Nicolas P. B. Bollen

Vanderbilt University - Finance

Professor of Finance

401 21st Avenue South

Nashville, TN 37203

United States

SCHOLARLY PAPERS

18

DOWNLOADS
Rank 2,677

SSRN RANKINGS

Top 2,677

in Total Papers Downloads

16,357

SSRN CITATIONS
Rank 3,065

SSRN RANKINGS

Top 3,065

in Total Papers Citations

304

CROSSREF CITATIONS

138

Scholarly Papers (18)

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
Vanderbilt University - Owen Graduate School of Management and Vanderbilt University - Finance
Downloads 2,169 (8,347)
Citation 31

Abstract:

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hedge funds, return management

2.

On the Timing Ability of Mutual Fund Managers

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 1,573 (13,981)
Citation 21

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3.

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 Vanderbilt University - Owen Graduate School of Management
Downloads 1,571 (14,010)
Citation 19

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hedge funds, fraud, SEC

4.

Hedge Fund Performance: End of an Era?

Financial Analysts Journal, Forthcoming
Number of pages: 43 Posted: 11 Sep 2017 Last Revised: 18 May 2021
Nicolas P. B. Bollen, Juha Joenväärä and Mikko Kauppila
Vanderbilt University - Finance, Aalto University School of Business and University of Oulu
Downloads 1,454 (15,864)
Citation 4

Abstract:

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hedge fund performance

5.

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 1,377 (17,278)
Citation 12

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hedge funds, factor models, time-varying beta

6.

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 - Faculty of Business, Economics and Law
Downloads 1,308 (18,638)
Citation 20

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market microstructure, determinants of spread, option value

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 1,212 (20,895)
Citation 37

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

8.
Downloads 1,108 ( 23,877)
Citation 17

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 733 (42,034)
Citation 3

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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 173 (212,229)
Citation 14

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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 169 (216,659)
Citation 3

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

NBER Working Paper No. w15937
Number of pages: 56 Posted: 26 Apr 2010 Last Revised: 19 Jul 2021
Andrew Ang and Nicolas P. B. Bollen
BlackRock, Inc and Vanderbilt University - Finance
Downloads 33 (560,904)

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9.

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

Number of pages: 54 Posted: 08 Aug 2002
Nicolas P. B. Bollen and Robert E. Whaley
Vanderbilt University - Finance and Vanderbilt University - Finance
Downloads 1,097 (24,235)
Citation 113

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Option valuation, market efficiency, limits to arbitrage

10.

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 Vanderbilt University - Owen Graduate School of Management
Downloads 967 (29,041)
Citation 6

Abstract:

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Hedge funds, fraud

11.

When It Pays to Follow the Crowd: Strategy Conformity and CTA Performance

Journal of Futures Markets
Number of pages: 47 Posted: 14 Nov 2019 Last Revised: 09 Feb 2021
Nicolas P. B. Bollen, Mark C. Hutchinson and John O'Brien
Vanderbilt University - Finance, University College Cork and University College Cork - Department of Accounting, Finance and Information Systems
Downloads 645 (50,536)

Abstract:

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CTA, Strategy Distinctiveness

12.

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 Vanderbilt University - Owen Graduate School of Management
Downloads 496 (70,408)
Citation 2

Abstract:

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Hedge funds, fraud

13.

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 Vanderbilt University - Finance
Downloads 450 (79,209)
Citation 10

Abstract:

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

14.

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 403 (90,106)
Citation 10

Abstract:

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15.

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 326 (114,560)
Citation 2

Abstract:

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tick size, Pink Sheets market

16.

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 116 (291,072)
Citation 2

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17.

Gender, Risk Tolerance, and False Consensus in Asset Allocation Recommendations

Vanderbilt Owen Graduate School of Management Research Paper No. 3059896
Number of pages: 44 Posted: 27 Oct 2017
Nicolas P. B. Bollen and Steven S. Posavac
Vanderbilt University - Finance and Vanderbilt University - Marketing
Downloads 85 (356,888)
Citation 2

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Risk Tolerance, Gender, Asset Allocation

18.

Send in the Clones? Hedge Fund Replication Using Futures Contracts

Vanderbilt Owen Graduate School of Management Research Paper No. 2102593, https://doi.org/10.3905/jai.2013.16.2.080
Posted: 21 May 2019
Nicolas P. B. Bollen and Gregg S. Fisher
Vanderbilt University - Finance and Quent Capital

Abstract:

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Hedge fund, replication, market timing