Jonathan B. Berk
Professor

Ph.D. from Yale University in finance

Research: evaluation and performance of active portfolio managers, firm valuation, valuation and return dynamics of growth stocks, applications of real options in investment decisions, market "anomalies," information revelation in stock prices

Publication Highlight: “Mutual Fund Flows and Performance in Rational Markets,” with R. Green, 2004 Journal of Political Economy

Pierre Collin Dufresne
Associate Professor

Ph.D. from HEC School of Management, Jouyen-josas, France in finance

Research: asset and derivative pricing, fixed income, and credit risk

Publication Highlights: "Unspanned Stochastic Volatility and Fixed Income Derivatives Pricing," with Jaime Casassus, Bob Goldstein, November 2005 Journal of Banking & Finance

"Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates," with Jaime Casassus, October 2005 Journal of Finance

Gregory Duffee
Associate Professor

Ph.D. from Harvard University in economics

Research: credit risk (theoretical and empirical), term structure of interest rates (especially affine models), derivative instruments, risk management for financial institutions

Publication Highlight: "Term Structure Estimation without Using Latent Factors," March 2006 Journal of Financial Economics

Christopher Hennessy
Associate Professor

Ph.D. from Princeton University in economics

Research: agency costs of debt finance, taxes and corporate risk management, contract theory

Publication Highlight: "Debt Dynamics," with Toni M. Whited, June 2005 Journal of Finance

Dwight M. Jaffee
Professor

Ph.D. from Massachusetts Institute of Technology in economics

Research: catastrophe insurance, real estate markets and real estate finance, financial institutions and lending activity, international trade and the California economy

Publication Highlights: "The Role of Government in the Coverage of Terrorism Risk," July 2005 for the Organisation for Economic Co-operation and Development

"The Interest Rate Risk of Fannie Mae and Freddie Mac," December 2003 Journal of Financial Services Research

Hayne E. Leland
Professor

Ph.D. from Harvard University in economics

Research: structural modeling of credit risk, dynamic models of optimal leverage and agency costs, optimal investment strategies in the presence of transactions costs, performance measurement: beyond mean-variance analysis

Publication Highlights: "On Purely Financial Synergies and the Optimal Scope of the Firm: Implications for Mergers, Spinoffs, and Structured Finance," July 2005 Journal of Finance

"Predictions of Default Probabilities in Structural Models of Debt," April 2004, Journal of Investment Management

Dmitry Livdan
Assistant Professor

Ph.D. from University of Pennsylvania in finance
Research: theory of the firm, financing under asymmetric information, contract theory, production based asset pricing, market “anomalies”, informational economics
Publication Highlight: “Optimal Diversification: Reconciling Theory and Evidence,” Spring 2004 Journal of Finance

Richard K. Lyons
Professor
Executive Associate Dean

Ph.D. from Massachusetts Institute of Technology in economics (international and macro)

Research: exchange rate economics, microstructure finance, international finance

Publication Highlights: "Meese-Rogoff Redux: Micro-based Exchange-Rate Forecasting," with Martin D. Evans, May 2006 American Economic Review

"Inventory Information," with Henry H. Cao, Martin D. Evans, January 2006 Journal of Business

Nils Hakansson
Sylvan C. Coleman Professor of Finance and Accounting, Emeritus

Ph.D. from University of California, Los Angeles in quantitative methods
Research: dynamic portfolio strategies, the welfare economics of financial markets, economics of information, disclosure regulation and productive efficiency, financial reporting
Publication Highlight: “The Role of a Corporate Bond Market in an Economy – and in Avoiding Crises,” March 1999 China Accounting and Finance Review

Terrance Odean
Associate Professor

Ph.D. from the University of California at Berkeley in finance

Research: the behavior of individual and institutional investors

Publication Highlight: "All that Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors,” with Brad Barber, forthcoming The Review of Financial Studies

Christine Parlour
Assistant Professor

Ph.D. from Queen’s University at Kingston in economics

Research: market microstructure, loan contracts

Publication Highlight: "Equilibrium in a Dynamic Limit Order Market," with Ronald L. Goettler and Uday Rajan, forthcoming Journal of Finance

“Competition in Loan Contracts,” with Uday Rajan, December 2001 American Economic Review

David H. Pyle
Professor Emeritus

Ph.D. from Massachussetts Institute of Technology in management

Research: risk management, financial regulation

Publication Highlight: "The Savings and Loan Crisis," 1995 Handbooks in Operations Research and Management Science

"Liquidation Costs and Risk-Based Capital," with Helena Mullins, January 1994 Journal of Banking and Finance

Mark E. Rubinstein
Professor

Ph.D. from University of California at Los Angeles in finance

Research: the history of the theory of investments, derivatives, valuation of various exotic options, empirical tests of alternative option pricing models

Publication Highlight: "Great Moments in Financial Economics IV: The Fundamental Theorem (Part I)," 4th quarter 2005 Journal of Investment Management

Mark Seasholes
Assistant Professor

Ph.D. from Harvard University in business economics

Research: international financial markets, behavioral finance

Publication Highlight: "Market Maker Inventories and Stock Prices,” with Terry Hendershott, 2007 forthcoming American Economic Review Papers and Proceedings

“Firm Specific Attributes and the Cross-Section of Momentum,” with Jacob Sagi, 2007 forthcoming Journal of Financial Economics

Richard H. Stanton
Associate Professor

Ph.D. from Stanford University in finance

Research: mortgage and lease markets, term structure modeling, mutual funds and risk management, employee stock options

Publication Highlights: "Rational Prepayment and the Valuation of Mortgage-Backed Securities," Fall 1995 Review of Financial Studies

"Managerial Ability, Compensation and the Closed-End Fund Discount," with Jonathan Berk, forthcoming, Journal of Finance, 2007

Johan Walden
Assistant Professor

Ph.Ds. from Yale University in financial economics and from Uppsala University in applied mathematics

Research: bubbles and crashes, investor behavior under high uncertainty, nonlinear fund styles, and numerical asset pricing

Publication Highlight: "Situational Awareness in a Spreadsheet: Estimating the Size and Time of a Bioterror Attack," with Edward Kaplan, 2004, Emerging Infectious Diseases

James Wilcox
Professor

Ph.D. from Northwestern University in economics

Research: banking--mergers and acquisitions, cost reductions by consolidation, lending and bank capital, effects of economic conditions on banks, small business and banking

Publication Highlights: "Housing, Credit Constraints, and Macro Stability: The Secondary Mortgage Market and Reduced Cyclicality of Residential Investment," with Joe Peek, May 2006 American Economic Review Papers and Proceedings.

"Credit Union Conversions to Banks," Filene Research Institute, Madison, WI, 2006, forthcoming.

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