Andrew W. Lo

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

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.02: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period	S (4x)	A (2x)	B (1x)	C (½x)	Total	Percentile
Last 5 Years	0.00	1.01	0.00	0.00	1.01	35%
Last 10 Years	0.00	2.35	0.84	0.00	3.20	59%
All Time	10.09	46.08	3.53	0.50	60.21	98%

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