Research Areas
Asset pricing; portfolio theory; econometrics
Current Projects
Predictive systems; Long-run equity volatility; Bayesian methods; mutual funds; hedge funds
Representative Publications
(with L. Pástor)
"Liquidity Risk and Expected Stock Returns." Journal of Political Economy 111 (2003).
“Predictive Regressions”, Journal of Financial Economics 54 (1999).
(with S. Kandel)
"On the Predictability of Stock Returns: An Asset-Allocation Perspective." Journal of Finance 54 (1996).
Education
PhD, University of Chicago, 1981; MBA, University of Chicago, 1976; AB, Dickinson College, 1974
Career and Recent Professional Awards; Teaching Awards
Batterymarch Fellow, 1985; Smith-Breeden Prize (first-prize paper, Journal of Finance), 1996; Marvin Bower Fellow, Harvard Business School, 1997; Fama-DFA prizes (second-place winner, Journal of Financial Economics) 1997, 1999, 2002; Goldman Sachs Asset Management Award, 2007.
Academic Positions Held
Wharton: 1979-83, 1988-present (named Miller Anderson & Sherrerd Professor of Finance, 2007; named Ronald O. Perelman Professor of Finance, 1989; Donaldson, Lufkin & Jenrette Term Professor of Finance, 1988-89). Previous appointment: University of Chicago. Visiting appointment: Harvard University
Other Positions
Financial Analyst, Ford Motor Co., 1976-77
Professional Leadership 2005-2009
Editor, Journal of Finance, 2003-2006; Editorial Committee, Annual Review of Financial Economics, 2007–present
