Nicolas P. B. Bollen

Vanderbilt University - Finance

Professor of Finance

401 21st Avenue South

Nashville, TN 37203

United States

  • Vanderbilt University - Finance

SCHOLARLY PAPERS

18

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17,304

SSRN CITATIONS
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SSRN RANKINGS

Top 2,975

in Total Papers Citations

313

CROSSREF CITATIONS

133

Scholarly Papers (18)

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1.

Do Hedge Fund Managers Misreport Returns? Evidence from the Pooled Distribution

Number of pages: 55 Posted: 02 Oct 2007 Last Revised: 13 May 2014
Veronika Krepely Pool and Nicolas P. B. Bollen
Vanderbilt University - Finance and Vanderbilt University - Finance
Downloads 2,206 (9,288)
Citation 31

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hedge funds, return management

2.

Hedge Fund Performance: End of an Era?

Nicolas P.B. Bollen, Juha Joenväärä & Mikko Kauppila (2021) Hedge Fund Performance: End of an Era?, Financial Analysts Journal, 77:3, 109-132, DOI: 10.1080/0015198X.2021.1921564
Number of pages: 43 Posted: 11 Sep 2017 Last Revised: 19 Aug 2021
Nicolas P. B. Bollen, Juha Joenväärä and Mikko Kauppila
Vanderbilt University - Finance, Aalto University School of Business and University of Oulu
Downloads 1,749 (13,599)
Citation 4

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hedge fund performance

3.

Suspicious Patterns in Hedge Fund Returns and the Risk of Fraud

Number of pages: 44 Posted: 15 Mar 2010 Last Revised: 13 May 2014
Nicolas P. B. Bollen and Veronika Krepely Pool
Vanderbilt University - Finance and Vanderbilt University - Finance
Downloads 1,656 (14,821)
Citation 19

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hedge funds, fraud, SEC

4.

On the Timing Ability of Mutual Fund Managers

Number of pages: 32 Posted: 08 Nov 2000
Jeffrey A. Busse and Nicolas P. B. Bollen
Emory University - Department of Finance and Vanderbilt University - Finance
Downloads 1,605 (15,527)
Citation 21

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5.

Hedge Fund Risk Dynamics: Implications for Performance Appraisal

AFA 2008 New Orleans Meetings Paper
Number of pages: 63 Posted: 04 Mar 2007
Nicolas P. B. Bollen and Robert E. Whaley
Vanderbilt University - Finance and Vanderbilt University - Finance
Downloads 1,383 (19,453)
Citation 12

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hedge funds, factor models, time-varying beta

6.

Modeling the Bid/Ask Spread: Measuring the Inventory-Holding Premium

Number of pages: 57 Posted: 05 Dec 2002
Nicolas P. B. Bollen, Robert E. Whaley and Tom Smith
Vanderbilt University - Finance, Vanderbilt University - Finance and University of Queensland - Faculty of Business, Economics and Law
Downloads 1,355 (20,043)
Citation 20

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market microstructure, determinants of spread, option value

7.

Mutual Fund Attributes and Investor Behavior

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 41 Posted: 07 May 2006
Nicolas P. B. Bollen
Vanderbilt University - Finance
Downloads 1,251 (22,593)
Citation 37

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socially responsible investing, mutual funds, behavioral finance, fund flows

8.

Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?

Number of pages: 54 Posted: 08 Aug 2002
Nicolas P. B. Bollen and Robert E. Whaley
Vanderbilt University - Finance and Vanderbilt University - Finance
Downloads 1,193 (24,277)
Citation 113

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Option valuation, market efficiency, limits to arbitrage

9.

Locked Up by a Lockup: Valuing Liquidity as a Real Option

Downloads 1,184 ( 24,499)
Citation 17

Locked Up by a Lockup: Valuing Liquidity as a Real Option

Number of pages: 49 Posted: 30 Oct 2008 Last Revised: 17 Nov 2012
Andrew Ang and Nicolas P. B. Bollen
BlackRock, Inc and Vanderbilt University - Finance
Downloads 755 (45,501)
Citation 3

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Cost of illiquidity, hedge fund valuation, exercise restriction, redemption notice period, lockup, suspension clause

Locked Up by a Lockup: Valuing Liquidity as a Real Option

Number of pages: 40 Posted: 11 Mar 2009
Andrew Ang and Nicolas P. B. Bollen
BlackRock, Inc and Vanderbilt University - Finance
Downloads 190 (216,271)
Citation 14

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hedge fund lockup, withdrawal, redemption notice period, suspension clause

Locked Up by a Lockup: Valuing Liquidity as a Real Option

Financial Management, Vol. 39, No. 3, pp. 1069-1096, November 2008
Number of pages: 49 Posted: 21 Oct 2011
Andrew Ang and Nicolas P. B. Bollen
BlackRock, Inc and Vanderbilt University - Finance
Downloads 184 (222,494)
Citation 3

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Locked Up by a Lockup: Valuing Liquidity as a Real Option

NBER Working Paper No. w15937
Number of pages: 56 Posted: 26 Apr 2010 Last Revised: 17 Jan 2022
Andrew Ang and Nicolas P. B. Bollen
BlackRock, Inc and Vanderbilt University - Finance
Downloads 55 (500,387)
Citation 2

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10.

Conditional Return Smoothing in the Hedge Fund Industry

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 53 Posted: 17 Oct 2006
Nicolas P. B. Bollen and Veronika Krepely Pool
Vanderbilt University - Finance and Vanderbilt University - Finance
Downloads 975 (32,390)
Citation 6

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Hedge funds, fraud

11.

When It Pays to Follow the Crowd: Strategy Conformity and CTA Performance

Journal of Futures Markets
Number of pages: 47 Posted: 14 Nov 2019 Last Revised: 09 Feb 2021
Nicolas P. B. Bollen, Mark C. Hutchinson and John O'Brien
Vanderbilt University - Finance, University College Cork and University College Cork - Department of Accounting, Finance and Information Systems
Downloads 782 (43,946)

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CTA, Strategy Distinctiveness

12.

A Screen for Fraudulent Return Smoothing in the Hedge Fund Industry

Number of pages: 51 Posted: 18 Mar 2005
Nicolas P. B. Bollen and Veronika Krepely Pool
Vanderbilt University - Finance and Vanderbilt University - Finance
Downloads 498 (78,457)
Citation 2

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Hedge funds, fraud

13.

How Much for a Haircut? Illiquidity, Secondary Markets, and the Value of Private Equity

Vanderbilt Owen Graduate School of Management Research Paper No. 2608549, Charles A. Dice Center Working Paper No. 2015-08, Fisher College of Business Working Paper No. 2015-03-08
Number of pages: 58 Posted: 22 May 2015 Last Revised: 19 Mar 2016
Nicolas P. B. Bollen and Berk A. Sensoy
Vanderbilt University - Finance and Vanderbilt University - Finance
Downloads 497 (78,666)
Citation 10

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private equity, performance, secondary market, liquidity, value, risk

14.

Zero-R2 Hedge Funds and Market Neutrality

Number of pages: 48 Posted: 02 Mar 2011 Last Revised: 17 Nov 2012
Nicolas P. B. Bollen
Vanderbilt University - Finance
Downloads 412 (98,135)
Citation 10

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15.

Market Microstructure of the Pink Sheets

Number of pages: 47 Posted: 20 Feb 2007 Last Revised: 17 Nov 2012
William G. Christie and Nicolas P. B. Bollen
Vanderbilt University - Finance and Vanderbilt University - Finance
Downloads 332 (125,073)
Citation 3

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tick size, Pink Sheets market

16.

When Hedge Funds Block the Exits

Number of pages: 19 Posted: 25 Aug 2011
Andrew Ang and Nicolas P. B. Bollen
BlackRock, Inc and Vanderbilt University - Finance
Downloads 130 (294,885)
Citation 2

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17.

Gender, Risk Tolerance, and False Consensus in Asset Allocation Recommendations

Vanderbilt Owen Graduate School of Management Research Paper No. 3059896
Number of pages: 44 Posted: 27 Oct 2017
Nicolas P. B. Bollen and Steven S. Posavac
Vanderbilt University - Finance and Vanderbilt University - Marketing
Downloads 96 (363,747)
Citation 2

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Risk Tolerance, Gender, Asset Allocation

18.

Send in the Clones? Hedge Fund Replication Using Futures Contracts

Vanderbilt Owen Graduate School of Management Research Paper No. 2102593, https://doi.org/10.3905/jai.2013.16.2.080
Posted: 21 May 2019
Nicolas P. B. Bollen and Gregg S. Fisher
Vanderbilt University - Finance and Quent Capital

Abstract:

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Hedge fund, replication, market timing