Professor of Finance
Office: Isenberg 308B
Ph.D., University of Iowa, 1995
Capital market efficiency
"Onshore and Offshore Hedge Funds: Are They Twins?" (with George Aragon and Hyuna Park). Management Science, forthcoming.
"Can Hedge Funds Time Market Liquidity?" (with Charles Cao, Yong Chen, and Andrew Lo). Journal of Financial Economics, forthcoming. Supported by grants from the Q-Group and from BNP Paribas Hedge Fund Center at SMU.
"Trust and Delegation" (with Stephen Brown, Will Goetzmann, and Chris Schwarz), 2012, Journal of Financial Economics 103, 221-234. Lead article. (view abstract)
"Predicting Hedge Fund Failure: A Comparison of Risk Measures" (with Hyuna Park), 2010, The Journal of Financial and Quantitative Analysis 45, 199-222. (view abstract)
"Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration" (with Stephen Brown, Will Goetzmann, and Chris Schwarz), 2008, Journal of Finance 63, 2785-2815. Part of the testimony given before a Hearing of the U.S. Congress House Financial Services Committee on Hedge Funds and Systemic Risk, March 13, 2007.
"Do Market Timing Hedge Funds Time the Market?" (with Yong Chen), December 2007, 827-856, Journal of Financial and Quantitative Analysis 42 (invited).
"Do Hedge Funds Have Enough Capital? A Value at Risk Approach" (with Anurag Gupta). Journal of Financial Economics 77, 219-253, July 2005.
Academic and Professional Activities:
Guest Editor: European Financial Management 13, March 2007
Associate Editor: Journal of Investment Management, 2004-present
Editorial Board: European Financial Management, 2007-present
Editorial Board: Journal of Alternative Investments, 2004-present
Research Fellow, Isenberg School of Management, 2007, 2008
BSI Gamma Foundation Award, 2007
Best Paper Award, China International Conference in Finance, 2007
Award for Outstanding Accomplishments in Research and Creative Activity,
University of Massachusetts, Amherst, 2006
Outstanding Research Award, Isenberg School of Management, 2006
INQUIRE UK Research Grant, 2006
Lilly Teaching Fellowship, 2005-2006, University of Massachusetts, Amherst
The Q-Group Research Grant, 2005
Best Paper Award in Hedge Funds, European Finance Associate Meetings, 2003