UCSD - The Graduate School of International Relations and Pacific Studies

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

Expert Sheet
Expertise
Lehmann is a specialist on financial economics, particularly on the pricing of capital assets, their volatility, and the markets in which they trade.

Current Projects
Lehmann's main research interests in financial economics lie in empirical tests of asset pricing models, the analysis of short-run stock price fluctuations, and the microstructure of securities markets, with emphasis on behavior of Japanese financial markets.

Perspective
Lehmann can provide commentary on broad trends in financial markets, particularly on questions of their industrial organization, volatility and efficiency.

Publications of Note
Lehmann is the author of numerous articles in scholarly journals, including "PPP Deviations in the Long Run" (with Michael Adler), Journal of Finance; "Mutual Fund Performance Evaluation: a Comparison of Benchmarks and Benchmark Comparisons," Journal of Finance; "The Empirical Foundations of the Arbitrage Pricing Theory," Journal of Financial Economics; and "Trading the Liquidity on the Tokyo Stock Exchange: A Bird's Eye View" (all with David M. Modest), Journal of Finance; "Growth Optimal Portfolio Restrictions on Asset Pricing Models," (with Ravi Bansal), Macroeconomic Dynamics 1;"Fads, Martingales and Market Efficiency," Quarterly Journal of Economics; "Residual Risk Revisited," Journal of Econometrics; and the entry "Empirical Testing of Asset Pricing Models" in the New Palgrave Dictionary of Money and Finance.

Background Notes
Lehmann is a founding co-editor of the Journal of Financial Markets and has served as associate editor of the Review of Financial Studies and the Review of Quantitative Finance and Accounting. He has served as a director of the Western Finance Association, a member of the Scientific Advisory Board of Investment Technology Group, Inc. and has served on the boards of directors of First Boston Investment Funds, Inc., and BEA Associates, Inc. Lehmann has earned many honors and distinctions: he was a Batterymarch Fellow, the most prestigious award given to scholars in finance; an Olin Fellow at the National Bureau of Economic Research; and a National Fellow at the Hoover Institution on War, Revolution and Peace at Stanford University. He is the only scholar to have earned all three of these distinctions. Prior to joining IR/PS in 1992, he taught at Columbia University. A.B. in economics and history from Washington University. M.A. and Ph.D. in economics from the University of Chicago.