Andrew Detzel

Education

• Ph.D. Finance, University of Washington Seattle, 2015

Research Interests:

• Empirical asset pricing, limits to arbitrage, volatility, macro finance, out-of-sample forecasting

Publications

Model Comparison with Transaction Costs , with Robert Novy-Marx and Mihail Velikov, Journal of Finance, forthcoming.

The Cross-Section of Volatility and Returns: Then and Now, with Jefferson Duarte, Avraham Kamara, Stephan Siegel, and Celine Sun, Critical Finance Review, forthcoming.

Do Limits to Arbitrage Explain the Benefits of Volatility-Managed Portfolios?, with Pedro Barroso, Journal of Financial Economics, June 2021.

Learning and Predictability via Technical Analysis: Evidence from Bitcoin and Stocks with Hard-to-Value Fundamentals, with Hong Liu, Guofu Zhou, Jack Strauss, and Yingzhi Zhu, Financial Management, March 2021.

Expected vs Ex-Post Profitability in the Cross-section of Industry Returns, with Philipp Schaberl and Jack Strauss, Financial Management, June 2019.

There are Two Very Different Accruals Anomalies, with Philipp Schaberl and Jack Strauss, European Financial Management, September 2018.

Special Issue on Corporate Policies and Asset Prices edited by Lu Zhang. Acceptance rate of 7/150.

Combination Return Forecasts and Portfolio Allocation With the Cross-Section of Book-to-Market Ratios, with Jack Strauss, Review of Finance, August 2018.

This paper owes a special uncredited thanks to David Rapach for generously sharing code.

Monetary Policy Surprises, Investment Opportunities, and Asset Prices, Journal of Financial Research, September 2017.

Winner of Shmuel Kandel Award for best PhD Student Paper at Utah Winter Finance Conference.

The Asset Pricing Implications of Government Economic Policy Uncertainty, with Jonathan Brogaard, Management Science, January 2015.

Working Papers

• The Volatility Puzzle of the Low-Risk Anomaly, with Pedro Barroso and Paulo Maio.
• Revise and resubmit, Journal of Financial Economics.
• Managing the Risk of the Beta Anomaly, with Pedro Barroso and Paulo Maio.
• Strategy Consistency and Mutual Fund Performance, with C. Thomas Howard.

Awards

• Daniels College of Business Distinguished Scholar Award (2021)
• Shmuel Kandel Award for an Outstanding Doctoral Student in Financial Economics at the Utah Winter Finance Conference (2015)