Bruce N. Lehmann
Bruce N. Lehmann | |
---|---|
Nationality | American |
Occupation | Academic |
Academic background | |
Alma mater | University of Chicago |
Academic work | |
Discipline | Financial economics |
Institutions | UC San Diego |
Main interests | Asset pricing models Security market microstructure |
Website | Home page |
Bruce N. Lehmann is a professor at the School of International Relations and Pacific Studies at the UC San Diego. Research interests include empirical tests of asset pricing models, the analysis of short-run stock price fluctuations, and the microstructure of securities markets, with emphasis on behavior of Japanese financial markets.[1]
Papers
Lehmann is the author/coauthor of the following most cited papers, listed from most to least cited.
Year | Study |
---|---|
1988 | Fads, Martingales, and Market Efficiency[2] |
1985 | Mutual Fund Performance Evaluation: a Comparison of Benchmarks and Benchmark Comparisons[3] |
1985 | The Empirical Foundations of the Arbitrage Pricing Theory I: the Empirical Tests[4] |
1986 | Residual Risk Revisited[5] |
1985 | The Empirical Foundations of the Arbitrage Pricing Theory Ii: the Optimal Construction of Basis Portfolios[6] |
See also
References
- ↑ Faculty home page, UC San Diego. Retrieved February 19, 2016
- ↑ Lehmann, Bruce N. (March 1988). Fads, Martingales, and Market Efficiency. NBER Working Paper No. w2533: SSRN.
{{cite book}}
: CS1 maint: location (link) - ↑ Lehmann, Bruce N.; Modest, David (October 1985). Mutual Fund Performance Evaluation: a Comparison of Benchmarks and Benchmark Comparisons. NBER Working Paper No. w1721: SSRN.
{{cite book}}
: CS1 maint: location (link) - ↑ Lehmann, Bruce N.; Modest, David (October 1985). The Empirical Foundations of the Arbitrage Pricing Theory I: the Empirical Tests. NBER Working Paper No. w1725: SSRN.
{{cite book}}
: CS1 maint: location (link) - ↑ Lehmann, Bruce N (April 1986). Residual Risk Revisited (April 1986). NBER Working Paper No. w1908: SSRN.
{{cite book}}
: CS1 maint: location (link) - ↑ Lehmann, Bruce N.; Modest, David (October 1985). The Empirical Foundations of the Arbitrage Pricing Theory Ii: the Optimal Construction of Basis Portfolios. NBER Working Paper No. w1726: SSRN.
{{cite book}}
: CS1 maint: location (link)
External links
- Home page
- Author page, Academic search (beta)
- Author page. NBER
- Author page, SSRN