Nicolas P.B. Bollen
Frank K. Houston Chair, Professor of Finance
Subject Areas
Finance
Biography
Biography
A prolific publisher and expert on hedge funds and mutual funds, Nick Bollen’s work has been referenced throughout academia and mainstream media.
Awards & Accomplishments
Nick has earned Owen’s Research Productivity Award and Research Impact Award.
Publications
Since joining Owen in 2001, Nick has published over 20 papers in several journals, including the Journal of Finance, Journal of Financial and Quantitative Analysis, Journal of Financial Economics, and Financial Management.
Research Interests
Nick’s current research agenda is focused on hedge funds. His studies include the measurement of time-variation in their risk exposures, how fund managers report returns, and patterns of reported returns that can help identify fraud.
Education
Ph.D., Finance, Duke University, 1997
M.B.A., Duke University, 1993
B.A., Physics, Cornell University, 1988
Phone
615-343-5029
Office
364
Select Publications
Articles
Hedge Fund Performance Prediction
Bollen, N.P., Joenväärä, J., and M. Kauppila (2021). Hedge fund performance: End of an era? Financial Analysts Journal 77, 109-132.
How Much for a Haircut? Illiquidity, Secondary Markets, and the Value of Private Equity
Bollen, N.P. and Sensoy, Berk A. (2016) How Much for a Haircut? Illiquidity, Secondary Markets, and the Value of Private Equity. Financial Management 51, 501-538
Zero-R2 hedge funds and market neutrality
Bollen, N.P. (2013). Zero-R2 hedge funds and market neutrality. Journal of Financial and Quantitative Analysis, 48, 519-547.
Suspicious Patterns in Hedge Fund Returns and the Risk of Fraud
Bollen, N.P., and V.K. Pool (2012). Suspicious Patterns in Hedge Fund Returns and the Risk of Fraud. Review of Financial Studies 25, 2673-2702.
Locked up by a lockup: Valuing liquidity as a real option
Bollen, N.P., and Ang, A. (2010). Locked up by a lockup: Valuing liquidity as a real option. Financial Management 39, 1069-1095.
Do hedge fund managers misreport returns? Evidence from the pooled distribution
Bollen, N.P., and Pool, V.K. (2009). Do hedge fund managers misreport returns? Evidence from the pooled distribution. Journal of Finance 64, p.2257-2288.
Hedge fund risk dynamics: Implications for performance appraisal
Bollen, N.P., and Whaley, R.E. (2009). Hedge fund risk dynamics: Implications for performance appraisal. Journal of Finance 64, p.987-1037.
Conditional return smoothing in the hedge fund industry
Bollen, N.P., and Pool, V.K. (2008). Conditional return smoothing in the hedge fund industry. Journal of Financial and Quantitative Analysis 42, p.683-708.
Mutual fund attributes and investor behavior
Bollen, N.P. (2007). Mutual fund attributes and investor behavior. Journal of Financial and Quantitative Analysis 42, p.683-708.
Tick size and institutional trading costs: Evidence from mutual funds.
Bollen, N.P., and Busse, J.A. (2006). Tick size and institutional trading costs: Evidence from mutual funds. Journal of Financial and Quantitative Analysis 41, p.915-937.
Short-term persistence in mutual fund performance
Bollen, N.P., and Busse, J.A. (2005). Short-term persistence in mutual fund performance. Review of Financial Studies 18, p.569-597.
Modeling the bid/ask spread: Measuring the inventory-holding premium
Bollen, N.P., Smith, T., and Whaley, R.E. (2004). Modeling the Bid/Ask Spread: Measuring the inventory-holding premium. Journal of Financial Economics 72, p.97-141.
Does net buying pressure affect the shape of implied volatility functions?
Bollen, N.P., and Whaley, R.E. (2004). Does net buying pressure affect the shape of implied volatility functions? Journal of Finance 59, p.711-753.
On the timing ability of mutual fund managers
Bollen, N.P., and Busse, J.A. (2001). On the timing ability of mutual fund managers. Journal of Finance 56, p.1075-1094.
Video & Podcasts
Videos
Phone
615-343-5029
Office
364