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Bruce N. Lehmann

Professor of Economics and Finance

blehmann@ucsd.edu

Phone:
(858) 534-0945
Fax: (858) 534-3939

9500 Gilman Drive
La Jolla, CA 92093-0519

Office: #1415

Education

Ph.D., University of Chicago, 1983 (economics)
M.A., University of Chicago, 1979 (economics)
A.B., Washington University, 1977 (economics and history, with honors, magna cum laude)

Programs and Centers

International Management Career Track

Biography

Lehmann is a specialist in financial economics, with expertise in the pricing of capital assets, their volatility, and the markets in which they trade. His main research interests include empirical tests of asset pricing models, the analysis of short-run stock price fluctuations, and the microstructure of securities markets, with recent emphasis on the behavior of Japanese financial markets. Lehmann is the author of numerous articles in leading scholarly journals, including the Journal of Finance; the Journal of Financial Economics; Macroeconomic Dynamics; the Quarterly Journal of Economics; and the Journal of Econometrics. He is also the author of the entry "Empirical Testing of Asset Pricing Models" in the New Palgrave Dictionary of Money and Finance. Lehmann is founding co-editor of the Journal of Financial Markets and has served as associate editor of the Review of Financial Studies and the Review of Quantitative Finance and Accounting. He has served as a director of the Western Finance Association, a member of the Scientific Advisory Board of Investment Technology Group, Inc. and on the boards of directors of First Boston Investment Funds, Inc. and of BEA Associates, Inc. Lehmann has earned many honors and distinctions: he was appointed Batterymarch Fellow, the most prestigious award given to scholars in finance; he was an Olin Fellow at the National Bureau of Economic Research; and he was a National Fellow at the Hoover Institution on War, Revolution and Peace at Stanford University. Prior to joining IR/PS in 1992, Lehmann taught at Columbia University.

Perspectives

Lehmann can provide commentary on broad trends in financial markets, particularly on questions of industrial organization, volatility and efficiency.

Expertise

Lehmann is a specialist on financial economics, particularly on the pricing and volatility of capital assets, and the markets in which they are traded.

Current Projects

Lehmann's main research interests in financial economics lie in empirical tests of asset pricing models, the analysis of short-run stock price fluctuations, and the microstructure of securities markets, with emphasis on behavior of Japanese financial markets.

Background Notes

Lehmann is a founding co-editor of the Journal of Financial Markets and has served as associate editor of the Review of Financial Studies and the Review of Quantitative Finance and Accounting. He has served as a director of the Western Finance Association, a member of the Scientific Advisory Board of Investment Technology Group, Inc. and has served on the boards of directors of First Boston Investment Funds, Inc., and BEA Associates, Inc.

Professional Activities

American Economic Association
American Finance Association
European Finance Association
Western Finance Association

Research Interests

  • Financial economics
  • Macroeconomics
  • Econometrics, especially empirical testing of asset pricing models, the microstructure of securities markets, and risk premiums and volatility of and mean reversion in stock prices.

Publications of Note

Lehmann is the author of numerous articles in scholarly journals, including "PPP Deviations in the Long Run" (with Michael Adler), Journal of Finance
"Mutual Fund Performance Evaluation: a Comparison of Benchmarks and Benchmark Comparisons," Journal of Finance
"The Empirical Foundations of the Arbitrage Pricing Theory," Journal of Financial Economics; and "Trading the Liquidity on the Tokyo Stock Exchange: A Bird's Eye View" (all with David M. Modest), Journal of Finance
"Growth Optimal Portfolio Restrictions on Asset Pricing Models," (with Ravi Bansal), Macroeconomic Dynamics 1
"Fads, Martingales and Market Efficiency," Quarterly Journal of Economics
"Residual Risk Revisited," Journal of Econometrics
"Empirical Testing of Asset Pricing Models" in the New Palgrave Dictionary of Money and Finance.