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 882

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25,347

CITATIONS
Rank 1,824

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Top 1,824

in Total Papers Citations

308

Scholarly Papers (16)

1.
Downloads 5,212 ( 1,216)
Citation 54

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 5,212 (1,202)
Citation 54

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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

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2.
Downloads 3,772 ( 2,145)
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 3,772 (2,103)
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

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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 3,667 (2,259)
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 2,488 (4,414)
Citation 4

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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 1,909 (6,922)
Citation 12

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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 1,788 (7,633)
Citation 66

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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 67 (314,189)
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 1,800 (7,714)
Citation 37

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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 923 (21,563)
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 809 (26,549)
Citation 14

Abstract:

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10.

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 3

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11.

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 555 (44,237)

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QE, Monetary Policy, Asset Purchases, Asset Prices

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

Columbia Business School Research Paper No. 17-40
Number of pages: 100 Posted: 05 Apr 2017 Last Revised: 31 May 2018
Charles W. Calomiris and Harry Mamaysky
Columbia University - Columbia Business School and Columbia University - Columbia Business School
Downloads 527 (46,972)

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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 9 (564,998)
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13.

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 512 (48,702)

Abstract:

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

14.

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 381 (70,033)
Citation 3

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15.

Investor Information Choice with Macro and Micro Information

Columbia Business School Research Paper No. 16-45
Number of pages: 71 Posted: 29 Jun 2016 Last Revised: 02 Feb 2018
Paul Glasserman and Harry Mamaysky
Columbia Business School and Columbia University - Columbia Business School
Downloads 229 (123,673)

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

16.

How Useful Are Aggregate Measures of Systemic Risk?

Number of pages: 33 Posted: 19 Nov 2014
Harry Mamaysky
Columbia University - Columbia Business School
Downloads 110 (228,106)

Abstract:

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Systemic risk, financial institutions, financial crises, risk management