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

  • University of California, San Diego

    • Email
    • Tel: 858-534-0945
    • Fax: 858-534-3939

  • Massachusetts Institute of Technology (MIT)

    • Email
    • Tel: 617-253-9459
SCHOLARLY PAPERS

15

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Top 20,528

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3,922

SSRN CITATIONS
Rank 2,598

SSRN RANKINGS

Top 2,598

in Total Papers Citations

109

CROSSREF CITATIONS

442

Scholarly Papers (15)

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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 2,496 (8,723)
Citation 12

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2.

Fads, Martingales, and Market Efficiency

NBER Working Paper No. w2533
Number of pages: 37 Posted: 23 Apr 2004 Last Revised: 05 Jun 2022
Bruce N. Lehmann
University of California, San Diego
Downloads 494 (89,545)
Citation 74

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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 2022
Bruce N. Lehmann and David Modest
University of California, San Diego and Azimuth Alternative Assets Management LLLP
Downloads 206 (227,201)
Citation 2

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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: 19 Sep 2022
Bruce N. Lehmann and David M. Modest
University of California, San Diego and affiliation not provided to SSRN
Downloads 116 (363,097)
Citation 10

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5.

Residual Risk Revisited

NBER Working Paper No. w1908
Number of pages: 39 Posted: 28 Jun 2004 Last Revised: 19 Sep 2022
Bruce N. Lehmann
University of California, San Diego
Downloads 98 (407,795)
Citation 3

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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: 09 Nov 2022
Bruce N. Lehmann and David Modest
University of California, San Diego and Azimuth Alternative Assets Management LLLP
Downloads 89 (433,803)
Citation 1

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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 2022
Bruce N. Lehmann and David Modest
University of California, San Diego and Azimuth Alternative Assets Management LLLP
Downloads 87 (439,868)

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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 2022
Bruce N. Lehmann
University of California, San Diego
Downloads 75 (479,804)

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9.

Asset Pricing and Intrinsic Values: A Review Essay

NBER Working Paper No. w3873
Number of pages: 32 Posted: 29 Dec 2006 Last Revised: 03 Aug 2022
Bruce N. Lehmann
University of California, San Diego
Downloads 60 (538,795)

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10.

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 58 (547,633)

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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: 26 Dec 2022
Bruce N. Lehmann
University of California, San Diego
Downloads 50 (585,385)

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12.

Empirical Testing of Asset Pricing Models

NBER Working Paper No. w4043
Number of pages: 54 Posted: 21 Jul 2010 Last Revised: 21 Jul 2022
Bruce N. Lehmann
University of California, San Diego
Downloads 43 (622,414)
Citation 1

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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 2022
Bruce N. Lehmann
University of California, San Diego
Downloads 28 (716,196)

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14.

Notes on Dynamic Factor Pricing Models

NBER Working Paper No. w3677
Number of pages: 22 Posted: 21 Jul 2010 Last Revised: 21 Jul 2022
Bruce N. Lehmann
University of California, San Diego
Downloads 22 (761,162)

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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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