Nicolas P.B. Bollen

Nicolas P.B. Bollen

Frank K. Houston Professor of Finance Faculty Director, MSF Program

Subject Areas

Finance

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

Select Publications

Articles

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.

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.

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.

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.

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.

Hedge Fund Risk with Whaley

Bollen, N.P., and Whaley, R.E. (2009). Hedge fund risk dynamics: Implications for performance appraisal. Journal of Finance 64, p.987-1037.

Hedge Fund Returns with Pool

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.

Conditional Smoothing

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.

Lockups

Bollen, N.P., and Ang, A. (2010). Locked up by a lockup: Valuing liquidity as a real option. Financial Management 39, 1069-1095.

zero R2

Bollen, N.P. (2013). Zero-R2 hedge funds and market neutrality. Journal of Financial and Quantitative Analysis, forthcoming.

 

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.

Tick size and institutional trading costs: Evidence from mutual funds.

<p>Bollen, N.P., and Busse, J.A. (2006). Tick size and institutional trading costs: Evidence from mutual funds. <b>Journal of Financial and Quantitative Analysis</b> 41, p.915-937.</p>

Tick size and institutional trading costs: Evidence from mutual funds.

<p>Bollen, N.P., and Busse, J.A. (2006). Tick size and institutional trading costs: Evidence from mutual funds. <b>Journal of Financial and Quantitative Analysis</b> 41, p.915-937.</p>