Papers

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ABSTRACT

Regulatory Reform in the Wake of the Financial Crisis of 2007-2008

Risk Management and Systemic Risk 2009 Lo, Andrew W., Journal of Financial Economic Policy 1, 4-43.
ABSTRACT

Where do Alphas Come From?: A New Measure of the Value of Active Investment Management

Capital Markets and Asset-Market Dynamics 2008 Lo, Andrew W., Journal of Investment Management 6, 1-29.
ABSTRACT

130/30: The New Long-Only

Capital Markets and Asset-Market Dynamics 2008 Lo, Andrew W. and Pankaj Patel, Journal of Portfolio Management 34, 12-38.
ABSTRACT

Can Hedge-Fund Returns Be Replicated?: The Linear Case

Capital Markets and Asset-Market Dynamics, Risk Management and Systemic Risk 2007 Hasanhodzic, Jasmina and Andrew W. Lo, Journal of Investment Management 5, 5-45.
ABSTRACT

What Happened to the Quants in August 2007?

Capital Markets and Asset-Market Dynamics, Risk Management and Systemic Risk 2007 Khandani, Amir E. and Andrew W. Lo, Journal of Investment Management 5, 29-78.
ABSTRACT

Systemic Risk and Hedge Funds

Capital Markets and Asset-Market Dynamics, Risk Management and Systemic Risk 2006 Chan, Nicholas, Mila Getmansky, Shane Haas, and Andrew W. Lo, In: Carey, M. and Stulz, R. M. (eds.), The Risks of Financial Institutions. University of Chicago Press, Chicago, IL, pp. 235-330.
ABSTRACT

Do Hedge Funds Increase Systemic Risks?

Risk Management and Systemic Risk 2006 Chan, Nicholas, Mila Getmansky, Shane Haas, and Andrew W. Lo, Federal Reserve Bank of Atlanta Economic Review Q4, 352-359.
ABSTRACT

Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis

Foundations of Financial Behavior and Adaptive Markets 2005 Lo, Andrew W., Journal of Investment Consulting 7, 21-44.
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Fear and Greed in Financial Markets: A Clinical Study of Day-Traders

Foundations of Financial Behavior and Adaptive Markets 2005 Lo, Andrew W., Dmitry Repin, and Brett Steenbarger, American Economic Review 95, 352-359.
ABSTRACT

The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective

Foundations of Financial Behavior and Adaptive Markets 2004 Lo, Andrew W., Journal of Portfolio Management 30, 15-29.