BA, Mathematics, Cambridge University
MA, Mathematics, Cambridge University
PhD, Finance, Stanford University
At Haas since 1991
2008 - present, Professor, Haas School of Business
1998 - 2008, Associate Professor, Haas School of Business
1991 - 1998, Assistant Professor, Haas School of Business
External Service and Assignments
- Member, editorial board: Journal of Finance, Journal of Real Estate Finance and Economics
- Member, program committee: Utah Winter Finance Conference
Current Research and Interests
- Mortgage and lease markets
- Term structure modeling
- Mutual funds and risk management
- Employee stock options (ESOs)
Selected Papers and Publications
- "Liquidity-Based Model of Closed-End Funds, with Martin Cherkes and Jacob Sagi.Review of Financial Studies.
- "Evidence on Simulation Inference for Near Unit-Root Processes with Implications for Term Structure Estimation," with Greg Duffee. Journal of Financial Econometrics.
- "An Empirical Test of a Contingent Claims Lease Valuation Model," with Nancy Wallace.Journal of Real Estate Research.
- "Managerial Ability, Compensation, and the Closed-End Fund Discount," with Jonathan Berk. Journal of Finance 62 (2007): 529-556.
- "An Empirical Test of a Two-Factor Mortgage Valuation Model: How Much Do House Prices Matter?" with Chris Downing and Nancy Wallace. Real Estate Economics 33 (2005): 681-710.
- "Long-Horizon Value at Risk in a Mark-to-Market Environment," Jacob Boudoukh, Matthew Richardson, and Robert Whitelaw. Journal of Investment Management 2 (2004): 1-6.
- "From Cradle to Grave: How to Loot a 401(k) Plan." Journal of Financial Economics 56 (2000): 485-516.
- "A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk." Journal of Finance 52 (1997): 1973-2002.
- "Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach," with J. Boudoukh, M. Richardson, and R. Whitelaw. Review of Financial Studies 10 (1997): 405-446.
- "Rational Prepayment and the Valuation of Mortgage-Backed Securities." Review of Financial Studies 8 (1995): 677-708.
- "Accounting for Employee Stock Options," with Mark Rubinstein. (2004).
- "Human Capital, Bankruptcy and Capital Structure," with Jonathan Berk and Josef Zechner. (2006).
- "Optimal Exercise of Executive Stock Options and Implications for Firm Cost," with J. Carpenter and N. Wallace. (2007).
- "Valuing Mutual Fund Companies," with Jacob Boudoukh, Matthew Richardson, and Robert Whitelaw. (2003).
- "Estimation of Dynamic Term Structure Models," with Greg Duffee. (2003).
Introduction to Finance, UGBA 203
Introduction to Finance, MBA 203
Honors and Awards
- Barbara and Gerson Bakar Faculty Fellow
- Earl F. Cheit Award for Excellence in Teaching, Undergraduate Program, 2007
- Best Paper award, 2006 Utah Winter Finance conference, for "A Liquidity-Based Model of Closed-End Funds"
- Schwabacher Fellowship, 1996
- Q Group Research Award, 1994
- UC Berkeley Junior Faculty Research Grant, 1993-1994
- Earl F. Cheit Award for Excellence in Teaching (Undergraduate Program), 1993
- AACSB Doctoral Fellowship, 1989
- Science and Engineering Research Council (SERC) Overseas Studentship, 1986-1989
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