Nicolas P.B. Bollen

Owen Graduate School of Management
401 21st Avenue South
Nashville, TN 37203
nick.bollen@owen.vanderbilt.edu
office: 615.343.5029
fax: 615.343.7177


Publications
  1. Futures Market Volatility: What Has Changed?
    Journal of Futures Markets, forthcoming, 2015
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  2. Zero-R2 Hedge Funds and Market Neutrality
    Journal of Financial and Quantitative Analysis 48, p.519-547, 2013
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  3. Send in the Clones? Hedge Fund Replication with Futures Contracts
    with Gregg Fisher, Journal of Alternative Investments 16, p.80-95, 2013
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  4. Suspicious Patterns in Hedge Fund Returns and the Risk of Fraud
    with Veronika Krepely Pool, Review of Financial Studies 25 p.2673-2702, 2012
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  5. The Financial Crisis and Hedge Fund Returns
    Review of Derivatives Research 14, p.117-135, 2011
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  6. Locked Up by a Lockup: Valuing Liquidity as a Real Option
    with Andrew Ang, Financial Management 39, p.1069-1095, 2010
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  7. Do Hedge Fund Managers Misreport Returns? Evidence from the Pooled Distribution
    with Veronika Krepely Pool, Journal of Finance 64, p.2257-2288, 2009
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  8. Market Microstructure of the Pink Sheets
    with Bill Christie, Journal of Banking and Finance 33, p.1326-1339, 2009
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  9. Hedge Fund Risk Dynamics: Implications for Performance Appraisal
    with Robert E. Whaley, Journal of Finance 64, p.987-1037, 2009
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  10. Conditional Return Smoothing in the Hedge Fund Industry
    with Veronika Krepely Pool, Journal of Financial and Quantitative Analysis 43, p.267-298 (lead article), 2008
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  11. Mutual Fund Attributes and Investor Behavior
    Journal of Financial and Quantitative Analysis 42, p.683-708, 2007
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  12. Tick Size and Institutional Trading Costs: Evidence from Mutual Funds
    with Jeffrey A. Busse, Journal of Financial and Quantitative Analysis 41, p.915-937, 2006
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  13. Short-term Persistence in Mutual Fund Performance
    with Jeffrey A. Busse, Review of Financial Studies 18, p.569-597, 2005
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  14. Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?
    with Robert E. Whaley, Journal of Finance 59, p.711-753, 2004
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  15. Modeling the Bid/Ask Spread: Measuring the Inventory-Holding Premium
    with Tom Smith and Robert E. Whaley, Journal of Financial Economics 72, p.97-141, 2004
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  16. Optimal Contract Design: For Whom?
    with Tom Smith and Robert E. Whaley, Journal of Futures Markets 23, p.719-750, 2003
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  17. The Performance of Alternative Valuation Models in the OTC Currency Options Market
    with Emma Raisel, Journal of International Money and Finance 22, p.33-64, 2003
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  18. On the Timing Ability of Mutual Fund Managers
    with Jeffrey A. Busse, Journal of Finance 56, p.1075-1094, 2001
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  19. Regime-Switching in Foreign Exchange Rates: Evidence from Currency Option Prices
    with Stephen F. Gray and Robert E. Whaley, Journal of Econometrics 94, p.239-276, 2000
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  20. Real Options and Product Life Cycles
    Management Science 45, p.670-684, 1999
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  21. Do Expirations of Hang Seng Index Derivatives affect Stock Market Volatility?
    with Robert E. Whaley, Pacific Basin Finance Journal 7, p.453-470, 1999
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  22. A Note on the Impact of Options on Stock Return Volatility
    Journal of Banking and Finance 22, p.1181-1191, 1998
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  23. Are Teenies Better?
    with Robert E. Whaley, Journal of Portfolio Management 25, p.10-24, 1998
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  24. Valuing Options in Regime-Switching Models
    Journal of Derivatives 6, p.38-49, 1998
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  25. Simulating Supply
    with Robert E. Whaley, RISK 11, p.143-147, 1998. Reprinted in Corporate Hedging in Theory and Practice: Lessons from Metallgesellchaft, Christopher L. Culp and Merton H. Miller (Editors), RISK Books, London, England, 1999
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  26. Derivatives and the Price of Risk
    Journal of Futures Markets 17, p.839-854, 1997
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