Bruce N. Lehmann

University of California, San Diego

Professor

9500 Gilman Drive

Mail Code 0502

La Jolla, CA 92093-0502

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

Massachusetts Institute of Technology (MIT)

Visiting Professor of Finance

E52-343B

Cambridge, MA 02139

United States

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 16,259

SSRN RANKINGS

Top 16,259

in Total Papers Downloads

2,886

CITATIONS
Rank 1,382

SSRN RANKINGS

Top 1,382

in Total Papers Citations

404

Scholarly Papers (15)

1.

High-Frequency Trading

Johnson School Research Paper Series No. #20-2013
Number of pages: 15 Posted: 13 Jun 2013
Tarun Chordia, Amit Goyal, Bruce N. Lehmann and Gideon Saar
Emory University - Department of Finance, University of Lausanne, University of California, San Diego and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 1,738 (8,925)
Citation 12

Abstract:

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2.

Fads, Martingales, and Market Efficiency

NBER Working Paper No. w2533
Number of pages: 37 Posted: 23 Apr 2004
Bruce N. Lehmann
University of California, San Diego
Downloads 387 (74,315)
Citation 270

Abstract:

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3.

Mutual Fund Performance Evaluation: a Comparison of Benchmarks and Benchmark Comparisons

NBER Working Paper No. w1721
Number of pages: 56 Posted: 28 Dec 2006 Last Revised: 16 Sep 2010
Bruce N. Lehmann and David Modest
University of California, San Diego and Azimuth Alternative Assets Management LLLP
Downloads 184 (161,104)
Citation 112

Abstract:

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4.

The Empirical Foundations of the Arbitrage Pricing Theory I: the Empirical Tests

NBER Working Paper No. w1725
Number of pages: 64 Posted: 06 Apr 2007 Last Revised: 20 Sep 2010
Bruce N. Lehmann and David M. Modest
University of California, San Diego and affiliation not provided to SSRN
Downloads 89 (281,072)
Citation 52

Abstract:

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5.

Residual Risk Revisited

NBER Working Paper No. w1908
Number of pages: 39 Posted: 28 Jun 2004 Last Revised: 20 Sep 2010
Bruce N. Lehmann
University of California, San Diego
Downloads 85 (289,287)
Citation 51

Abstract:

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6.

Diversification and the Optimal Construction of Basis Portfolios

NBER Working Paper No. w9461
Number of pages: 38 Posted: 31 Jan 2003 Last Revised: 20 Jun 2009
Bruce N. Lehmann and David Modest
University of California, San Diego and Azimuth Alternative Assets Management LLLP
Downloads 77 (306,857)
Citation 6

Abstract:

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7.

The Empirical Foundations of the Arbitrage Pricing Theory Ii: the Optimal Construction of Basis Portfolios

NBER Working Paper No. w1726
Number of pages: 54 Posted: 11 Nov 2000 Last Revised: 21 Sep 2010
Bruce N. Lehmann and David Modest
University of California, San Diego and Azimuth Alternative Assets Management LLLP
Downloads 73 (316,481)
Citation 1

Abstract:

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8.

Earnings, Dividend Policy, and Present Value Relations: Building Blocks of Dividend Policy Invariant Cash Flows

NBER Working Paper No. w3676
Number of pages: 29 Posted: 23 Aug 2000 Last Revised: 20 Jul 2010
Bruce N. Lehmann
University of California, San Diego
Downloads 62 (344,996)
Citation 3

Abstract:

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9.

Arbitrage-Free Limit Order Books and the Pricing of Order Flow Risk

NBER Working Paper No. W13848
Number of pages: 56 Posted: 19 Mar 2008
Bruce N. Lehmann
University of California, San Diego
Downloads 44 (402,351)

Abstract:

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10.

Asset Pricing and Intrinsic Values: A Review Essay

NBER Working Paper No. w3873
Number of pages: 32 Posted: 29 Dec 2006 Last Revised: 11 Aug 2010
Bruce N. Lehmann
University of California, San Diego
Downloads 43 (406,024)

Abstract:

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11.

Notes for a Contingent Claims Theory of Limit Order Markets

NBER Working Paper No. w11533
Number of pages: 23 Posted: 19 Sep 2005 Last Revised: 08 Jul 2010
Bruce N. Lehmann
University of California, San Diego
Downloads 38 (425,061)

Abstract:

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12.

Empirical Testing of Asset Pricing Models

NBER Working Paper No. w4043
Number of pages: 54 Posted: 21 Jul 2010
Bruce N. Lehmann
University of California, San Diego
Downloads 32 (449,922)
Citation 1

Abstract:

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13.

The Role of Beliefs in Inference for Rational Expectations Models

NBER Working Paper No. w11758
Number of pages: 22 Posted: 06 Feb 2006 Last Revised: 19 Aug 2010
Bruce N. Lehmann
University of California, San Diego
Downloads 19 (518,294)
Citation 1

Abstract:

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14.

Notes on Dynamic Factor Pricing Models

NBER Working Paper No. w3677
Number of pages: 22 Posted: 21 Jul 2010
Bruce N. Lehmann
University of California, San Diego
Downloads 15 (541,365)
Citation 3

Abstract:

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15.

Asset Allocation Dynamics and Pension Fund Performance

The Journal of Business, Vol. 72, No. 4, October 1999, Cass Business School Research Paper
Posted: 11 Feb 2000
Allan Timmermann, Bruce N. Lehmann and David P. Blake
UCSD, University of California, San Diego and City University London - Cass Business School

Abstract:

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