| Bruce N. Lehmann |
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| Nationality |
American |
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| Occupation |
Academic |
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| Website |
Home page |
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Academic background |
| Alma mater |
University of Chicago |
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| Academic work |
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| Discipline |
Financial economics |
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| Institutions |
UC San Diego |
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| Main interests |
Asset pricing models
Security market microstructure |
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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]
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| 1986 |
Residual Risk Revisited[5]
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| 1985 |
The Empirical Foundations of the Arbitrage Pricing Theory Ii: the Optimal Construction of Basis Portfolios[6]
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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. http://ssrn.com/abstract=227518.
- ↑ 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.
- ↑ 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.
- ↑ 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.
- ↑ 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
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