Babson Park, MA 02457
1989 YALE UNIVERSITY
Ph.D. in Economics (Concentration in Finance)
1986 YALE UNIVERSITY
M.Phil. in Economics
1983 YALE UNIVERSITY
M.A. in Economics
1981 POMONA COLLEGE
B.A. in Economics (Phi Beta Kappa, cum laude)
1996 – present BABSON COLLEGE
Babson Park, MA
Full-time Faculty, Finance Division
Associate Professor (2000-present)
Donald P. Babson Chair in Applied Investments (2002-2010)
Faculty Director of the Babson College Fund (2002-2009)
Director of the Stephen D. Cutler Investment Management Center
Assistant Professor (1996-2000)
1990 – 1995 BOSTON UNIVERSITY SCHOOL OF MANAGEMENT
Full-time Faculty, Department of Finance
1993 – 1994 WASHINGTON UNIVERSITY, OLIN SCHOOL OF BUSINESS
St. Louis, MO
Visiting Assistant Professor, Department of Finance
2008 – present CROWNINSHIELD FINANCIAL RESEARCH, INC.
President and Senior Expert
1996 – 2008 THE MICHEL-SHAKED GROUP
Senior Expert (2001 – 2008)
Affiliated Expert (1996 – 2001)
1987 – 1990 FEDERAL RESERVE BANK OF ATLANTA
1998 Awarded the Chartered Financial Analyst designation by the Association for Investment Management and Research.
1999 Greater Boston Real Estate Board/Real Estate Finance Association – Research Grant and Featured Speaker at Real Estate Finance Association Meetings.
PAPERS AND PUBLICATIONS
“Stock Price Reactivity to Earnings Announcements: The Role of the Cammer/Krogman Factors,” (with Miguel Villanueva) Review of Quantitative Finance and Accounting, Springer.com, October 22, 2020. Available from https://doi.org/10.1007/s11156-020-00943-4. Forthcoming in print.
“What A Solar Eclipse Has To Do With Market Efficiency,” (with Daniel Bettencourt) Law360.com, 2017.
“Underestimation of Securities Fraud Aggregate Damages Due to Inter-Fund Trades,” (with Gang Hu, Mark Marcus, and Zann Ali) Journal of Forensic Economics, September 2013, Vol. 24, No. 2, 161-173.
“Lehman Equity Research Tipping: Evidence in the Stock Price Data,” Working paper, March 2010. Cited in New York Times May 19, 2012, and made available on the New York Times website.
“Distortion in Corporate Valuation: Implications of Capital Structure Changes,” (with Allen Michel and Jacob Oded) Managerial Finance, 2011, Vol. 37(8), 681-696.
“Market Signals of Investment Unsuitability,” (with Alexander Liss and Steven Achatz) Law360.com, June 3, 2010. Available from https://www.law360.com/articles/170690.
“Planning Capital Expenditure,” in The Portable MBA in Financing and Accounting, J.L. Livingstone and T. Grossman, editors, New York: Wiley, 3rd edition 2001, and 4th edition 2009.
“Financial Management of Risks,” in The Portable MBA in Financing and Accounting, J.L. Livingstone and T. Grossman, editors, New York: Wiley, 2nd edition 1997, 3rd edition 2001, and 4th edition 2009.
“Fraud-on-the-Market Theory: Is a Market Efficient?” (with Allen Michel and Israel Shaked) American Bankruptcy Institute Journal, May 2005.
“Valuation of Credit Guarantees,” (with Allen J. Michel and Israel Shaked). Journal of Forensic Economics 17(1), pp. 17-37, 2005.
“A Better Understanding of why NPV Undervalues Managerial Flexibility,” (with Diane Lander) in The Engineering Economist, 2002, Volume 47, Number 4.
“Teaching the Strong-Form Efficient Market Hypothesis: A Classroom Experiment,” Journal of Financial Education, Fall 2000.
A Future for Real Estate Futures: Potential Applications of Derivatives in Real Estate Investment and Finance (with Linda Stoller). Monograph. Boston: Real Estate Finance Association / Greater Boston Real Estate Board, May 2000.
“The Risk Budget: Using Your Human Resources,” (with John Marthinsen and John Edmunds) Risk Management, April 2000.
“Scenario Learning: A Powerful Tool for the 21st Century Planner,” (with Jeffrey Ellis and Dennis Stearns) The Journal of Financial Planning, April 2000.
“Protecting Future Product Liability Claimants in the Case of Bankruptcy,” (with Allen Michel and Israel Shaked) American Bankruptcy Institute Journal, January 2000.
“Measuring Risk with the Bodie Put When Stocks Exhibit Mean Reversion,” The Journal of Risk, Vol. 1, No. 3, 1999.
“Just-in-Time Mathematics: Integrating the Teaching of Finance Theory and Mathematics,” (with Gordon Prichett) Primus, Vol. IX, No. 2, June 1999.
Atlanta Park Medical Center v. Hamlin Asset Management. (with Natalie Taylor). Babson Case Collection, Harvard Business School Press, 1998.
“Dealing with Delta,” Derivatives Week, VII, No. 44, November 2, 1998.
“Expected Return in Option Pricing: A Non-Mathematical Explanation,” Derivatives Week, VII, No. 35, August 31, 1998.
“When Hedges Fail: The Put Paradox and its Solution,” Derivatives Quarterly, Vol. 4, No. 2, Winter 1997.
Finance and Accounting for Project Management. New York: American Management Association, 1996.
“International Investing,” in Irwin’s Directory of Emerging Market Brokerages. New York: Irwin, 1996.
“The Hull and White Implied Volatility,” Boston University Working Paper #92-51, 1992.
“Immunizing Against Interest Rate Risk Using the Macaulay Duration Statistic: An Assessment,” (with Don Smith) in Financial Systems and Risk Management, the proceedings of the US-Japan Forum on Financial Strategy in the 1990s, sponsored by Osaka Foundation of International Exchange and Boston University, August 1991.
“Covered Call Options: A Proposal to Ease LDC Debt,” (with Peter Abken) Federal Reserve Bank of Atlanta Economic Review, March/April 1990. Reprinted in Financial Derivatives: New Instruments and Their Uses. Atlanta: Federal Reserve Bank.
“Forecasting Stock-Market Volatility Using Options on Index Futures,” Federal Reserve Bank of Atlanta Economic Review, May/June 1989. Reprinted in Financial Derivatives: New Instruments and Their Uses. Atlanta: Federal Reserve Bank.
“The Black-Scholes Formula is Nearly Linear in Sigma for At-the-Money Options; Therefore Implied Volatilities from At-the-Money Options are Virtually Unbiased,” Federal Reserve Bank of Atlanta Working Paper #88-9, December 1988.
“The Effect of the ‘Triple Witching Hour’ on Stock Market Volatility,” (with William Goetzmann) Federal Reserve Bank of Atlanta Economic Review, September/October 1988. Reprinted in Financial Derivatives: New Instruments and Their Uses. Atlanta: Federal Reserve Bank.
“Stock Market Volatility,” Federal Reserve Bank of Atlanta Economic Review, November/December 1987.
Book review of In Who’s Interest: International Banking and American Foreign Policy, by Benjamin J. Cohen, Yale University Press, in Federal Reserve Bank of Atlanta Economic Review, Summer 1987.
“Stock Price Reactivity to Earnings Announcements: A Cross-Sectional Analysis of the Cammer/Krogman Factors,” (with Miguel Villanueva) at the Boston Area Finance Symposium, April 2018.
“Stock Price Reactivity to Earnings Announcements: A Cross-Sectional Analysis of the Cammer/Krogman Factors,” (with Miguel Villanueva) at the Eastern Finance Association Conference, April 2018.
“Determining the Defendant’s Ability to Pay,” at Taxpayers Against Fraud Education Fund Conference, October 2010.
“The Computation of Damages in Securities Fraud Cases,” at the Grant and Eisenhofer Institutional Investor Conference, December 2002.
“The Role of the Financial Expert in Complex Litigation,” at the Financial Management Association Conference, October 2000.
“Entrepreneurial Incentives and Resource Allocation Among Corporate Venturing Initiatives,” (with Joel Shulman and U. Srinivasa Rangan), Babson Entrepreneurship Research Conference, May 2000.
“Application of Real Options in Purchasing Strategies,” (with Juan Orozco), presented at the International Applied Business Research Conference, March 2000.
“A Future for Real Estate Futures,” (with Linda Stoller) at the Fairfield County chapter of the Real Estate Finance Association, November 1999, and at the Greater Boston Real Estate Board, November 2000.
“Atlanta Park Medical Center v. Hamlin Asset Management,” (with Natalie Taylor) at the 1999 convention of the North American Case Research Association.
“Using Future Worlds™ in the Financial Planning Process,” (with Jeffrey Ellis) at the Institute of Certified Financial Planners Masters Retreat, October 1999.
“Toward a Better Understanding of Real Options: A Weighted Average Discount Rate Approach,” at the 1999 Financial Management Association Conference, the 1999 European Financial Management Association Conference, and the 1999 Multinational Finance Society Conference.
“Just-In-Time Mathematics: Integrating the Teaching of Finance Theory and Mathematics,” (with Gordon Prichett) at the 1999 Financial Management Association Conference.
“Alternative Dow Investments for the Individual Investor: Diamonds, Synthetics, and the Real Thing,” at the 1999 Academy of Financial Services Convention.
“Evidence of Yield Burning in Municipal Refundings,” at Financial Management Association Convention, October 1997; Government Finance Officers Association, 1997; and Northeast Regional Convention of the National Association of State Treasurers, 1997.
“Teaching the Strong-Form Efficient Market Hypothesis,” at Conference on Classroom Experiments in the Teaching of Economics at University of Virginia, September 1995.
“Efficient Consolidation of Implied Standard Deviations,” (with Shaikh Hamid) at Midwest Finance Association, March 1995.
“A Test of Intertemporal Averaging of Implied Volatilities,” (with Shaikh Hamid) at Eastern Finance Association, April 1995.
“Taking Advantage of Volatility: Non-linear Forecasting and Options Strategies,” (with Hassan Ahmed) at Chicago Board of Trade / Chicago Board Options Exchange Conference on Risk Management, February 1992.
“Immunizing Against Interest Rate Risk Using the Macaulay Duration Statistic: An Assessment,” (with Don Smith) at Japan-U.S. Conference on Financial Strategies in the 1990s, Osaka, Japan, August 1991.
“The Hull and White Implied Volatility,” at American Finance Association Convention, December 1990.
REVIEWED ARTICLES AND BOOKS FOR:
Harvard Business School Publishing
Journal of Economic Education
Journal of Forensic Economics
Journal of Risk
North American Case Research Association
Journal of Business
Journal of Money, Credit and Banking
Quarterly Review of Economics and Finance
Mod B: Decision Making and Applications, Finance stream (MBA)
Financial Reporting and Corporate Finance (MBA)
Investments (MBA and Executive)
Equity Markets (MBA)
Fixed Income Analysis (Undergraduate and MBA)
Babson College Fund (Undergraduate and MBA)
Options and Futures (Undergraduate)
Advanced Derivative Securities (MBA)
Corporate Finance (MBA and Executive)
Financial Management (MBA)
Risk Management (MBA)
Corporate Financial Strategy (MBA)
Integrated Management (Undergraduate)
Cross-Functional Management (Integrated curriculum, Undergraduate)
Continuous-Time Finance (Doctoral)
Portfolio Theory / Management Information Systems (Executive)
Quantitative Methods for Investment Management (Undergraduate and MBA)
Introduction to Derivative Securities (Executive)
International Finance (Executive)
Reid Teaching Award, Washington University, Olin School of Business, 1993-94.
SELECT LIST OF MEDIA CITATIONS
“Is Insider Trading Part of the Fabric?” by Gretchen Morgenson, The New York Times, May 19, 2012.
“Bankers Rigging Municipal Contract Bids Admit to Cover-Up Lies,” by William Selway and Martin Z. Braun, Bloomberg Markets Magazine, November 24, 2010.
“Hospital Move Presents Buy-Out Groups with New Risks,” by Francesco Guerra, Christopher Bowe, and Rebecca Knight, Financial Times, July 15, 2006.
“Funds of Knowledge Add Value,” by Rebecca Knight, Financial Times, March 12, 2006.
“City’s Financial Picture Worse Than Ever, Sanders Says,” by Matthew T. Hall, San Diego Union-Tribune, January 7, 2006.
“Downer: Stock Market Takes Another Dive,” by John Chesto, Boston Herald, July 23, 2002.
“Banks, Developers, Are Main Beneficiaries,” [editorial column] by Steven Feinstein, The Boston Globe, March 31, 2002, p. C4.
“Washington Investing: What Michael Saylor is Really Worth,” by Jerry Knight, The Washington Post, March 6, 2000.
“IBM Retools Pensions,” by Stephanie Armour, USA Today, May 4, 1999.
“L.A. MTA’s Law Firm Says Lissack Strategy Will be a Replay,” by Andrea Figler, Bond Buyer, September 30, 1998.
“Fed Key Player in Rescue of Floundering Hedge Fund,” by Andrew Fraser, Associated Press, September 25, 1998.
“Top Banks Plan Bailout for Fund,” by Andrew Fraser, Associated Press, September 24, 1998.
“Clarion Call to the Small Investor,” by Jo-Ann Johnston, The Boston Globe, March 4, 1998.
“L.A. Authority Study Shows Rampant Yield Burning Abuse,” by Michael Stanton, The Bond Buyer, April 22, 1997.
“Dispute Over Yield Burning Dominates GFOA Session,” by Michael Stanton, The Bond Buyer, January 29, 1997.
“Men Behaving Badly (Yield Burning),” Grants Municipal Bond Observer, January 24,
“Municipal Bond Dealers Face Scrutiny,” by Peter Truell, The New York Times, December 17, 1996.
“Iowa Market Takes Stock of Presidential Candidates,” by Stanley W. Angrist, The Wall Street Journal, August 28, 1995.
“Looking for Clues in Options Prices,” by Sylvia Nasar, The New York Times, July 18, 1991.
“For Fed, A New Set of Tea Leaves,” by Sylvia Nasar, The New York Times, July 5, 1991.
MEMBERSHIP IN PROFESSIONAL SOCIETIES
American Finance Association
CFA Society Boston
Chartered Financial Analyst Institute
Financial Management Association
Foundation for Advancement of Research in Financial Economics (founding member)
National Association of Forensic Economics
North American Case Research Association