A. Craig MacKinlay Faculty Profile

A. Craig MacKinlay
Joseph P. Wargrove Professor of Finance

PhD, University of Chicago, 1985; MBA, University of Chicago, 1983; MBA, University of Western Ontario, 1980; BS, University of Western Ontario, 1978

Research Areas
Asset pricing models; stock market behavior; market microstructure; behavior of futures prices; econometric modeling

Current Projects
Portofolio selection. Intertemporal relation of credit risk and bond ratings. Execution of limit orders.

Academic Positions Held
Wharton: 1984-present.

Other Positions
Research Associate, National Bureau of Economic Research, 1989-present

Career and Recent Professional Awards; Teaching Awards
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

Professional Leadership 2003-2007
Editorial Board, Pacific Basin Finance Journal, 1994-present; Member, NASD Economic Advisory Board, 1996-present; Member, ITG Scientific Advisory Board, 1997-present; Director, American Finance Association, 1998-present.

Representative Publications
(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).