Harry Mamaysky

Columbia University - Columbia Business School

Associate Professor of Professional Practice

3022 Broadway

New York, NY 10027

United States

SCHOLARLY PAPERS

24

DOWNLOADS
Rank 1,177

SSRN RANKINGS

Top 1,177

in Total Papers Downloads

29,990

SSRN CITATIONS
Rank 3,785

SSRN RANKINGS

Top 3,785

in Total Papers Citations

155

CROSSREF CITATIONS

205

Scholarly Papers (24)

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 Tsinghua University - PBC School of Finance
Downloads 5,346 (1,857)
Citation 4

Abstract:

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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

Abstract:

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2.
Downloads 3,871 ( 3,348)
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 Tsinghua University - PBC School of Finance
Downloads 3,871 (3,270)
Citation 3

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

Abstract:

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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 3,727 (3,567)
Citation 6

Abstract:

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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 2,562 (6,710)
Citation 14

Abstract:

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5.

A Model for Pricing Stocks and Bonds

Number of pages: 47 Posted: 24 Apr 2002
Harry Mamaysky
Columbia University - Columbia Business School
Downloads 1,964 (10,326)
Citation 7

Abstract:

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6.

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 1,906 (10,854)
Citation 8

Abstract:

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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) - Laboratory for Financial Engineering, Columbia University - Columbia Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,815 (11,514)
Citation 30

Abstract:

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Asset Pricing, Liquidity, Trading Volume, Transaction Costs

Asset Prices and Trading Volume Under Fixed Transactions Costs

Number of pages: 78 Posted: 03 Jun 2001 Last Revised: 18 Sep 2021
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 91 (357,111)

Abstract:

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

Number of pages: 60 Posted: 16 May 2000 Last Revised: 22 Oct 2021
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 1,849 (11,170)

Abstract:

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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

Abstract:

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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 1,108 (24,555)
Citation 9

Abstract:

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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

Number of pages: 77 Posted: 26 Mar 2018 Last Revised: 07 Oct 2021
Charles W. Calomiris and Harry Mamaysky
Columbia University - Columbia Business School and Columbia University - Columbia Business School
Downloads 24 (640,218)
Citation 13

Abstract:

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10.

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 835 (37,174)
Citation 23

Abstract:

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11.

News and Markets in the Time of COVID-19

Number of pages: 58 Posted: 01 Apr 2020 Last Revised: 04 Nov 2021
Harry Mamaysky
Columbia University - Columbia Business School
Downloads 809 (38,924)
Citation 6

Abstract:

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asset pricing; NLP; natural disasters; behavioral finance

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 786 (40,394)
Citation 9

Abstract:

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

13.

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 611 (56,440)
Citation 6

Abstract:

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QE, Monetary Policy, Asset Purchases, Asset Prices

14.

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 600
Citation 4

Abstract:

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15.

Investor Information Choice with Macro and Micro Information

Columbia Business School Research Paper No. 16-45
Number of pages: 57 Posted: 29 Jun 2016 Last Revised: 29 Apr 2021
Paul Glasserman and Harry Mamaysky
Columbia Business School and Columbia University - Columbia Business School
Downloads 500 (72,558)
Citation 1

Abstract:

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

16.

Interest Rates and the Durability of Consumption Goods

Number of pages: 53 Posted: 19 Sep 2001
Harry Mamaysky
Columbia University - Columbia Business School
Downloads 395 (95,791)
Citation 7

Abstract:

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17.

Time Variation in the News-Returns Relationship

Columbia Business School Research Paper Forthcoming
Number of pages: 59 Posted: 17 Jul 2019 Last Revised: 11 May 2021
Paul Glasserman, Fulin Li and Harry Mamaysky
Columbia Business School, University of Chicago - Booth School of Business and Columbia University - Columbia Business School
Downloads 310 (125,466)

Abstract:

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information choice; asset pricing; price efficiency; attention

18.

Dynamic Information Regimes in Financial Markets

Number of pages: 56 Posted: 09 Feb 2019 Last Revised: 29 Apr 2021
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 224 (174,905)

Abstract:

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asset pricing, information choice

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 189 (203,605)

Abstract:

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exchange rate forecasting, monetary policy, carry trade, natural language processing

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

Number of pages: 86 Posted: 01 Apr 2019 Last Revised: 06 Oct 2021
Charles W. Calomiris and Harry Mamaysky
Columbia University - Columbia Business School and Columbia University - Columbia Business School
Downloads 9 (762,284)

Abstract:

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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
Columbia Business School, Columbia University, Georgia Institute of Technology and Columbia University - Columbia Business School
Downloads 182 (210,589)

Abstract:

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text analysis, finance, supervised topic models

Measuring the Cost of Regulation: A Text-Based Approach

Number of pages: 51 Posted: 13 Apr 2020 Last Revised: 20 Oct 2021
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 157 (239,268)

Abstract:

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Regulation; Cost of Capital; Corporate Finance; Text Processing; NLP

Measuring the Cost of Regulation: A Text-Based Approach

Number of pages: 52 Posted: 16 Mar 2020 Last Revised: 19 Nov 2021
Charles W. Calomiris, Harry Mamaysky and Ruoke Yang
Columbia University - Columbia Business School, Columbia University - Columbia Business School and Imperial College London
Downloads 11 (745,039)

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22.
Downloads 102 (329,289)

Predicting the Oil Market

Federal Reserve Bank of Kansas City Working Paper No. 20-20
Number of pages: 65 Posted: 28 Dec 2020 Last Revised: 07 Oct 2021
Columbia University - Columbia Business School, Federal Reserve Bank of Kansas City and Columbia University - Columbia Business School
Downloads 97 (342,739)

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Asset Pricing, Commodity Markets, Energy Forecasting, Model Validation

Predicting the Oil Market

Number of pages: 66 Posted: 18 Oct 2021 Last Revised: 18 Nov 2021
Columbia University - Columbia Business School, Columbia University - Columbia Business School and Federal Reserve Bank of Kansas City
Downloads 5 (796,500)
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23.

Predicting the Oil Market: Supplementary Appendix

Federal Reserve Bank of Kansas City Working Paper Forthcoming
Number of pages: 40 Posted: 28 Dec 2020 Last Revised: 07 Oct 2021
Columbia University - Columbia Business School, Federal Reserve Bank of Kansas City and Columbia University - Columbia Business School
Downloads 7 (748,916)

Abstract:

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24.

How Useful Are Aggregate Measures of Systemic Risk?

Posted: 19 Nov 2014
Harry Mamaysky
Columbia University - Columbia Business School
Downloads 0 (818,422)

Abstract:

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Systemic risk, financial institutions, financial crises, risk management