Finance Group

License in Economics and Business, Universidad Torcuato Di Tella Buenos Aires, Argentina

PhD, Economics, Stanford Graduate School of Business

CEPR/ESI Prize for the Best Central Bank Research Paper, 2004

NSF Research Grant

Elected for the 2005 RESTUD Tour

“Contracting with Repeated Moral Hazard and Private Evaluations.” American Economic Review 97. no. 4 (2007)

“Bargaining with Arrival of New Traders,” with Andy Skrzypacz. American Economic Review, forthcoming.

BA, Summa Cum Laude in Mathematics, University of Pennsylvania

MA, Summa Cum Laude in Mathematics, University of Pennsylvania

PhD, Finance, Graduate School of Business, Stanford University

"Liquidity and Risk Management," with Lasse Heje Pedersen. American Economic Review Papers and Proceedings 97 (2007): 193-197.

"Valuation in Over-the-Counter Markets," with Darrell Duffie and Lasse Heje Pedersen. Review of Financial Studies, forthcoming.

BS, Mathematics and Statistics, Miami University

PhD, Operations, Information, and Technology, Graduate School of Business, Stanford University

New York Stock Exchange Euronext Award for the best paper on equity trading, Western Finance Association Meetings (2001, 2008)

Nasdaq Award for best paper on market microstructure, Financial Management Association (2007)

Schwabacher Fellowship Award, 2005-2006

"Does Algorithmic Trading Improve Liquidity?" with Charles Jones and Albert Menkveld. Journal of Finance (forthcoming).

"Automation Versus Intermediation: Evidence from Treasuries Going Off the Run," with Michael Barclay and Kenneth Kotz. Journal of Finance 61 (October 2006): 2395-2414.

BA, Economics, Northwestern University

PhD, Economics, Massachusetts Institute of Technology

Berkeley-National University of Singapore Risk Management Institute Grant, 2007

Research Institute for Housing America Trust Fund Grant, 2007

Alfred P. Sloan Foundation Grant, 2007

See Research homepage

AB, Economics, Harvard University

MS, Economics, London School of Economics

PhD, Economics, Harvard University

Stephen A. Ross Prize in Financial Economics, 2008.

Lifetime Achievement Award, Financial Intermediation Research Society, 2008

Honorary Doctorate (Doctor honoris causa), University of Paris (Dauphine), 2007

"Structural Models of the Firm: An Underview." FARFE Conference (2009)

"Structural Models and the Credit Crisis." China International Conference in Finance (2009)

"Financial Synergies and the Optimal Scope of the Firm: Implications for Mergers, Spinoffs, and Structured Finance." Journal of Finance 62 (2007): 765-807.

BSc Equivalent, University of Karlsruhe (Germany)

MA, Economics, Princeton University

PhD, Economics, Princeton University

Earl F. Cheit Award for Excellence in Teaching, PhD Program, 2010

Steven F. Maier Prize for Excellence in Research, New York University, 2003-2006

Frank Ramsey Prize for the best paper in Macroeconomic Dynamics from 2001-2004

BS, Kharkov State University

MPhil, Physics, The City University of New York

PhD, Finance, The Wharton School, University of Pennsylvania

PhD, Physics, The City University of New York

Schwabacher Fellowship Award, 2009-2010

Dean’s Scholarship for Distinguished Merit, The Wharton School, University of Pennsylvania, September 1998 - May 2002

"Optimal Diversification: Reconciling Theory and Evidence," with Joao Gomes. Journal of Finance 59 (2004): 507-535.

"Financially Constrained Stock Returns," with Lu Zhang and Horacio Sapriza. Journal of Finance (2006).

Bank of America Dean and Professor of Business

Kruttschnitt Family Chair in Financial Institutions

BS, Business (Finance Concentration), UC Berkeley

PhD, Economics (International and Macro), Massachusetts Institute of Technology

Earl F. Cheit Award for Excellence in Teaching, MFE Program, 2003

National Science Foundation grantee, 1994-1997, 1997-2000, 2000-2003

The Microstructure Approach to Exchange Rates. MIT Press, 2001.

"A Good Investment for Excess Reserves," with R. Portes. Financial Times 22 September 2000.

"Order Flow and Exchange Rate Dynamics," with M. Evans. NBER Working Paper No. 7317 (August 1999). Journal of Political Economy (February 2002): 170-180.

SB, Mathematics with Computer Science, Massachusetts Institute of Technology

PhD, Economics, Massachusetts Institute of Technology

National Science Foundation Research Grant 2008-2011, joint with Amir Sufi

NBER Faculty Research Associate, 2006-present

Initiative on Global Financial Markets Grant, 2006-2007, 2007-2008, 2008-2009

"The Consequences of Mortgage Credit Expansion: Evidence from the U.S. Mortgage Default Crisis," with Amir Sufi. Quarterly Journal of Economics 124, no. 4 (November 2009).

"Collateral Spread and Financial Development," with Jose Liberti. Journal of Finance (forthcoming).

"Tracing the Impact of Bank Liquidity Shocks: Evidence From an Emerging Market," with Asim Khwaja. American Economic Review (September 2008).

BA, Statistics, UC Berkeley

MS, Finance, UC Berkeley

PhD, Finance, UC Berkeley

National Science Foundation Research Grant 2008-2011, joint with Amir Sufi

NBER Faculty Research Associate, 2006-present

Initiative on Global Financial Markets Grant, 2006-2007, 2007-2008, 2008-2009

"Out of Sight, Out of Mind: The Effects of Expenses on Mutual Fund Flows," with Brad Barber and Lu Zheng. Journal of Business.

"Good Rationales Sell: Reason-Based Choice Among Group and Individual Investors in the Stock Market," with Brad Barber and Chip Heath. Management Science 49, no. 12 (2003): 1636-1652.

"Are Individual Investors Tax Savvy? Evidence from Retail and Discount Brokerage Accounts," with Brad Barber. Journal of Public Economics 88 (2003): 419-442.

Diploma, Business Economics, University of Mannheim

MBA, University of Chicago

PhD, Finance, University of Chicago

John Leusner Fellowship, University of Chicago, 2007-2008

German National Academic Foundation ERP Fellowship, 2006-2008

Katherine Dusak Miller Ph.D. Fellowship in Finance, 2007-2008

"Tariff Wars in a Ricardian Model with a Continuum of Goods," Journal of International Economics 80 vol. 2 (2010): 212-225.

"Rating Agencies in the Face of Regulation: Rating Inflation and Regulatory Arbitrage," with Christian C. Opp and Milton Harris. (April 2010).

"Expropriation Risk and Technology." (February 2010).

BSocSci, University of Ottawa

MA, Economics, Queen's University at Kingston

PhD, Economics, Queen's University at Kingston

John Leusner Fellowship, University of Chicago, 2007-2008

German National Academic Foundation ERP Fellowship, 2006-2008

Katherine Dusak Miller Ph.D. Fellowship in Finance, 2007-2008

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

"Rationing in IPOs," with Uday Rajan. Review of Finance 9 (2005): 33-63.

"Liquidity Based Competition for Order Flow," with Duane J. Seppi. Review of Financial Studies 16, no. 2 (Summer 2003): 301-343.

BA, Economics, Harvard University

MBA, Finance, Stanford University

PhD, Finance, University of California, Los Angeles

Earl F. Cheit Award for Excellence in Teaching, Master's in Financial Engineering Program, 2003

Financial Analysts Foundation Graham and Dodd Plaque Award for the best paper to appear in the Financial Analysts Journal during 2001

Institute for Quantitative Research in Finance (first prize) for "Recovering Probability Distributions from Option Prices," 1996

A History of the Theory of Investments: My Annotated Bibliography. Wiley, 2006.

"Great Moments in Financial Economics: IV. The Fundamental Theory, Part II." Journal of Investment Management (2006).

"Great Moments in Financial Economics: IV. The Fundamental Theory, Part I." Journal of Investment Management (2005).

BA, Mathematics, Cambridge University

MA, Mathematics, Cambridge University

PhD, Finance, Stanford University

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"

"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.

BS, Applied Mathematics and Physics, Moscow Institute of Physics and Technology, Russia

MS, Applied Mathematics and Physics, Moscow Institute of Physics and Technology, Russia

MA, Economics, New Economic School, Moscow, Russia

PhD, Business Administration, Graduate School of Business, Stanford University

Schwabacher Fellowship, 2011-2012

Earl F. Cheit Award for Excellence in Teaching, MFE Program, 2010

The Review of Financial Studies Young Researcher Award, 2009

"Performance-Sensitive Debt," with Gustavo Manso and Bruno Strulovici, Review of Financial Studies, 2010, Vol. 23 (5).

"Optimal Mortgage Design," with Tomasz Piskorski, Review of Financial Studies, 2010, Vol. 23 (8)

"Stochastic House Appreciation and Optimal Mortgage Lending," with Tomasz Piskorski, forthcoming, Review of Financial Studies

PhD, Financial Economics, Yale University

MA, Financial Economics, Yale University

Docent, Applied Mathematics, Uppsala University

PhD, Applied Mathematics, Uppsala University

MS, Business Studies and Economics, Uppsala University

MS, Engineering Physics, Uppsala University

BA, History, Uppsala University

Schwabacher Fellowship, 2010-2011

"Revisiting Asset Pricing Anomalies in an Exchange Economy, with Christine Parlour and Richard Stanton, Review of Financial Studies, forthcoming.

"Equilibrium Returns to Human and Investment Capital under Moral Hazard" with Christine Parlour. Review of Economic Studies, 2011, (1), 78, 394-428.

"Diversification Disasters," (with Rustam Ibragimov and Dwight Jaffee), Journal of Financial Economics, 2011, 99 (2), 333-348.

BA, Political Science, University of Michigan

License, Maitrisse, The University of Paris VIII, Institute of Urbanism

PhD, Urban and Regional Planning, University of Michigan

Schwabacher Fellowship, 2010-2011

"The Dynamics of Job Creation and Destruction and the Size Distribution of Cities," with Donald Walls. Housing Markets and the Economy: Risk, Regulation, Policy Essays in Honor of Karl Case, edited by Edward Glaeser and John Quigley. Cambridge, MA: Lincoln Land Institute.

"Is the Market for Mortgage Backed Securities a Market for Lemons?" with Christopher Downing and Dwight Jaffee. Review of Financial Studies.

"An Empirical Test of a Contingent Claims Lease Valuation Model," with Richard Stanton. Journal of Real Estate Research.

BA, Economics and History, Binghamton University

PhD, Economics, Northwestern University

Earl F. Cheit Award for Excellence in Teaching, 1997

Earl F. Cheit Award for Excellence in Teaching, 1995

Earl F. Cheit Award for Excellence in Teaching, 1987

"Bank Safety and Soundness and the Structure of Bank Supervision: A Cross-Country Analysis," with James R. Barth, Luis G. Dopico, and Daniel E. Nolle. International Review of Finance 3, no. 3 & 4 (2002): 163-188.

"The Increasing Integration and Competition of Financial Institutions and of Financial Regulation" in vol. 22 of Research in Finance, edited by Andrew H. Chen, 215-238. Elsevier Press, 2005.

"Failures and Insurance Losses of Federally-Insured Credit Unions: 1971-2004," 7-111. Madision, WI: Filene Research Institute and the Center for Credit Union Research, 2005.

BS, Physics, Stanford University

MS, Industrial Administration, Carnegie Tech

PhD, Systems and Communications Sciences, Carnegie Mellon University

"Improving on VaR." RISK 10, no. 10 (October 1997).

"Foreign Currency Option Values," with S. Kohlhagen. Journal of International Money and Finance 2, no. 3 (December 1983): 231-237.

"On the Estimation of Stock Price Volatilities from Historical Data," with M. Klass. Journal of Business 53, no. 1 (1980): 67-78, recently updated as "The Estimation of Security Price Volatility from Newspaper Data."

BS, Business Administration & Economics, University of Oregon

MBA, Accounting & Statistics, University of California, Los Angeles

PhD, Quantitative Methods, University of California, Los Angeles

Honorary Doctorate (Oecon. dr. hon. c.), Stockholm School of Economics, 1984

Member, Financial Economists Roundtable, 1993 - 2003

Listed in Who's Who in Economics

"Applying Portfolio Change and Conditional Performance Measures: The Case of Industry Rotation via the Dynamic Investment Model," with Robert Grauer. Review of Quantitative Finance and Accounting 17, no. 3 (November 2001): 233-265.

"The Role of a Corporate Bond Market in an Economy and in Avoiding Crisis." China Accounting and Finance Review 1, no. 1 (March 1999): 105-114 (Chinese Version 98-104); Summary in Japanese by Nomura Research Institute. Over 3300 full-text downloads as of January 2006.

"Gains from Diversifying into Real Estate: Three Decades of Portfolio Returns Based on the Dynamic Investment Model," with Robert Grauer. Real Estate Economics 23 (Summer 1995): 117-159.

BComm with Honors, University of Queensland

MBA, University of Chicago

PhD, University of Chicago

Yamaichi Fellow, University of Tokyo, 1993-1994

National Fellow, Hoover Institution, Stanford University, 1985-1986

The Institute for Quantitative Research in Finance, 1984-1985

"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.