Harry Mamaysky

Columbia University - Columbia Business School

Associate Professor of Professional Practice

3022 Broadway

New York, NY 10027

United States

SCHOLARLY PAPERS

21

DOWNLOADS
Rank 984

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Top 984

in Total Papers Downloads

27,467

SSRN CITATIONS
Rank 3,866

SSRN RANKINGS

Top 3,866

in Total Papers Citations

105

CROSSREF CITATIONS

206

Scholarly Papers (21)

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 5,283 (1,506)
Citation 4

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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Improved Forecasting of Mutual Fund Alphas and Betas

Yale ICF Working Paper No. 04-23
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 3,836 (2,630)

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

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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 3,706 (2,859)
Citation 6

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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 2,538 (5,423)
Citation 14

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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 1,938 (8,548)
Citation 8

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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 1,802 (9,416)
Citation 23

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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 Last Revised: 22 Oct 2010
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 81 (330,707)
Citation 3

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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 1,857 (9,165)
Citation 8

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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 1,064 (21,359)
Citation 1

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

Columbia Business School Research Paper No. 17-40
Number of pages: 83 Posted: 20 Jan 2020
Charles W. Calomiris and Harry Mamaysky
Columbia University - Columbia Business School and Columbia University - Columbia Business School
Downloads 920 (26,458)
Citation 5

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

How News and its Context Drive Risk and Returns Around the World

NBER Working Paper No. w24430
Number of pages: 77 Posted: 26 Mar 2018
Charles W. Calomiris and Harry Mamaysky
Columbia University - Columbia Business School and Columbia University - Columbia Business School
Downloads 16 (610,737)
Citation 6

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10.

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 824 (31,445)
Citation 21

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11.

Does Unusual News Forecast Market Stress?

Columbia Business School Research Paper No. 15-70
Number of pages: 75 Posted: 19 Jul 2015 Last Revised: 20 Apr 2018
Paul Glasserman and Harry Mamaysky
Columbia Business School and Columbia University - Columbia Business School
Downloads 712 (38,355)
Citation 6

Abstract:

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

12.

The Time Horizon of Price Responses to Quantitative Easing

Number of pages: 47 Posted: 21 Jun 2013 Last Revised: 23 Feb 2018
Harry Mamaysky
Columbia University - Columbia Business School
Downloads 598 (48,418)
Citation 3

Abstract:

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QE, Monetary Policy, Asset Purchases, Asset Prices

13.

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 589
Citation 4

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14.

Investor Information Choice with Macro and Micro Information

Columbia Business School Research Paper No. 16-45
Number of pages: 63 Posted: 29 Jun 2016 Last Revised: 28 Dec 2019
Paul Glasserman and Harry Mamaysky
Columbia Business School and Columbia University - Columbia Business School
Downloads 403 (78,808)
Citation 1

Abstract:

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Asset Management; Investment; Information; Asset Pricing; Attention

15.

Financial Markets and News about the Coronavirus

Number of pages: 60 Posted: 01 Apr 2020 Last Revised: 15 Jun 2020
Harry Mamaysky
Columbia University - Columbia Business School
Downloads 400 (79,781)

Abstract:

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asset pricing; natural disasters; natural language processing

16.

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 389 (82,109)
Citation 7

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17.

Time Variation in the News-Returns Relationship

Columbia Business School Research Paper Forthcoming
Number of pages: 58 Posted: 17 Jul 2019 Last Revised: 14 Apr 2020
Paul Glasserman, Fulin Li and Harry Mamaysky
Columbia Business School, University of Chicago - Booth School of Business and Columbia University - Columbia Business School
Downloads 188 (174,580)

Abstract:

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information choice; asset pricing; price efficiency; attention

Monetary Policy and Exchange Rate Returns: Time-Varying Risk Regimes

Number of pages: 85 Posted: 15 Feb 2020
Charles W. Calomiris and Harry Mamaysky
Columbia University - Columbia Business School and Columbia University - Columbia Business School
Downloads 147 (216,121)

Abstract:

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exchange rate forecasting, monetary policy, carry trade, natural language processing

Monetary Policy and Exchange Rate Returns: Time-Varying Risk Regimes

NBER Working Paper No. w25714
Number of pages: 86 Posted: 01 Apr 2019
Charles W. Calomiris and Harry Mamaysky
Columbia University - Columbia Business School and Columbia University - Columbia Business School
Downloads 5 (694,041)
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19.

Dynamic Information Regimes in Financial Markets

Number of pages: 58 Posted: 09 Feb 2019 Last Revised: 27 Mar 2020
Paul Glasserman, Harry Mamaysky and Yiwen Shen
Columbia Business School, Columbia University - Columbia Business School and Columbia Business School - Decision Risk and Operations
Downloads 104 (279,584)

Abstract:

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asset pricing, information choice

Measuring the Cost of Regulation: A Text-Based Approach

Number of pages: 82 Posted: 13 Apr 2020 Last Revised: 22 Jun 2020
Charles W. Calomiris, Harry Mamaysky and Ruoke Yang
Columbia University - Columbia Business School, Columbia University - Columbia Business School and Columbia University - Columbia Business School
Downloads 58 (408,184)

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Regulation; Cost of Capital; Corporate Finance; Text Processing; NLP

Measuring the Cost of Regulation: A Text-Based Approach

NBER Working Paper No. w26856
Number of pages: 66 Posted: 16 Mar 2020
Charles W. Calomiris, Harry Mamaysky and Ruoke Yang
Columbia University - Columbia Business School, Columbia University - Columbia Business School and Imperial College London
Downloads 9 (663,147)
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21.

How Useful Are Aggregate Measures of Systemic Risk?

Posted: 19 Nov 2014
Harry Mamaysky
Columbia University - Columbia Business School
Downloads 0 (720,946)

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Systemic risk, financial institutions, financial crises, risk management