Nicolas P. B. Bollen

Vanderbilt University - Finance

Professor of Finance

401 21st Avenue South

Nashville, TN 37203

United States

SCHOLARLY PAPERS

18

DOWNLOADS
Rank 2,396

SSRN RANKINGS

Top 2,396

in Total Papers Downloads

14,771

SSRN CITATIONS
Rank 3,255

SSRN RANKINGS

Top 3,255

in Total Papers Citations

211

CROSSREF CITATIONS

129

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
Indiana University - Kelley School of Business - Department of Finance and Vanderbilt University - Finance
Downloads 2,127 (6,817)
Citation 21

Abstract:

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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 1,521 (11,866)
Citation 10

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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 Indiana University - Kelley School of Business - Department of Finance
Downloads 1,504 (12,082)
Citation 13

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hedge funds, fraud, SEC

4.

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 1,360 (14,205)
Citation 7

Abstract:

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hedge funds, factor models, time-varying beta

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 - Faculty of Business, Economics and Law
Downloads 1,236 (16,430)
Citation 19

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market microstructure, determinants of spread, option value

6.

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 1,175 (17,740)
Citation 9

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

7.
Downloads 1,072 ( 20,332)
Citation 16

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 719 (35,343)
Citation 3

Abstract:

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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 169 (183,331)
Citation 15

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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 161 (191,170)

Abstract:

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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: 20 Jul 2010
Andrew Ang and Nicolas P. B. Bollen
BlackRock, Inc and Vanderbilt University - Finance
Downloads 23 (539,500)

Abstract:

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8.

Hedge fund performance prediction

Vanderbilt Owen Graduate School of Management Research Paper No. 3034283
Number of pages: 61 Posted: 11 Sep 2017 Last Revised: 16 Jul 2019
Nicolas P. B. Bollen, Juha Joenväärä and Mikko Kauppila
Vanderbilt University - Finance, Aalto University School of Business and University of Oulu
Downloads 998 (22,592)
Citation 2

Abstract:

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hedge fund performance

9.

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 979 (23,256)
Citation 91

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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 Indiana University - Kelley School of Business - Department of Finance
Downloads 958 (23,991)
Citation 3

Abstract:

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Hedge funds, fraud

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 487 (59,652)
Citation 2

Abstract:

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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 387 (78,579)
Citation 8

Abstract:

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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 364 (84,455)
Citation 6

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

14.

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 320 (97,599)
Citation 6

Abstract:

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tick size, Pink Sheets market

15.

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 113 (252,428)
Citation 2

Abstract:

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16.

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

Number of pages: 36 Posted: 14 Nov 2019
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 92 (290,079)

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CTA, Strategy Distinctiveness

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 78 (320,906)
Citation 1

Abstract:

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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 Fisher Family Ventures

Abstract:

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Hedge fund, replication, market timing