Nicolas Bollen

Nicolas P. B. Bollen

E. Bronson Ingram Research Professor in Finance


B.A., Physics, Cornell University, 1988
M.B.A., Duke University, 1993
Ph.D., Finance, Duke University, 1997

Research Interest(s):

Hedge funds, mutual fund performance, empirical market microstructure, option valuation

Area(s) of Expertise:

Hedge funds, mutual funds


Video: Hedge Funds >

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. In 2010 he was promoted to full Professor. In 2016 he was named the Frank K. Houston chair in finance.

Professor Bollen has published eighteen research papers since joining the faculty of Owen in 2001, including eleven 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 were published in 2009, both in the Journal of Finance. In Hedge Fund Risk Dynamics: Implications for Performance Appraisal, Professor Bollen, along with co-author Bob Whaley, studied how to measure time-variation in the risk exposures of hedge funds. 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. In Do Hedge Fund Managers Misreport Returns? Evidence from the Pooled Distribution, Professor Bollen and co-author Veronika Pool discovered 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.

In a subsequent paper, “Suspicious Patterns in Hedge Fund Returns and the Risk of Fraud”, Professors Bollen and Pool show that a family of quantitative flags based on peculiarities in returns, including the discontinuity they discovered previously, can be used to measure operational risk. The authors constructed a sample of funds prosecuted by the SEC for rules violations. These funds are significantly more likely to feature one or more suspicious patterns in returns than other funds. This result suggests that institutional investors and regulators can identify funds with a heightened risk of fraud by analyzing the properties of reported returns. The paper is forthcoming in the Review of Financial Studies.

Current work includes (1) a study of hedge fund replication products, and (2) an analysis of models for predicting hedge fund failure, with an emphasis on failures during the financial crisis.


Voice: 615-343-5029
Fax: 615-343-7177
Office #: 314
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