NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Bruce Lehmann

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers only

Working Papers and Chapters

March 2008Arbitrage-free Limit Order Books and the Pricing of Order Flow Risk
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November 2005The Role of Beliefs in Inference for Rational Expectations Models
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Published: Lehmann, Bruce N. "The Role of Beliefs in Inference for Rational Expectations Models." Journal of Econometrics 150, 2(June 2009): 322-331.

August 2005Notes for a Contingent Claims Theory of Limit Order Markets
w11533
January 2003Diversification and the Optimal Construction of Basis Portfolios
with David M. Modest: w9461

Published: Lehmann, Bruce N. and David M. Modest. "Diversification and the Optimal Construction of Basis Portfolios." Management Science 51, 4 (2005): 581-598.

April 1992Empirical Testing of Asset Pricing Models
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October 1991Asset Pricing and Intrinsic Values: A Review Essay
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Published: Lehmann, Bruce N., 1991. "Asset pricing and intrinsic values : A review essay," Journal of Monetary Economics, Elsevier, vol. 28(3), pages 485-500, December.

April 1991Earnings, Dividend Policy, and Present Value Relations: Building Blocks of Dividend Policy Invariant Cash Flows
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Published: RQFA, Vol. 3, no. 3 (1993): 263-282.

Notes on Dynamic Factor Pricing Models
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Published: Review of Quantitative Finance and Accounting, Vol. 2, No. 1, pp. 69-87, (March 1992).

March 1988Fads, Martingales, and Market Efficiency
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Published: The Quarterly Journal of Economics, Vol. CV, Issue 1, pp. 1-28, (February 1990).

April 1986Residual Risk Revisited
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Published: Journal of Econometrics, Vol. 45, pp. 71-97, (1990).

October 1985Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons
with David M. Modest: w1721

Published: Lehmann, Bruce N. and David M. Modest. "Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons." Journal of Finance , Vol. 42, No. 2, (June 1987), pp. 233-265.

The Empirical Foundations of the Arbitrage Pricing Theory I: The Empirical Tests
with David M. Modest: w1725

Published: "The Empirical Foundations of the Arbitrage Pricing Theory." From Journal of Financial Economics, Vol. 21, No. 2, pp. 213-254, (September 1988).(NOTE: R1221 is based on BOTH W1725 and W1726.)

The Empirical Foundations of the Arbitrage Pricing Theory II: The Optimal Construction of Basis Portfolios
with David M. Modest: w1726

Published: "The Empirical Foundations of the Arbitrage Pricing Theory." From Journal of Financial Economics, Vol. 21, No. 2, pp. 213-254, (September 1988).(NOTE: R1221 is based on BOTH W1725 and W1726.)

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers only

 
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