Haas School of Business

PhD, Finance, Stanford University
MA, Mathematics, Cambridge University
BA, Mathematics, Cambridge University
Positions Held
At Haas since 1991
2008 – present, Professor, Haas School of Business
1998 – 2008, Associate Professor, Haas School of Business
1991 – 1998, Assistant Professor, Haas School of Business
External Service and Assignments
- Member, editorial board: Journal of FinanceJournal of Real Estate Finance and Economics - Member, program committee: Utah Winter Finance Conference

Current Research and Interests
- Mortgage and lease markets - Term structure modeling - Mutual funds and risk management - Employee stock options (ESOs)

Selected Papers and Publications
- “Liquidity-Based Model of Closed-End Funds, with Martin Cherkes and Jacob Sagi.Review of Financial Studies. - “Evidence on Simulation Inference for Near Unit-Root Processes with Implications for Term Structure Estimation,” with Greg Duffee. Journal of Financial Econometrics. - “An Empirical Test of a Contingent Claims Lease Valuation Model,” with Nancy Wallace.Journal of Real Estate Research. - “Managerial Ability, Compensation, and the Closed-End Fund Discount,” with Jonathan Berk. Journal of Finance 62 (2007): 529-556. - “An Empirical Test of a Two-Factor Mortgage Valuation Model: How Much Do House Prices Matter?” with Chris Downing and Nancy Wallace. Real Estate Economics 33 (2005): 681-710. - “Long-Horizon Value at Risk in a Mark-to-Market Environment,” Jacob Boudoukh, Matthew Richardson, and Robert Whitelaw. Journal of Investment Management 2 (2004): 1-6. - “From Cradle to Grave: How to Loot a 401(k) Plan.” Journal of Financial Economics 56 (2000): 485-516. - “A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk.” Journal of Finance 52 (1997): 1973-2002. - “Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach,” with J. Boudoukh, M. Richardson, and R. Whitelaw. Review of Financial Studies 10 (1997): 405-446. - “Rational Prepayment and the Valuation of Mortgage-Backed Securities.” Review of Financial Studies 8 (1995): 677-708. - “Accounting for Employee Stock Options,” with Mark Rubinstein. (2004). - “Human Capital, Bankruptcy and Capital Structure,” with Jonathan Berk and Josef Zechner. (2006). - “Optimal Exercise of Executive Stock Options and Implications for Firm Cost,” with J. Carpenter and N. Wallace. (2007). - “Valuing Mutual Fund Companies,” with Jacob Boudoukh, Matthew Richardson, and Robert Whitelaw. (2003). - “Estimation of Dynamic Term Structure Models,” with Greg Duffee. (2003).

- Introduction to Finance, UGBA 203 - Introduction to Finance, MBA 203

Honors and Awards
- Barbara and Gerson Bakar Faculty Fellow - Earl F. Cheit Award for Excellence in Teaching, Undergraduate Program, 2007 - Best Paper award, 2006 Utah Winter Finance conference, for “A Liquidity-Based Model of Closed-End Funds” - Schwabacher Fellowship, 1996 - Q Group Research Award, 1994 - UC Berkeley Junior Faculty Research Grant, 1993-1994 - Earl F. Cheit Award for Excellence in Teaching (Undergraduate Program), 1993 - AACSB Doctoral Fellowship, 1989 - Science and Engineering Research Council (SERC) Overseas Studentship, 1986-1989

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