Asset pricing models; stock market behavior; market microstructure; behavior of futures prices; econometric modeling; mutual fund performance.
Portfolio selection. Mutual fund performance analysis.
(with J. Campbell and A.W. Lo)
The Econometrics of Financial Markets. Princeton University Press, 1997.
(with A.W. Lo)
"Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test." Review of Financial Studies 1.1 (Spring 1988).
"Multifactor Models Do Not Explain Deviations from the Capital Asset Pricing Models." Journal of Financial Economics 38.1 (1995).
(with M.E. Blume and F. Lim)
"The Declining Credit Quality of US Corporate Debt: Myth or Reality?" Journal of Finance 53.4 (1998).
PhD, University of Chicago, 1985; MBA, University of Chicago, 1983; MBA, University of Western Ontario, 1980; BS, University of Western Ontario, 1978
Oxford University Press Century Publication Celebration 100 Best Papers of All Time Award, 2006; IMCA Journalism Award, 2003; Paul A. Samuelson Award for Outstanding Scholarly Writing on Lifelong Financial Security, 1997; Batterymarch Financial Management Fellowship, 1990; Outstanding Paper for 1990, Society for Financial Studies, 1990
Wharton: 1984-present (named Joseph P. Wargrove Professor of Finance, 1995).
Research Associate, National Bureau of Economic Research, 1989-present
Editorial Board, The Journal of Investment Consulting, 1998-present; Member, Morgan Stanley Institutional Equity Academic Advisory Board, 2002-present
