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Education
BA, mathematics, Cambridge University
MA, mathematics, Cambridge University
Ph.D., finance, Stanford University
Positions Held
At Haas since 1991
1998 - present Associate Professor, Haas School of Business, UC Berkeley
1991 - 98 Assistant Professor, Haas School of Business, UC Berkeley
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", forthcoming, Review of Financial Studies (with Martin Cherkes and Jacob Sagi).
- "Evidence on Simulation Inference for Near Unit-Root Processes with Implications for Term Structure Estimation" forthcoming, Journal of Financial Econometrics (with Greg Duffee).
- "An Empirical Test of a Contingent Claims Lease Valuation Model" forthcoming, Journal of Real Estate Research (with Nancy Wallace).
- "Managerial Ability, Compensation, and the Closed-End Fund Discount", Journal of Finance 62, 529-556 (with Jonathan Berk), 2007.
- "An Empirical Test of a Two-Factor Mortgage Valuation Model: How Much Do House Prices Matter?", Real Estate Economics 33, 681-710 (with Chris Downing and Nancy Wallace), 2005
- "Long-Horizon Value at Risk in a Mark-to-Market Environment", Journal of Investment Management 2, 1-6 (with Jacob Boudoukh, Matthew Richardson and Robert Whitelaw), 2004.
- "From Cradle to Grave: How to Loot a 401(k) Plan", Journal of Financial Economics 56, 485-516, 2000.
- "A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk", Journal of Finance 52, 1973-2002, 1997.
- "Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach", Review of Financial Studies 10: 405-446, 1997 (with J. Boudoukh, M. Richardson and R. Whitelaw).
- "Rational Prepayment and the Valuation of Mortgage-Backed Securities", Review of Financial Studies 8, 677-708, 1995.
- "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.
Teaching
- UGBA203, Introduction to Finance, Fall 2006
- MBA203, Introduction to Finance, Fall 2007
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, 1993-94
- Earl F. Cheit Award for Excellence in Teaching (Undergraduate Program), 1993
- AACSB Doctoral Fellowship, 1989
- Science and Engineering Research Council (SERC) Overseas Studentship, 1986-89
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