Nicolas P.B. Bollen
E Bronson Ingram Associate Professor in Finance
Faculty Director, MS Finance
Subject Area(s):
Finance
Biography:
Nicolas Bollen was awarded tenure and promoted to Associate Professor in the Spring of 2005. He was also the 2005 recipient of the Owen School's Research Productivity Award. In 2007 he was honored to receive an E. Bronson Ingram chair in finance. In 2009 he received the Owen School's Research Impact Award.
Professor Bollen has had twelve research papers accepted for publication since joining the faculty of Owen in 2001, including eight in the top finance journals (JF, JFE, RFS, and JFQA). Professor Bollen's current research agenda is focused on hedge funds.
Two of his recent papers have been accepted for publication in the Journal of Finance. Professor Bollen, along with co-author Bob Whaley, studied how to measure time-variation in the risk exposures of hedge funds, culminating in a paper titled "Hedge Fund Risk Dynamics: Implications for Performance Appraisal." The motivation for the paper is that hedge fund managers are free to change their allocation to different trading strategies yet standard approaches to measuring risk-adjusted performance do not allow for time-variation in the loadings on factors that proxy for the trading strategies. As a consequence, measures of risk and risk-adjusted performance are inaccurate. Professor Bollen has presented the paper at the CFTC, Emory University, Queens University, Erasmus University, Indiana University, and at the January 2008 annual meeting of the American Finance Association.
Professor Bollen and co-author Veronika Pool wrote "Do Hedge Fund Managers Misreport Returns? Evidence from the Pooled Distribution." The paper highlights a robust empirical anomaly: the frequency of observing monthly returns just above zero is dramatically higher than the frequency of observing monthly returns just below zero. This result suggests that some hedge fund managers routinely round up their returns above zero to avoid reporting losses. Investors might then underestimate the risk of the fund and the potential for future losses. The paper was highlighted in the Wall Street Journal on October 9, 2007 and has been downloaded over 1,000 times since it was made publicly available in October 2007. The paper has been presented at the University of Oxford, the University of Massachusetts, the University of Mississippi, Georgetown University, Virginia Tech, and the June 2008 annual meeting of the Western Finance Association.
Current research includes a study of the cost of redemption restrictions in hedge funds, co-authored with Andrew Ang at Columbia University, and a project that measures the ability of regulators to determine which hedge funds are more likely to expose their investors to fraud.
Education:
B.A., Physics, Cornell University, 1988
M.B.A., Duke University, 1993
Ph.D., Finance, Duke University, 1997
Course(s) Taught:
- MGT 401: Financial Economics I
- MGT 402: Financial Economics II
Research Interest(s):
Hedge funds, mutual fund performance, empirical market microstructure, option valuation.
Area(s) of Expertise:
Hedge funds, mutual funds
Working Paper(s):
Bollen, N.P., and Ang, A. (2009). Locked up by a lockup: Valuing liquidity as a real option.
Article(s):
Bollen, N.P., and Whaley, R.E. (2009). Hedge Fund Risk Dynamics: Implications for Performance Appraisal. Journal of Finance, forthcoming.
Bollen, N.P., and Pool, V.K. (2009). Do Hedge Fund Managers Misreport Returns? Evidence from the Pooled Distribution. Journal of Finance, forthcoming.
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.
Bollen, N.P. (2007). Mutual fund attributes and investor behavior. Journal of Financial and Quantitative Analysis 42, p.683-708.
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.
Bollen, N.P., and Busse, J.A. (2005). Short-term persistence in mutual fund performance. Review of Financial Studies 18, p.569-597.
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.
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.
Bollen, N.P., and Busse, J.A. (2001). On the timing ability of mutual fund managers. Journal of Finance 56, p.1075-1094.
Podcast(s) & Video:
Routine Inflation of Hedge Funds
BACK TO TOP
