NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Bruce Lehmann

University of California, San Diego
IR/PS
1415 Robinson Building Complex
La Jolla, CA 92093-0519
Tel: 858/534-0945
Fax: 858/534-3939

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
WWW:
NBER Program Affiliations: AP
NBER Affiliation: Research Associate

NBER Working Papers and Publications

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

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
w4043
October 1991Asset Pricing and Intrinsic Values: A Review Essay
w3873

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
w3676

Published: RQFA, Vol. 3, no. 3 (1993): 263-282.

Notes on Dynamic Factor Pricing Models
w3677

Published: Review of Quantitative Finance and Accounting, Vol. 2, No. 1, pp. 69-87, (March 1992).

March 1988Fads, Martingales, and Market Efficiency
w2533

Published: The Quarterly Journal of Economics, Vol. CV, Issue 1, pp. 1-28, (February 1990).

April 1986Residual Risk Revisited
w1908

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.)

 
Publications
Activities
Meetings
NBER Videos
Themes
Data
People
About

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us