Nelson Lacey

University of Massachusetts at Amherst

Professor

School of Management

Amherst, MA 01003

United States

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 36,378

SSRN RANKINGS

Top 36,378

in Total Papers Downloads

1,488

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

Convexity, Risk, and Returns

Number of pages: 16 Posted: 30 Apr 2007
Nelson Lacey and Sanjay K. Nawalkha
University of Massachusetts at Amherst and University of Massachusetts Amherst - Isenberg School of Management
Downloads 1,037 (24,616)

Abstract:

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Convexity, risk, immunization, bonds, M-Square, hedging

2.

Closed-Form Solutions of Convexity and M-Square

Number of pages: 7 Posted: 23 May 2009
University of Massachusetts Amherst - Isenberg School of Management, University of Massachusetts at Amherst and University of Massachusetts Amherst - Isenberg School of Management
Downloads 160 (215,532)

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bond convexity, M-square, interest rates, immunization, interest rate risk

Valuing Federal Disaster Loans: A Stochastic Model Approach

Number of pages: 27 Posted: 18 Dec 1998
Nelson Lacey, Austin Kelly and Mark Potter
University of Massachusetts at Amherst, Federal Housing Finance Agency (FHFA) and Babson College - Finance Division
Downloads 159 (216,954)

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Valuing Federal Disaster Loans: A Stochastic Model Approach

Posted: 11 Mar 1999
Nelson Lacey, Austin Kelly and Mark Potter
University of Massachusetts at Amherst, Federal Housing Finance Agency (FHFA) and Babson College - Finance Division

Abstract:

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4.

Reexamining Fund Manager Skill From a New Angle

Managerial Finance 42 (8), 746-762.
Number of pages: 30 Posted: 17 Feb 2014 Last Revised: 25 Feb 2020
Qiang Bu and Nelson Lacey
Penn State Harrisburg - School of Business Administration and University of Massachusetts at Amherst
Downloads 132 (252,085)

Abstract:

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Equity funds; Outperformance; Bootstrapped funds; Risk distribution; Cumulative distribution function (CDF)

5.

Dynamic Liquidity and Mutual Fund Performance

Journal of Investing (JOI), Forthcoming, https://doi.org/10.3905/joi.2017.26.3.077
Posted: 21 May 2019
Qiang Bu and Nelson Lacey
Penn State Harrisburg - School of Business Administration and University of Massachusetts at Amherst

Abstract:

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Dynamic liquidity score (DLS), net money flows, market volatility, fund performance