Research Areas
Asset pricing; behavior of institutional traders; measurement of institutional investor trading costs; risks and returns of stock market based real estate investments
Current Projects
Trends in Institutional Stock Ownership; Investment style, trade behavior and price impacts; The interrelation between REIT, stock, and bond returns
Representative Publications
(with K. Kavajecz)
“Packaging Liquidity: Blind Auctions and Transaction Efficiencies,” Journal of Financial and Quantitative Analysis, 2005.
(with A. Madhavan)
"The Relation Between Stock Market Movements and NYSE Sat Prices." Journal of Finance 55 (2000).
"An Analysis of Mutual Fund Design: The Case of Investing in Small-Cap Stocks." Journal of Financial Economics 51 (1999).
(with A. Madhavan)
"Transactions Costs and Investment Style: An Inter-Exchange Analysis of Institutional Equity Trades." Journal of Financial Economics 46 (1997).
(with J. Gyourko)
"What Does the Stock Market Tell Us About Real Estate Returns." AREUEA Journal 20 (1992).
Education
PhD, University of Chicago, 1983; MBA, University of Chicago, 1980; BSBA, Bucknell University, 1975
Career and Recent Professional Awards; Teaching Awards
Trefftz Award, Western Finance Association, 1982; Roger F. Murray Prize, Institute for Quantitative Research in Finance, 1996; Graham & Dodd Award, Financial Analysts Federation, 1987, 1999; New York Stock Exchange Award, Western Finance Association, 1996
Academic Positions Held
Wharton: 1982-present (named John B. Neff Professor of Finance, 1998). Previous appointment: Loyola University of Chicago. Visiting appointment: INSEAD, France, 1994, 1996-98; 2004
Other Positions
Research Associate, Research Division, Federal Deposit Insurance Corporation, 1978.
Professional Leadership 2005-2009
Co-Editor, European Finance Review,1999-2003; Member, Best Execution Task Force, Association for Investment Management and Research, 2001-2002
