Nicolas P. B. Bollen

Vanderbilt University - Finance

Professor of Finance

401 21st Avenue South

Nashville, TN 37203

United States

http://mba.vanderbilt.edu/faculty/nbollen.cfm

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 2,001

SSRN RANKINGS

Top 2,001

in Total Papers Downloads

13,108

CITATIONS
Rank 1,182

SSRN RANKINGS

Top 1,182

in Total Papers Citations

461

Scholarly Papers (15)

1.

Do Hedge Fund Managers Misreport Returns? Evidence from the Pooled Distribution

Number of pages: 55 Posted: 02 Oct 2007 Last Revised: 13 May 2014
Veronika Krepely Pool and Nicolas P. B. Bollen
Indiana University - Kelley School of Business - Department of Finance and Vanderbilt University - Finance
Downloads 1,961 (5,149)
Citation 41

Abstract:

hedge funds, return management

2.

On the Timing Ability of Mutual Fund Managers

EFA 0687
Number of pages: 32 Posted: 08 Nov 2000
Jeffrey A. Busse and Nicolas P. B. Bollen
Emory University - Department of Finance and Vanderbilt University - Finance
Downloads 1,346 (9,782)
Citation 125

Abstract:

3.

Hedge Fund Risk Dynamics: Implications for Performance Appraisal

AFA 2008 New Orleans Meetings Paper
Number of pages: 63 Posted: 04 Mar 2007
Nicolas P. B. Bollen and Robert E. Whaley
Vanderbilt University - Finance and Vanderbilt University - Finance
Downloads 1,233 (11,098)
Citation 32

Abstract:

hedge funds, factor models, time-varying beta

4.

Suspicious Patterns in Hedge Fund Returns and the Risk of Fraud

Number of pages: 44 Posted: 15 Mar 2010 Last Revised: 13 May 2014
Nicolas P. B. Bollen and Veronika Krepely Pool
Vanderbilt University - Finance and Indiana University - Kelley School of Business - Department of Finance
Downloads 1,212 (10,497)
Citation 1

Abstract:

hedge funds, fraud, SEC

5.

Modeling the Bid/ask Spread: Measuring the Inventory-holding Premium

Number of pages: 57 Posted: 05 Dec 2002
Nicolas P. B. Bollen, Robert E. Whaley and Tom Smith
Vanderbilt University - Finance, Vanderbilt University - Finance and University of Queensland
Downloads 1,035 (14,495)
Citation 24

Abstract:

market microstructure, determinants of spread, option value

Locked Up by a Lockup: Valuing Liquidity as a Real Option

Number of pages: 49 Posted: 30 Oct 2008 Last Revised: 17 Nov 2012
Andrew Ang and Nicolas P. B. Bollen
BlackRock, Inc and Vanderbilt University - Finance
Downloads 698 (27,349)
Citation 9

Abstract:

Cost of illiquidity, hedge fund valuation, exercise restriction, redemption notice period, lockup, suspension clause

Locked Up by a Lockup: Valuing Liquidity as a Real Option

Number of pages: 40 Posted: 11 Mar 2009
Andrew Ang and Nicolas P. B. Bollen
BlackRock, Inc and Vanderbilt University - Finance
Downloads 155 (153,178)
Citation 9

Abstract:

hedge fund lockup, withdrawal, redemption notice period, suspension clause

Locked Up by a Lockup: Valuing Liquidity as a Real Option

Financial Management, Vol. 39, No. 3, pp. 1069-1096, November 2008
Number of pages: 49 Posted: 21 Oct 2011
Andrew Ang and Nicolas P. B. Bollen
BlackRock, Inc and Vanderbilt University - Finance
Downloads 151 (156,658)
Citation 9

Abstract:

Locked Up by a Lockup: Valuing Liquidity as a Real Option

NBER Working Paper No. w15937
Number of pages: 56 Posted: 26 Apr 2010
Andrew Ang and Nicolas P. B. Bollen
BlackRock, Inc and Vanderbilt University - Finance
Downloads 19 (450,768)
Citation 9

Abstract:

7.

Mutual Fund Attributes and Investor Behavior

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 41 Posted: 07 May 2006
Nicolas P. B. Bollen
Vanderbilt University - Finance
Downloads 992 (14,515)
Citation 26

Abstract:

socially responsible investing, mutual funds, behavioral finance, fund flows

8.

Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?

AFA 2003 Washington, DC Meetings
Number of pages: 54 Posted: 08 Aug 2002
Nicolas P. B. Bollen and Robert E. Whaley
Vanderbilt University - Finance and Vanderbilt University - Finance
Downloads 927 (17,843)
Citation 138

Abstract:

Option valuation, market efficiency, limits to arbitrage

9.

Conditional Return Smoothing in the Hedge Fund Industry

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 53 Posted: 17 Oct 2006
Nicolas P. B. Bollen and Veronika Krepely Pool
Vanderbilt University - Finance and Indiana University - Kelley School of Business - Department of Finance
Downloads 875 (18,820)
Citation 27

Abstract:

Hedge funds, fraud

10.

Send in the Clones? Hedge Fund Replication Using Futures Contracts

Vanderbilt Owen Graduate School of Management Research Paper No. 2102593
Number of pages: 35 Posted: 10 Jul 2012 Last Revised: 22 Mar 2013
Nicolas P. B. Bollen and Gregg S. Fisher
Vanderbilt University - Finance and Gerstein Fisher
Downloads 522 (37,467)
Citation 1

Abstract:

Hedge fund, replication, market timing

11.

A Screen for Fraudulent Return Smoothing in the Hedge Fund Industry

Number of pages: 51 Posted: 18 Mar 2005
Nicolas P. B. Bollen and Veronika Krepely Pool
Vanderbilt University - Finance and Indiana University - Kelley School of Business - Department of Finance
Downloads 467 (46,004)
Citation 26

Abstract:

Hedge funds, fraud

12.

Zero-R2 Hedge Funds and Market Neutrality

Number of pages: 48 Posted: 02 Mar 2011 Last Revised: 17 Nov 2012
Nicolas P. B. Bollen
Vanderbilt University - Finance
Downloads 317 (66,489)
Citation 5

Abstract:

13.

Market Microstructure of the Pink Sheets

Number of pages: 47 Posted: 20 Feb 2007 Last Revised: 17 Nov 2012
William G. Christie and Nicolas P. B. Bollen
Vanderbilt University - Finance and Vanderbilt University - Finance
Downloads 277 (79,339)
Citation 5

Abstract:

tick size, Pink Sheets market

14.

When Hedge Funds Block the Exits

Number of pages: 19 Posted: 25 Aug 2011
Andrew Ang and Nicolas P. B. Bollen
BlackRock, Inc and Vanderbilt University - Finance
Downloads 78 (228,360)
Citation 1

Abstract:

15.

How Much for a Haircut? Illiquidity, Secondary Markets, and the Value of Private Equity

Vanderbilt Owen Graduate School of Management Research Paper No. 2608549, Charles A. Dice Center Working Paper No. 2015-08, Fisher College of Business Working Paper No. 2015-03-08
Number of pages: 58 Posted: 22 May 2015 Last Revised: 19 Mar 2016
Nicolas P. B. Bollen and Berk A. Sensoy
Vanderbilt University - Finance and Ohio State University - Fisher College of Business
Downloads 69 (110,738)

Abstract:

private equity, performance, secondary market, liquidity, value, risk