Research Areas
Asset pricing; portfolio theory; econometrics
Current Projects
Developing models of the term structure of interest rates. Analyzing the volatility of stock returns.
Representative Publications
"A Test of the Cox, Ingersoll, and Ross Model of the Term Structure." Review of Financial Studies 6 (1993).
"A Test of the Efficiency of a Given Portfolio." Econometrics 57 (1989).
"Empirical Tests of the Consumption-Oriented CAPM." Journal of Finance 44 (1989).
Education
PhD, University of Chicago, 1980; MS, University of Chicago, 1979; BS, Butler University, 1975
Recent Consulting
Consulting ranges from expert testimony (involving valuation of assets) to issues which arise in professional investment management
Career and Recent Professional Awards; Teaching Awards
Batterymarch Fellow, 1983-84; Graduate Division Excellence in Teaching Award, 1996, 2001
Academic Positions Held
Wharton: 1989-present (Deputy Dean, 2007-present; Chairperson, Finance Department,1994-2006; named I.W. Burnham II Professor of Investment Banking, 1989). Previous appointments: Stanford University; University of Chicago. Visiting appointment: University of Chicago
