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 18,868

SSRN RANKINGS

Top 18,868

in Total Papers Downloads

3,465

SSRN CITATIONS
Rank 2,584

SSRN RANKINGS

Top 2,584

in Total Papers Citations

72

CROSSREF CITATIONS

442

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 2,200 (8,612)
Citation 11

Abstract:

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2.

Fads, Martingales, and Market Efficiency

Number of pages: 37 Posted: 23 Apr 2004 Last Revised: 05 Dec 2021
Bruce N. Lehmann
University of California, San Diego
Downloads 450 (82,643)
Citation 50

Abstract:

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3.

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

Number of pages: 56 Posted: 28 Dec 2006 Last Revised: 16 Sep 2021
Bruce N. Lehmann and David Modest
University of California, San Diego and Azimuth Alternative Assets Management LLLP
Downloads 189 (204,234)
Citation 2

Abstract:

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4.

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

Number of pages: 64 Posted: 06 Apr 2007 Last Revised: 21 Mar 2021
Bruce N. Lehmann and David M. Modest
University of California, San Diego and affiliation not provided to SSRN
Downloads 101 (332,268)
Citation 6

Abstract:

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5.

Residual Risk Revisited

Number of pages: 39 Posted: 28 Jun 2004 Last Revised: 21 Mar 2021
Bruce N. Lehmann
University of California, San Diego
Downloads 89 (360,104)
Citation 3

Abstract:

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6.

Diversification and the Optimal Construction of Basis Portfolios

Number of pages: 38 Posted: 31 Jan 2003 Last Revised: 08 Nov 2021
Bruce N. Lehmann and David Modest
University of California, San Diego and Azimuth Alternative Assets Management LLLP
Downloads 82 (378,476)
Citation 1

Abstract:

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7.

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

Number of pages: 54 Posted: 11 Nov 2000 Last Revised: 20 Sep 2021
Bruce N. Lehmann and David Modest
University of California, San Diego and Azimuth Alternative Assets Management LLLP
Downloads 76 (395,446)

Abstract:

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8.

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

Number of pages: 29 Posted: 23 Aug 2000 Last Revised: 19 Jul 2021
Bruce N. Lehmann
University of California, San Diego
Downloads 64 (433,732)

Abstract:

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9.

Asset Pricing and Intrinsic Values: A Review Essay

Number of pages: 32 Posted: 29 Dec 2006 Last Revised: 02 Aug 2021
Bruce N. Lehmann
University of California, San Diego
Downloads 53 (474,183)

Abstract:

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10.

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

Number of pages: 56 Posted: 19 Mar 2008
Bruce N. Lehmann
University of California, San Diego
Downloads 48 (494,855)

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11.

Notes for a Contingent Claims Theory of Limit Order Markets

Number of pages: 23 Posted: 19 Sep 2005 Last Revised: 08 Jul 2021
Bruce N. Lehmann
University of California, San Diego
Downloads 42 (521,784)

Abstract:

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12.

Empirical Testing of Asset Pricing Models

Number of pages: 54 Posted: 21 Jul 2010 Last Revised: 21 Jul 2021
Bruce N. Lehmann
University of California, San Diego
Downloads 33 (567,655)
Citation 1

Abstract:

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13.

The Role of Beliefs in Inference for Rational Expectations Models

Number of pages: 22 Posted: 06 Feb 2006 Last Revised: 19 Aug 2021
Bruce N. Lehmann
University of California, San Diego
Downloads 22 (636,902)

Abstract:

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14.

Notes on Dynamic Factor Pricing Models

Number of pages: 22 Posted: 21 Jul 2010 Last Revised: 21 Jul 2021
Bruce N. Lehmann
University of California, San Diego
Downloads 16 (680,004)

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 of London

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