysis, 1994. Charlottesville, VA: Association for Investment Management and Research.
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  5. Securities Transaction Taxes: What Would Be Their Effects on Financial Markets and Institutions?, with John Heaton, in Securities Transaction Taxes: False Hopes and Unintended Consequences, edited by Suzanne Hammond, 1995. Chicago, IL: Catalyst Institute.
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  6. A Non-Random Walk Down Wall Street, in D. Jerison, I. Singer, and D. Stroock, eds., 1996, The Proceedings of the 1994 Wiener Centennial Symposium. Providence, RI: American Mathematical Society.
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  7. Fat Tails, Long Memory, and the Stock Market Since the 1960's, Economic Notes 26(1997), 219–252.
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  8. Personal Indexes, Journal of Indexes Q3(2001), 26–35.
    [ abstract ] [download pdf (205Kb) ]

  9. Marketable Alternatives, Commonfund Quarterly Fall 2002.
    [ abstract ] [download pdf (101Kb) ]

  10. Do Hedge Funds Increase Systemic Risk?s, with Nicholas Chan, Mila Getmansky, and Shane M. Haas Federal Reserve Bank of Atlanta Economic Review 2006:Q4, 49–80.
    [ abstract ] [download pdf (475Kb) ]

  11. Systemic Risk and Hedge Funds, with Nicholas Chan, Mila Getmansky, and Shane M. Haas, in M. Carey and R. Stulz, eds., The Risks of Financial Institutions and the Financial Sector, 2007. Chicago, IL: University of Chicago Press.
    [ abstract ] [download pdf (706Kb) ]

  12. Efficient Markets Hypothesis, in L. Blume and S. Durlauf, eds., The New Palgrave: A Dictionary of Economics, Second Edition, 2007. New York: Palgrave McMillan.
    [ abstract ] [download pdf (103Kb) ]

  13. Stock Market Trading Volume, with Jiang Wang, Handbook of Financial Econometrics, Volume 2, 2010, North-Holland.
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