NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Bruce Lehmann

Contact and additional information for this authorAll papers and publicationsWorking Papers onlyWorking Papers with publication info

Working Papers and Chapters

March 2008Arbitrage-free Limit Order Books and the Pricing of Order Flow Risk
w13848
November 2005The Role of Beliefs in Inference for Rational Expectations Models
w11758
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
April 1992Empirical Testing of Asset Pricing Models
w4043
October 1991Asset Pricing and Intrinsic Values: A Review Essay
w3873
April 1991Earnings, Dividend Policy, and Present Value Relations: Building Blocks of Dividend Policy Invariant Cash Flows
w3676
Notes on Dynamic Factor Pricing Models
w3677
March 1988Fads, Martingales, and Market Efficiency
w2533
April 1986Residual Risk Revisited
w1908
October 1985Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons
with David M. Modest: w1721
The Empirical Foundations of the Arbitrage Pricing Theory I: The Empirical Tests
with David M. Modest: w1725
The Empirical Foundations of the Arbitrage Pricing Theory II: The Optimal Construction of Basis Portfolios
with David M. Modest: w1726

Contact and additional information for this authorAll papers and publicationsWorking Papers onlyWorking Papers with publication info

 
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