Terry Marsh's Home Page

	Terry A. Marsh
	Associate Professor
	Haas School of Business University of California 545 Student Services Building Berkeley, CA 94720-1900 Phone: (510) 642-1651 Fax: (510) 643-1420 Email: marsh@haas.berkeley.edu
	Fall Office Hours: By Appointment in Room F491

EDUCATION

RESEARCH INTERESTS

TEACHING

BA 233, Securities Markets and Investment Policies, Fall 1998
BA 235, Advanced Topics in Financial Institutions and Financial Markets: Equity Portfolio Management, Fall 2000
BA 238C, Doctoral Seminar in Finance: Empirical Topics, Fall 1998

SELECTED PUBLICATIONS

Stochastic Processes for Interest Rates and Equilibrium Bond Prices" (with E. Rosenfeld), Journal of Finance, Volume 38, No. 2, 1983, 635-646.
"Dividend Variability and Variance Bounds Tests for the Rationality of Stock Market Prices" (with R. C. Merton), American Economic Review, Volume 76, No. 3, June 1986, 483-448.
"The Pricing of Japanese Equity Warrants," Management Science, November 1992.
"Variations in Economic Uncertainty and Risk Premiums on Capital Assets" (with G. Gennotte), European Economic Review, Volume 37, 1993, 1021-1041.
"Term Structure of Interest Rates and the Pricing of Fixed Income Claims and Bonds," Handbooks in Operations Research and Management Science: Finance, Vol. 9, R. Jarrow, V. Maksimovic and W. T. Ziemba, eds., Elsevier Science B. V., 1995, 273 -314.

SELECTED WORKING PAPERS

"The Transactions Process and Rational Stock Price Dynamics" (with K. Rock), October 1986.
"On the Economics of Clearing and Settlement Systems," (with A. Kyle), December 1993.
"Estimating Factor Models of Security Returns: How Much Difference Does It Make?" (with I. Fedrigo and P. Pfleiderer), August 23, 1994; revised November 1996.
"BIS Capital Regulations and Japanese Banks' Bad Loans" (with J-M Paul), March 1997.
"Shifting Return Covariances and the Information in Implied Volatilities" (with S. Mayhew), April 1997.
"The Factors Determining Real Estate Price Movements in Japan" (with J-M Paul), May 1997.
"Return-Volume Dependence and Extremes in International Equity Markets" (with N. Wagner), Institute of Business and Economic Research, Research Program in Finance Working Paper No. RPF-293, May 2000. (Acrobat.pdf file)

MISCELLANEOUS

"Ginkou ni Risku Kanri Sekinin," Nihon Keizai Shimbun (in Japanese), August 24, 1994.
"Zheng Fu Zhai Quan de Ding Jia," Shi Jie Jin Rong (World Finance), April 1995, 1-8 (In Chinese).
"Ling Huo Xing Zai Zi Chan Ding Jia Zhong de Zhuo Yong," Shi Jie Jin Rong (World Finance), June 1995 (In Chinese).

Updated: 10/11/00jw. Photograph by Billy Hustace