University of California, Berkeley - Haas School of Business

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Terry Marsh

Terry A. Marsh

Professor Emeritus
Haas Finance Group
510-643-4804
Email: click on the envelope icon below for full email address
Academic Status: Emeritus
Office Hours: By appointment F573
Personal Homepage: http://www.haas.berkeley.edu/groups/finance/marsh.html
LinkedIn Profile

Education

BComm with Honors, University of Queensland MBA, University of Chicago PhD, University of Chicago


Positions Held

At Haas since 1986 2005 - present, Professor Emeritus of Finance, Haas School of Business 2005 - present, Co-founder and CEO, Quantal International Inc. and Quantal Asset Management 1993 - 1994, Visiting Professor of Finance, University of Tokyo 1987 - 2004, Associate Professor of Finance, Haas School of Business 1986 - 1990, Chair, Finance Department, Haas School of Business 1985 - 1986, Associate Professor of Finance, MIT, Cambridge, MA 1980 - 1985, Assistant Professor of Finance, MIT, Cambridge, MA 1974, Accountant, Corporate Affairs Commission, Queensland State Government 1972 - 1973, Instructor, University of Queensland  


External Service and Assignments

  • Member of Board of Directors, Japan Society of Northern California

Current Research and Interests

  • Capital markets
  • Corporate finance
  • Accounting
  • Econometrics and statistics

Selected Papers and Publications

  • "The 2008-2009 Financial Crisis: Model Transparency and Incentives," with Paul Pfleiderer. Manuscript (August 2009).
  • "Correlation in Daily Equity and Fixed-Income Returns: Implications for a Cross-Asset Factor Model,” in: Innovations in Investment Management, Ed: H. Gifford Fong, Bloomberg Press, 2008.
  • “Decomposing Factor Exposure for Equity Portfolios,” in: Linear Factor Models in Finance. Eds: John Knight and Stephen Satchell, Elsevier Finance, 2005.
  • “Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes,” with Niklas Wagner. Journal of Empirical Finance 12 (2005): 165-185.
  • “Surprise Volume and Heteroskedasticity in Equity Market Returns,” with Niklas Wagner. Quantitative Finance 5, no. 2 (April 2005): 153-168.
  • "The Role of Country and Industry Effects in Explaining Stock Returns,"  with Paul Pfleiderer. Working Paper, September 1997.
  • "Term Structure of Interest Rates and the Pricing of Fixed Income Claims and Bonds," in vol. 9 of Handbooks in Operations Research and Management Science: Finance, edited by R. Jarrow, V. Maksimovic, and W.T. Ziemba, 273-314. Elsevier Science B.V., 1995.
  • "Why Doesn’t the Black-Scholes Model Fit Japanese Warrants and Convertible Bonds?" with H. Kuwahara. Japanese Journal of Financial Economics 1, no. 1 (December 1994): 33-65.

Honors and Awards

  • Yamaichi Fellow, University of Tokyo, 1993-1994
  • National Fellow Hoover Institution, Stanford University, 1985-1986
  • The Institute for Quantitative Research in Finance, 1984-1985
  • Batterymarch Fellowship, 1984-1985
  • Medal of Distinguished Merit, University of Queensland, 1974



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