Papers

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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.
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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.
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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.
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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.
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Sifting Through the Wreckage: Lessons from Recent Hedge Fund Liquidations

Capital Markets and Asset-Market Dynamics 2004 Getmansky, Mila, Andrew W. Lo, and Shauna X. Mei, Journal of Investment Management 2, 6-38.
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An Econometric Model of Serial Correlation and Illiquidity in Hedge-Fund Returns

Capital Markets and Asset-Market Dynamics 2004 Getmansky, Mila, Andrew W. Lo, and Igor Makarov, Journal of Financial Economics 74, 529-609.
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The Psychophysiology of Real-Time Financial Risk Processing

Foundations of Financial Behavior and Adaptive Markets 2002 Lo, Andrew W. and Dmitry Repin, Journal of Cognitive Neuroscience 14, 323-339.
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Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory

Capital Markets and Asset-Market Dynamics 2000 Lo, Andrew W. and Jiang Wang, Review of Financial Studies 13, 257-300.
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Frontiers of Finance: Evolution and Efficient Markets

Foundations of Financial Behavior and Adaptive Markets 1999 Farmer, J. Doyne and Andrew W. Lo, Proceedings of the National Academy of Sciences 96, 9991-9992.