Faculty and Executive Leadership Directory
PhD, University of Chicago
MBA, University of Chicago
BComm with Honors, University of Queensland
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
- 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
Faculty Directory: Alphabetical Listing
Faculty Directory: Listing by Department
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