Harry Mamaysky

Columbia University - Columbia Business School

Associate Professor of Professional Practice

3022 Broadway

New York, NY 10027

United States

  • Columbia University - Columbia Business School

SCHOLARLY PAPERS

29

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33,908

SSRN CITATIONS
Rank 3,272

SSRN RANKINGS

Top 3,272

in Total Papers Citations

288

CROSSREF CITATIONS

205

Scholarly Papers (29)

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1.

Estimating the Dynamics of Mutual Fund Alphas and Betas

Downloads 5,438 ( 2,642)
Citation 9

Estimating the Dynamics of Mutual Fund Alphas and Betas

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 Singapore Management University, LKCSB
Downloads 5,438 (2,609)
Citation 9

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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 Singapore Management University, LKCSB

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2.

Improved Forecasting of Mutual Fund Alphas and Betas

Downloads 3,925 ( 4,576)
Citation 3

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 Singapore Management University, LKCSB
Downloads 3,925 (4,489)
Citation 3

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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 Singapore Management University, LKCSB

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G12, G13

3.

A Model for Pricing Stocks and Bonds with Default Risk

Number of pages: 54 Posted: 13 May 2002
Harry Mamaysky
Columbia University - Columbia Business School
Downloads 3,761 (4,928)
Citation 6

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4.

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

Number of pages: 62 Posted: 27 Aug 2002
Harry Mamaysky
Columbia University - Columbia Business School
Downloads 2,588 (9,027)
Citation 14

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5.

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

Downloads 2,281 (11,047)

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: 26 Oct 2022
Andrew W. Lo, Harry Mamaysky and Jiang Wang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Columbia University - Columbia Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,281 (10,831)

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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) - Laboratory for Financial Engineering, Columbia University - Columbia Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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6.

A Model for Pricing Stocks and Bonds

Number of pages: 47 Posted: 24 Apr 2002
Harry Mamaysky
Columbia University - Columbia Business School
Downloads 2,005 (13,551)
Citation 5

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7.

Asset Prices and Trading Volume Under Fixed Transactions Costs

Downloads 1,980 (13,849)
Citation 67

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) - Laboratory for Financial Engineering, Columbia University - Columbia Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,855 (15,074)
Citation 30

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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: 18 Sep 2022
Andrew W. Lo, Harry Mamaysky and Jiang Wang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Columbia University - Columbia Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 125 (373,762)

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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) - Laboratory for Financial Engineering, Columbia University - Columbia Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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8.

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 1,959 (14,089)
Citation 8

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9.

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

Downloads 1,386 (24,001)
Citation 47

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 1,321 (25,308)
Citation 9

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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 Last Revised: 03 Apr 2022
Charles W. Calomiris and Harry Mamaysky
Columbia University - Columbia Business School and Columbia University - Columbia Business School
Downloads 65 (572,594)
Citation 38

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10.

News and Markets in the Time of COVID-19

Number of pages: 54 Posted: 01 Apr 2020 Last Revised: 16 Jul 2023
Harry Mamaysky
Columbia University - Columbia Business School
Downloads 1,092 (33,877)
Citation 6

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asset pricing; NLP; natural disasters; behavioral finance

11.

Dynamic Trading Policies with Price Impact

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 852 (47,993)
Citation 23

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12.

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 846 (48,470)
Citation 9

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

13.

Investor Information Choice with Macro and Micro Information

Columbia Business School Research Paper No. 16-45
Number of pages: 59 Posted: 29 Jun 2016 Last Revised: 06 Apr 2022
Paul Glasserman and Harry Mamaysky
Columbia Business School and Columbia University - Columbia Business School
Downloads 694 (63,199)
Citation 2

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Asset Management; Investment; Information; Asset Pricing; Attention; Mutual Funds

14.

Credit Information in Earnings Calls

HKUST Business School Research Paper No. 2022-075
Number of pages: 55 Posted: 09 Aug 2022 Last Revised: 30 Aug 2023
Harry Mamaysky, Yiwen Shen and Hongyu Wu
Columbia University - Columbia Business School, Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management and Yale School of Management
Downloads 665 (66,750)

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Corporate credit, credit default swaps, return forecasting, NLP

15.

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 630 (71,550)
Citation 6

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QE, Monetary Policy, Asset Purchases, Asset Prices

16.

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

Number of pages: 65 Posted: 09 Jan 2002
Harry Mamaysky
Columbia University - Columbia Business School
Downloads 630
Citation 4

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17.

Time Variation in the News-Returns Relationship

Columbia Business School Research Paper Forthcoming
Number of pages: 74 Posted: 17 Jul 2019 Last Revised: 25 Jul 2023
Paul Glasserman, Fulin Li and Harry Mamaysky
Columbia Business School, Texas A&M University - Mays Business School and Columbia University - Columbia Business School
Downloads 580 (79,483)

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information choice; asset pricing; price efficiency; attention

18.

Dynamic Information Regimes in Financial Markets

Number of pages: 47 Posted: 09 Feb 2019 Last Revised: 03 Feb 2023
Paul Glasserman, Harry Mamaysky and Yiwen Shen
Columbia Business School, Columbia University - Columbia Business School and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 522 (90,418)
Citation 2

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asset pricing, information choice

19.

Interest Rates and the Durability of Consumption Goods

Number of pages: 53 Posted: 19 Sep 2001
Harry Mamaysky
Columbia University - Columbia Business School
Downloads 418 (117,899)
Citation 7

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20.

Choosing News Topics to Explain Stock Market Returns

ACM International Conference on AI in Finance 2020
Number of pages: 8 Posted: 19 Nov 2020 Last Revised: 14 Jun 2021
Paul Glasserman, Kriste Krstovski, Paul-Robert Laliberte and Harry Mamaysky
Columbia Business School, Columbia University, Citigroup, Inc. and Columbia University - Columbia Business School
Downloads 365 (137,512)

Abstract:

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text analysis, finance, supervised topic models

21.

Measuring the Cost of Regulation: A Text-Based Approach

Downloads 335 (151,356)
Citation 3

Measuring the Cost of Regulation: A Text-Based Approach

Number of pages: 66 Posted: 13 Apr 2020 Last Revised: 22 May 2023
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 275 (185,300)

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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: 59 Posted: 16 Mar 2020 Last Revised: 20 May 2023
Charles W. Calomiris, Harry Mamaysky and Ruoke Yang
Columbia University - Columbia Business School, Columbia University - Columbia Business School and Imperial College London
Downloads 60 (596,687)
Citation 3

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22.

Big Data Meets the Turbulent Oil Market

Downloads 275 (185,561)

Big Data Meets the Turbulent Oil Market

Federal Reserve Bank of Kansas City Working Paper No. 20-20
Number of pages: 60 Posted: 28 Dec 2020 Last Revised: 22 Nov 2022
Charles W. Calomiris, Nida Çakır Melek and Harry Mamaysky
Columbia University - Columbia Business School, Federal Reserve Bank of Kansas City and Columbia University - Columbia Business School
Downloads 251 (202,440)

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Asset Pricing, Commodity Markets, Energy Forecasting, Model Validation

Predicting the Oil Market

NBER Working Paper No. w29379
Number of pages: 66 Posted: 18 Oct 2021 Last Revised: 10 Apr 2023
Charles W. Calomiris, Harry Mamaysky and Nida Cakir Melek
Columbia University - Columbia Business School, Columbia University - Columbia Business School and Federal Reserve Bank of Kansas City
Downloads 24 (843,965)

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23.

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

Downloads 267 (191,154)
Citation 1

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 252 (201,651)

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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 Last Revised: 06 Apr 2023
Charles W. Calomiris and Harry Mamaysky
Columbia University - Columbia Business School and Columbia University - Columbia Business School
Downloads 15 (931,898)

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24.

Fed Implied Market Prices and Risk Premia

Downloads 235 (216,730)

Fed Implied Market Prices and Risk Premia

Number of pages: 49 Posted: 06 Jul 2022 Last Revised: 22 Oct 2022
Charles W. Calomiris, Joanna Harris, Harry Mamaysky and Cristina Tessari
Columbia University - Columbia Business School, University of Chicago, Columbia University - Columbia Business School and Goldman Sachs
Downloads 227 (223,429)

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Monetary policy, asset pricing, text data, market expectations

Fed Implied Market Prices and Risk Premia

NBER Working Paper No. w30210
Number of pages: 49 Posted: 04 Jul 2022 Last Revised: 19 Jul 2023
Charles W. Calomiris, Joanna Harris, Harry Mamaysky and Cristina Tessari
Columbia University - Columbia Business School, University of Chicago, Columbia University - Columbia Business School and Goldman Sachs
Downloads 8 (1,004,178)
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25.

Tax-Loss Harvesting: A Primer

Number of pages: 20 Posted: 16 Aug 2023
Harry Mamaysky
Columbia University - Columbia Business School
Downloads 72 (533,980)

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Tax loss harvesting, investing

26.

New News is Bad News

Number of pages: 51
Paul Glasserman, Harry Mamaysky and Jimmy Qin
Columbia Business School, Columbia University - Columbia Business School and Columbia University - Columbia Business School
Downloads 72

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entropy; natural language processing; news articles; empirical asset pricing

27.

Predicting the Oil Market: Supplementary Appendix

Federal Reserve Bank of Kansas City Working Paper Forthcoming
Number of pages: 45 Posted: 28 Dec 2020 Last Revised: 27 Jan 2022
Charles W. Calomiris, Nida Çakır Melek and Harry Mamaysky
Columbia University - Columbia Business School, Federal Reserve Bank of Kansas City and Columbia University - Columbia Business School
Downloads 25 (809,541)

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28.

Investment Advisors to Individual Investors

Number of pages: 50 Posted: 29 Sep 2023
Harry Mamaysky and Yuqi Zhang
Columbia University - Columbia Business School and Columbia University - Columbia Business School
Downloads 10

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financial planning, investment advisors, financial intermediaries, delegated portfolio management

29.

How Useful Are Aggregate Measures of Systemic Risk?

https://doi.org/10.3905/jai.2016.18.4.013
Posted: 19 Nov 2014
Harry Mamaysky
Columbia University - Columbia Business School
Downloads 0 (1,031,480)

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Systemic risk, financial institutions, financial crises, risk management