LFE Working Papers

Rigobon, R. and T. Stoker, 2004, "Censored Regressors and Expansion Bias," MIT LFE Working Paper No.LFE-1052-04 [ download pdf (768 kb) ]

Getmansky, M., 2004, "The Life Cycle of Hedge Funds: Fund Flows, Size and Performance," MIT LFE Working Paper No.LFE-1063-04 [ download pdf (587 kb) ]

Basak, S., Pavlova, A., and A. Shapiro, 2003, "Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management," MIT LFE Working Paper No.LFE-1058-03 [ download pdf (410Kb) ]

Chan, N.T., LeBaron, B., Lo, A.W., and T. Poggio, 2003, "Agent-Based Models of Financial Markets: A Comparison with Experimental Markets," MIT LFE Working Paper No.LFE-1031-97R
[ abstract ]

Haugh, M.B, Kogan, L., and J. Wang, 2003, "Evaluating Portfolio Policies: A Duality Approach," MIT LFE Working Paper No.LFE-1053-03 [ download pdf (216Kb) ]

Lewellen, J., 2003, "Predicting Returns with Financial Ratios," MIT LFE Working Paper No.LFE-1054-03 [ download pdf (375Kb) ]

Lewellen, J., and S. Nagel, 2003, "The Conditional CAPM Does Not Explain Asset-Pricing Anomalies," MIT LFE Working Paper No.LFE-1059-03 [ download pdf (294Kb) ]

Lewellen, J., Kothari, S.P., and J.B. Warner, 2003, "Stock Returns, Aggregate Earnings Surprises, and Behavioral Finance," MIT LFE Working Paper No.LFE-1050-03 [ download pdf (129Kb) ].

Lim, T., Adamek, P., Lo, A.W., and J. Wang, 2003, "The Trading Volume and the MiniCRSP Database An Introduction and User’s Guide," MIT LFE Working Paper No.LFE-1038-98

Lo, A.W., Petrov, C., and M. Wierzbicki, 2003, "It's 11pm: Do You Know Where Your Liquidity Is? The Mean-Variance-Liquidity Frontier," MIT LFE Working Paper No.LFE-1048-03

Lo, A.W. and J. Wang, 2003, "Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model," MIT LFE Working Paper No.LFE-1037-01 [ abstract ] [ download pdf (951Kb) ]

Pan, J. and A. Poteshman, 2003, "The Information in Option Volume for Stock Prices," MIT LFE Working Paper No.LFE-1049-03 [ download pdf (192Kb) ]

Pavlova, A., and R. Rigobon, 2003, "Asset Prices and Exchange Rates," MIT LFE Working Paper No.LFE-1056-03 [ download pdf (677Kb) ]

Amonlirdviman, K., Getmansky, M., and A.W. Lo, 2002, "The Dynamics of Global Financial Crises," MIT LFE Working Paper No.LFE-1046-02

Getmansky, M., and A.W. Lo, 2002, "Limits of Arbitrage: Understanding How Hedge Funds Fail," MIT LFE Working Paper No.LFE-1045-02

Kogan, L., Ross, S., Wang, J., and M. Westerfield, 2002, "The Price Impact and Survival of Irrational Traders," MIT LFE Working Paper No.LFE-1047-02 [ download pdf (550Kb) ]

Lo, A.W., Getmansky, M., and I. Makarov, 2003, "An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns," MIT LFE Working Paper No.LFE-1041A-03 [ download pdf (641Kb) ]

Pan, J. and J. Liu, 2002, "Dynamic Derivative Strategies," MIT LFE Working Paper No.LFE-1038-01 [ download pdf (240Kb) ]

Pan, J., J. Liu, and T. Wang, 2002, "An Equilibrium Model of Rare Event Premia," MIT LFE Working Paper No.LFE-1043-02 [ download pdf (176Kb) ]

Rigobon, R. and B. Sack, 2002, "The Impact of Monetary Policy on Asset Prices," MIT LFE Working Paper No.LFE-1044-02 [ download pdf (418Kb) ]

Lo, A.W., Mamaysky, H., and J. Wang, 2001, "Asset Prices and Trading Volume under Fixed Transaction Costs," MIT LFE Working Paper No.LFE-1042-02 [ abstract ] [ download pdf (2.8Mb) ]

Kogan, L. and M. Haugh, 2000, "Pricing American Options: A Duality Approach," MIT LFE Working Paper No.LFE-1040-00 [ download pdf (228Kb) ]