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Andrew W. Lo

Global rank #1095 98%

Institution: Massachusetts Institute of Technology (MIT)

Primary Field: Finance (weighted toward more recent publications)

Homepage: http://web.mit.edu/alo/www/

First Publication: 1985

Most Recent: 2021

RePEc ID: plo171 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 0.50 0.00 0.00 1.01
Last 10 Years 0.00 1.17 0.84 0.00 3.18
All Time 2.51 22.96 3.52 0.00 59.99

Publication Statistics

Raw Publications 32
Coauthorship-Adjusted Count 30.12

Publications (32)

Year Article Journal Tier Authors
2021 Spectral factor models Journal of Financial Economics A 4
2019 Is the FDA too conservative or too aggressive?: A Bayesian decision analysis of clinical trial design Journal of Econometrics A 3
2018 Hedge Fund Holdings and Stock Market Efficiency Review of Asset Pricing Studies B 4
2016 Risk and risk management in the credit card industry Journal of Banking & Finance B 6
2013 Can hedge funds time market liquidity? Journal of Financial Economics A 4
2013 Can Financial Engineering Cure Cancer? American Economic Review S 4
2013 Systemic risk and the refinancing ratchet effect Journal of Financial Economics A 3
2012 Econometric measures of connectedness and systemic risk in the finance and insurance sectors Journal of Financial Economics A 4
2012 Privacy-Preserving Methods for Sharing Financial Risk Exposures American Economic Review S 3
2010 Consumer credit-risk models via machine-learning algorithms Journal of Banking & Finance B 3
2006 Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model Journal of Finance A 2
2005 Fear and Greed in Financial Markets: A Clinical Study of Day-Traders American Economic Review S 3
2004 An econometric model of serial correlation and illiquidity in hedge fund returns Journal of Financial Economics A 3
2004 Asset Prices and Trading Volume under Fixed Transactions Costs Journal of Political Economy S 3
2002 Econometric models of limit-order executions Journal of Financial Economics A 3
2000 Nonparametric risk management and implied risk aversion Journal of Econometrics A 2
2000 When is time continuous? Journal of Financial Economics A 3
2000 Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation Journal of Finance A 3
2000 Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory. The Review of Financial Studies A 2
1995 Implementing Option Pricing Models When Asset Returns Are Predictable. Journal of Finance A 2
1994 A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks. Journal of Finance A 3
1992 An ordered probit analysis of transaction stock prices Journal of Financial Economics A 3
1990 An econometric analysis of nonsynchronous trading Journal of Econometrics A 2
1990 When Are Contrarian Profits Due to Stock Market Overreaction? The Review of Financial Studies A 2
1990 Data-Snooping Biases in Tests of Financial Asset Pricing Models. The Review of Financial Studies A 2
1989 The size and power of the variance ratio test in finite samples : A Monte Carlo investigation Journal of Econometrics A 2
1988 Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data Econometric Theory B 1
1988 Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test The Review of Financial Studies A 1
1987 Semi-parametric upper bounds for option prices and expected payoffs Journal of Financial Economics A 1
1986 Logit versus discriminant analysis : A specification test and application to corporate bankruptcies Journal of Econometrics A 1
1986 Statistical tests of contingent-claims asset-pricing models : A new methodology Journal of Financial Economics A 1
1985 A large-sample chow test for the linear simultaneous equation Economics Letters C 2