Terry Marsh

Terry Marsh is Professor Emeritus of Finance at UC Berkeley, Co-founder and CEO of Quantal International, and an Adviser to Strike Protocols Inc. He served on the finance faculty at Berkeley Haas until 2005, and he is a former chair of the Finance Group. He was also a Visiting Professor of Economics at the University of Tokyo in 1993, a National Fellow at the Hoover Institution at Stanford in 1986-87, and an Associate Professor at MIT, prior to joining Berkeley.

Education
PhD, University of Chicago
MBA, University of Chicago
BComm with Honors, University of Queensland
Positions Held
At Haas since 1986
2005 – present, Professor Emeritus of Finance, Haas School of Business
2005 – present, Co-founder and CEO, Quantal International Inc. and Quantal Asset Management
1993 – 1994, Visiting Professor of Finance, University of Tokyo
1987 – 2004, Associate Professor of Finance, Haas School of Business
1986 – 1990, Chair, Finance Department, Haas School of Business
1985 – 1986, Associate Professor of Finance, MIT, Cambridge, MA
1980 – 1985, Assistant Professor of Finance, MIT, Cambridge, MA
1974, Accountant, Corporate Affairs Commission, Queensland State Government
1972 – 1973, Instructor, University of Queensland
 
External Service and Assignments
- Member of Board of Directors, Japan Society of Northern California

 
Current Research and Interests
- Capital markets - Corporate finance - Accounting - Econometrics and statistics

Selected Papers and Publications
- “The 2008-2009 Financial Crisis: Model Transparency and Incentives,” with Paul Pfleiderer. Manuscript (August 2009). - “Correlation in Daily Equity and Fixed-Income Returns: Implications for a Cross-Asset Factor Model,” in: Innovations in Investment Management, Ed: H. Gifford Fong, Bloomberg Press, 2008. - “Decomposing Factor Exposure for Equity Portfolios,” in: Linear Factor Models in Finance. Eds: John Knight and Stephen Satchell, Elsevier Finance, 2005. - “Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes,” with Niklas Wagner. Journal of Empirical Finance 12 (2005): 165-185. - “Surprise Volume and Heteroskedasticity in Equity Market Returns,” with Niklas Wagner. Quantitative Finance 5, no. 2 (April 2005): 153-168. - “The Role of Country and Industry Effects in Explaining Stock Returns,”  with Paul Pfleiderer. Working Paper, September 1997. - “Term Structure of Interest Rates and the Pricing of Fixed Income Claims and Bonds,” in vol. 9 of Handbooks in Operations Research and Management Science: Finance, edited by R. Jarrow, V. Maksimovic, and W.T. Ziemba, 273-314. Elsevier Science B.V., 1995. - “Why Doesn’t the Black-Scholes Model Fit Japanese Warrants and Convertible Bonds?” with H. Kuwahara. Japanese Journal of Financial Economics 1, no. 1 (December 1994): 33-65.

Honors and Awards
- Yamaichi Fellow, University of Tokyo, 1993-1994 - National Fellow Hoover Institution, Stanford University, 1985-1986 - The Institute for Quantitative Research in Finance, 1984-1985 - Batterymarch Fellowship, 1984-1985 - Medal of Distinguished Merit, University of Queensland, 1974