Bruce N. Lehmann

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Bruce N. Lehmann
BruceLehmann.jpg
Nationality American
Occupation Academic
Website Home page
Academic background
Alma mater University of Chicago
Academic work
Discipline Financial economics
Institutions UC San Diego
Main interests Asset pricing models
Security market microstructure

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

  1. Faculty home page, UC San Diego. Retrieved February 19, 2016
  2. Lehmann, Bruce N. (March 1988). Fads, Martingales, and Market Efficiency. NBER Working Paper No. w2533: SSRN. http://ssrn.com/abstract=227518.
  3. Lehmann, Bruce N.; Modest, David (October 1985). Mutual Fund Performance Evaluation: a Comparison of Benchmarks and Benchmark Comparisons. NBER Working Paper No. w1721: SSRN. http://ssrn.com/abstract=338791.
  4. 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. http://ssrn.com/abstract=978162.
  5. Lehmann, Bruce N (April 1986). [Lehmann, Bruce N., Residual Risk Revisited (April 1986). NBER Working Paper No. w1908. Available at SSRN: http://ssrn.com/abstract=344750 esidual Risk Revisited]. NBER Working Paper No. w1908: SSRN. Lehmann, Bruce N., Residual Risk Revisited (April 1986). NBER Working Paper No. w1908. Available at SSRN: http://ssrn.com/abstract=344750.
  6. 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. http://ssrn.com/abstract=243214.

External links