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Bruce Lehmann
Professor

UCSD, IR/PS, 9500 Gilman Drive,
La Jolla, CA 92093-0519
Office #1415

Phone: (858) 534-0945
Fax (858) 534-3939
Email: blehmann@ucsd.edu

CURRICULUM VITAE
Research Interests Financial economics, macroeconomics, and econometrics, especially empirical testing of asset pricing models, the microstructure of securities markets, and risk premiums and volatility of and mean reversion in stock prices.

Education

University of Chicago
Ph.D. (Economics), 1983
M.A. (Economics), 1979

Washington University
A.B. (Economics and History), with honors, Magna Cum Laude, 1977.

Employment
1992-present
Professor of Economics and Finance
Graduate School of International Relations and Pacific Studies,
University of California at San Diego
Teaching responsibilities include doctoral courses in the theory and empirical methods of financial economics (in the Department of Economics) and masters level courses in finance.

1997-present
Member, Scientific Advisory Board, Investment Technology Group

1997-present
Co-Editor, Journal of Financial Markets

1995-2000
Associate Editor, Journal of Accounting, Auditing, and Finance

1997-1999
Director, Western Finance Association

1996-1997
Visiting Professor of Finance, Sloan School of Management, Massachusetts Institute of Technology

1992-1999
Member, Investment Committee, US San Diego Foundation

1992-1998
Associate Editor, Review of Quantitative Finance and Accounting

1995-1996
Director, BEA Associates, Inc.

1995-1996
Visiting Professor of Finance, Sloan School of Management, Massachusetts Institute of Technology

1993-1995
Member, Committee on Academic Personnel, (Campus-wide Promotion and Tenure Committee), University of California at San Diego

1990-1995
Associate Editor, Review of Financial Studies

1989-1993
Research Associate, National Bureau of Economic Research

1989-1991
Associate Professor of Economics and Finance Columbia University, Graduate School of Business

1989-1990
Batterymarch Fellow, Batterymarch Financial Management

1988-1989
Olin Fellow, National Bureau of Economic Research

1986-1989
Associate Professor of Economics and Finance
Columbia University Department of Economics and Graduate School of Business

1983-1989
Faculty Research Fellow, National Bureau of Economic Research

1987-1988
National Fellow, Hoover Institution, Stanford University

1984-1986
Director, Doctoral Program in Finance
Columbia University, Graduate School of Business

1983-1986
Assistant Professor of Economics and Finance
Columbia University
Department of Economics and Graduate School of Business

1983-1986
Visiting Assistant Professor
Graduate School of Management
University of California at Los Angeles

1981-1983
Associate Professor in Business and Economics
Columbia University
Department of Economics and Graduate School of Business

1979-1981
Financial Economist
Office of the Comptroller of the Currency, Washington, D.C.

Fellowships, Scholarships, Academic and Professional Honors
Faculty Recognition Award (the Outstanding Teacher Award), Graduate School of International Affairs and Pacific Studies, UCSD, 1999-2000.

Batterymarch Fellow, Batterymarch Financial Management, 1989-90.

Olin Fellow, National Bureau of Economic Research, 1988-89.

Research Grant, Institute for Quantitative Research in Finance, 1988-89.

National Fellow, Hoover Institution, 1987-88.

NSF Supercomputer Grant, 1987-88.

Eighth Annual Roger F. Murray Prize Competition, Institute for Quantitative Research in Finance, 1987.

Council for Research in the Humanities and the Social Sciences, Research Grant, 1986.

Research Grant, Institute for Quantitative Research in Finance, 1984-85.

Research Grant, Investor Responsibility Research Center, "Impact of South Africa Divestment on Portfolio Performance," 1984-85.

Earhart Foundation Fellowship, 1980-81.

Department of Economics Fellowship Grants, University of Chicago, 1978-79.

Phi Beta Kappa, 1977.

Research Papers
"PPP Deviations in the Long Run," (with Michael Adler), Journal of Finance38 (December 1983), pp.1471-87.

"On Optimal Tests for Heteroskedasticity in the Market Model," (with Arthur Warga), Journal of Finance40 (June 1985), pp. 603-605.

"Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons," (with David M. Modest), Journal of Finance42 (June 1987), pp. 233-265.

"Orthogonal Portfolios and Alternative Mean-Variance Efficiency Tests," Journal of Finance42 (July 1987), pp. 601-619.

"The Empirical Foundations of the Arbitrage Pricing Theory," (with David M. Modest), Journal of Financial Economics21 (September 1988), pp. 213-254.

"Robert Keohane: The Study of International Relations," PS,September,1999, Vol. XXXII, no. 3, pp. 623-28.

Portfolio Manager Behavior and the Arbitrage Theory," Financial Markets and Portfolio Management2 (1988), pp. 35-44.

"Commentary: Volatility, Price Resolution, and the Effectiveness of Price Limits," Journal of Financial Services Research3 (December 1989), pp. 205-209.

"Fads, Martingales, and Market Efficiency," Quarterly Journal of Economics105 (February 1990), pp. 1-28. Reprinted in Andrew W. Lo (ed.), Market Efficiency: Stock Market Behavior in Theory and Practice (Cheltenham, UK: Edward Elgar Publishing, 1997), pp. 401-428.

"Residual Risk Revisited," Journal of Econometrics45 (July/August 1990), pp.71-97.

"Asset Pricing Intrinsic Values: A Review Essay," Journal of Monetary Economics28 (December 1991), pp. 485-500.

"Notes on Dynamic Factor Pricing Models," Review of Quantitative Finance and Accounting2 (January 1992), pp. 69-87.

"Empirical Testing of Asset Pricing Models," New Palgrave Dictionary of Money and Finance (New York: Stockton Press, 1992) pp. 749-759.

"Earnings, Dividend Policy, and Present Value Relations: Building Blocks of Divident Policy Invariant Cash Flows," Review of Quantitative Finance and Accounting3 (September 1993), pp. 263-282.

"Trading and Liquidity on the Tokyo Stock Exchange: A Bird's Eye View" (with David M. Modest), Journal of Finance49 (July 1994), pp. 951-984.

"Commentary: An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns," in Jeffrey Frankel (ed.), The Internationalization of Equity Markets (Chicago: University of Chicago Press, 1995), pp. 139-146.

"A Multinomial Characterization of Feedforward Neural Networks," in Andrew Lo and Robert J. Marks (eds.), Proceedings of the IEEE/IAFE 1995 Conference on Computational Intelligence for Financial Engineering (Piscatawa, NJ: IEEE, 1995), pp. 79-86.

"Market Structure and Liquidity on the Tokyo Stock Exchange," (with David M. Modest) in Andrew W. Lo (ed.), The Industrial Organization and Regulation of Securities Markets (Chicago: University of Chicago Press, 1995).

"Semiparametric Methods for Asset Pricing Models" in G. S. Maddala and C. Radhakrishna Rao (eds.), Handbook of Statistics, Volume 14: Statistical Methods in Finance (Amsterdam: Elsevier Science Publishers, 1996), pp. 61-90.

"Growth Optimal Portfolio Restrictions on Asset Pricing Models," (with Ravi Bansal), Macroeconomic Dynamics1 (1997), pp. 333-354.

"Asset Allocation Dynamics and Pension Fund Performance," (with David Blake and Allan Timmerman), Journal of Business72 (1999), pp. 429-462.

"Regularities in Volatility and the Price of Risk Following Stock Market Movements in the U.S. and Japan,," (with Alex Kane and Robert R. Trippi), Journal of International Money and Finance19 (February 2000), pp. 1-32.

Referee for:
American Economic Review
The Annals of Applied Probability
Canadian Journal of Economics
Financial Management
Journal of Applied Econometrics
Journal of Business
Journal of Business and Economic Statistics
Journal of Econometrics
Journal of Finance
Journal of Financial and Quantitative Economics
Journal of Financial Economics
Journal of Financial Intermediation
Journal of Monetary Economics
Journal of International Money and Finance
Journal of Political Economy
National Science Foundation
Quarterly Journal of Economics
Review of Financial Studies
Review of Economics and Statistics
Review of Quantitative Finance and Accounting
Sloan Foundation
Social Science and Humanities Research Council of Canada
The Rand Journal of Economics

Membership in Professional Associations:
American Economic Association
American Finance Association
European Finance Association
Western Finance Association