Ph. D., University of British Columbia, 2010, M. Sc. Mathematical Finance, University of Southern California, 2004, Dipl. Wirtschaftsmathematiker, Universitaet Ulm, 2004
Theoretical and empirical asset pricing, Performance evaluation, Investor information and conditional asset, pricing tests Risk-return tradeoff in dynamic settings, Volatility and its pricing implications, Idiosyncratic volatility and market incompleteness
Heterogeneous Information Diffusion and Horizon Effects in Average Returns (with Murray Carlson, Adlai Fisher, and Mike Simutin)
Leverage and the Limits of Arbitrage Pricing: Implications for Dividend Strips and the Term Structure of Equity Risk Premia (with Murray Carlson, Adlai Fisher, and Mike Simutin)
Idiosyncratic Profits and Systematic Risk (with Ilona Babenko and Yuri Tserlukevich)
Stochastic Idiosyncratic Volatility, Portfolio Constraints, and the Cross-Section of Stock Returns
Career and Recent Professional Awards; Teaching Awards
CIBC Asset Management Scholarship in Finance, 2006-2007
“Consumption Volatility Risk” with Lars-Alexander Kuehn. Journal of Finance, 2013, forthcoming.
"Conditional Risk and Performance Evaluation: Volatility Timing, Overconditioning, and New Estimates of Momentum Alphas" with Murray Carlson, Adlai Fisher, and Mike Simutin, Journal of Financial Economics, 2011, 102, 363-389.
ASU is a tier 1 research university and W. P. Carey is proud of its strong tradition of teaching and classroom excellence. Our students directly benefit from the research and theories our faculty brings into the classroom. Below is a list of courses being taught during the current semester by this faculty member. Click a course to view it in the ASU course catalog.
FIN 421 - Security Analys Portfolio Mgmt
Security analysis theory and practice. Selection and management of financial asset portfolios. Securities markets and portfolio risk-return analysis.
FIN 783 - Empirical Asset Pricing
Asset pricing models in finance; efficient market hypothesis, empirical factor models, option pricing basics.