NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Bruce Lehmann

Contact and additional information for this author • All publications • Working Papers only

Working Papers

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
May 1992Notes on Dynamic Factor Pricing Models
w3677
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
November 1990Residual Risk Revisited
w1908
April 1990Fads, Martingales, and Market Efficiency
w2533
July 1989The Empirical Foundations of the Arbitrage Pricing Theory I: The Empirical Tests
with David M. Modest: w1725
August 1987Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons
with David M. Modest: w1721
October 1985The 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 author • All publications • Working Papers only

 
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