Harry Mamaysky

Columbia University - Columbia Business School

Associate Professor of Professional Practice

3022 Broadway

New York, NY 10027

United States

SCHOLARLY PAPERS

16

DOWNLOADS
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Top 844

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24,908

CITATIONS
Rank 1,835

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Top 1,835

in Total Papers Citations

307

Scholarly Papers (16)

1.
Downloads 5,182 ( 1,145)
Citation 53

Estimating the Dynamics of Mutual Fund Alphas and Betas

Yale ICF Working Paper No. 03-03; EFA 2003 Annual Conference Paper No. 803; AFA 2004 San Diego Meetings
Number of pages: 40 Posted: 10 Mar 2005
Matthew I. Spiegel, Harry Mamaysky and Hong Zhang
Yale University - Yale School of Management, International Center for Finance, Columbia University - Columbia Business School and Tsinghua University - PBC School of Finance
Downloads 5,182 (1,131)
Citation 53

Abstract:

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Estimating the Dynamics of Mutual Fund Alphas and Betas

The Review of Financial Studies, Vol. 21, Issue 1, pp. 233-264, 2008
Posted: 26 Jun 2008
Harry Mamaysky, Matthew I. Spiegel and Hong Zhang
Columbia University - Columbia Business School, Yale University - Yale School of Management, International Center for Finance and Tsinghua University - PBC School of Finance

Abstract:

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2.
Downloads 3,745 ( 1,999)
Citation 39

Improved Forecasting of Mutual Fund Alphas and Betas

Yale ICF Working Paper No. 04-23, EFA 2005 Moscow Meetings
Number of pages: 42 Posted: 27 Jul 2005
Matthew I. Spiegel, Harry Mamaysky and Hong Zhang
Yale University - Yale School of Management, International Center for Finance, Columbia University - Columbia Business School and Tsinghua University - PBC School of Finance
Downloads 3,745 (1,957)
Citation 39

Abstract:

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Mutual fund performance, back test

Improved Forecasting of Mutual Fund Alphas and Betas

Review of Finance, Vol. 11, Issue 3, pp. 359-400, 2007
Posted: 14 Jul 2008
Harry Mamaysky, Matthew I. Spiegel and Hong Zhang
Columbia University - Columbia Business School, Yale University - Yale School of Management, International Center for Finance and Tsinghua University - PBC School of Finance

Abstract:

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G12, G13

3.

A Model for Pricing Stocks and Bonds with Default Risk

Yale ICF Working Paper No. 02-13
Number of pages: 54 Posted: 13 May 2002
Harry Mamaysky
Columbia University - Columbia Business School
Downloads 3,576 (2,093)
Citation 6

Abstract:

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4.

Market Prices of Risk and Return Predictability in a Joint Stock-Bond Pricing Model

Yale ICF Working Paper No. 02-25
Number of pages: 62 Posted: 27 Aug 2002
Harry Mamaysky
Columbia University - Columbia Business School
Downloads 2,400 (4,152)
Citation 4

Abstract:

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5.

A Model for Pricing Stocks and Bonds

Yale ICF Working Paper No. 02-10
Number of pages: 47 Posted: 24 Apr 2002
Harry Mamaysky
Columbia University - Columbia Business School
Downloads 1,851 (6,524)
Citation 12

Abstract:

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Asset Prices and Trading Volume Under Fixed Transactions Costs

EFA 2001 Barcelona Meetings; Yale ICF Working Paper No. 00-35
Number of pages: 78 Posted: 07 Jun 2001
Andrew W. Lo, Harry Mamaysky and Jiang Wang
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Columbia University - Columbia Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,778 (7,205)
Citation 66

Abstract:

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Asset Pricing, Liquidity, Trading Volume, Transaction Costs

Asset Prices and Trading Volume Under Fixed Transactions Costs

NBER Working Paper No. w8311
Number of pages: 78 Posted: 03 Jun 2001
Andrew W. Lo, Harry Mamaysky and Jiang Wang
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Columbia University - Columbia Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 66 (304,061)
Citation 66

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Asset Prices and Trading Volume Under Fixed Transactions Costs

Journal of Political Economy, Vol. 112, pp. 1054-1090, October 2004
Posted: 03 Sep 2004
Andrew W. Lo, Harry Mamaysky and Jiang Wang
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Columbia University - Columbia Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Abstract:

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7.

A Theory of Mutual Funds: Optimal Fund Objectives and Industry Organization

Yale ICF Working Paper No. 00-50
Number of pages: 65 Posted: 04 Sep 2001
Matthew I. Spiegel and Harry Mamaysky
Yale University - Yale School of Management, International Center for Finance and Columbia University - Columbia Business School
Downloads 1,699 (7,410)
Citation 37

Abstract:

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Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation

NBER Working Paper No. w7613
Number of pages: 60 Posted: 16 May 2000 Last Revised: 10 Apr 2001
Andrew W. Lo, Harry Mamaysky and Jiang Wang
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Columbia University - Columbia Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 897 (21,233)
Citation 70

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Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation

Journal of Finance
Posted: 14 May 2000
Andrew W. Lo, Harry Mamaysky and Jiang Wang
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Columbia University - Columbia Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Abstract:

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9.

Dynamic Trading Policies with Price Impact

Yale ICF Working Paper No. 00-64
Number of pages: 44 Posted: 07 Nov 2001
Hua He and Harry Mamaysky
Yale University - School of Management and Columbia University - Columbia Business School
Downloads 773 (25,439)
Citation 14

Abstract:

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10.

The Time Horizon of Price Responses to Quantitative Easing

Number of pages: 46 Posted: 21 Jun 2013 Last Revised: 20 May 2017
Harry Mamaysky
Columbia University - Columbia Business School
Downloads 440 (44,568)

Abstract:

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QE, Monetary Policy, Asset Purchases, Asset Prices

11.

Interest Rates and the Durability of Consumption Goods

AFA 2002 Atlanta Meetings; Yale ICF Working Paper No. 00-52
Number of pages: 53 Posted: 19 Sep 2001
Harry Mamaysky
Columbia University - Columbia Business School
Downloads 371 (66,636)
Citation 3

Abstract:

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12.

Does Unusual News Forecast Market Stress?

Columbia Business School Research Paper No. 15-70
Number of pages: 56 Posted: 19 Jul 2015 Last Revised: 20 Apr 2017
Paul Glasserman and Harry Mamaysky
Columbia Business School and Columbia University - Columbia Business School
Downloads 97 (54,714)

Abstract:

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asset pricing, financial news media, natural language processing, rational inattention

13.

How Useful Are Aggregate Measures of Systemic Risk?

Number of pages: 33 Posted: 19 Nov 2014
Harry Mamaysky
Columbia University - Columbia Business School
Downloads 49 (226,129)

Abstract:

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Systemic risk, financial institutions, financial crises, risk management

14.

How News and Its Context Drive Risk and Returns around the World

Columbia Business School Research Paper No. 17-40
Number of pages: 85 Posted: 05 Apr 2017
Charles W. Calomiris and Harry Mamaysky
Columbia University - Columbia Business School and Columbia University - Columbia Business School
Downloads 0 (63,974)

Abstract:

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Empirical Asset Pricing, International Markets, Financial News Media, Natural Language Processing

15.

Investor Information Choice with Macro and Micro Information

Columbia Business School Research Paper No. 16-45
Number of pages: 53 Posted: 29 Jun 2016 Last Revised: 02 Feb 2018
Paul Glasserman and Harry Mamaysky
Columbia Business School and Columbia University - Columbia Business School
Downloads 0 (144,333)

Abstract:

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Asset Management; Investment; Information; Asset Pricing; Volatility; Attention

16.

On the Joint Pricing of Stocks and Bonds: Theory and Evidence

Yale ICF Working Paper No. 00-68
Number of pages: 65 Posted: 09 Jan 2002
Harry Mamaysky
Columbia University - Columbia Business School
Downloads 0
Citation 3

Abstract:

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