Adlai J. Fisher. Curriculum Vitae. May 2013

Transcription

1 Adlai J. Fisher Curriculum Vitae May 2013 Address Sauder School of Business University of British Columbia 2053 Main Mall, Vancouver, B.C. V6T 1Z2 Canada Phone: (604) Fax: (604) finance.sauder.ubc.ca/~fisher Personal Married, four children U.S. citizen, Canadian permanent resident Education Yale University, Ph.D. (1998), M.Phil. (1995), M.A. (1994), Economics Macalester College, B.A. (1991) magna cum laude, Economics and Political Science London School of Economics, General Course (1990), Government Academic Appointments A. E. Hall Chair in Finance, University of British Columbia, 2006 present Associate Professor, Professor, 2011 present Assistant Professor of Finance, University of British Columbia, Visiting Assistant Professor of Finance, New York University

2 Honors and Awards Killam Prize for Excellence In Mentoring, UBC, 2011 MBA Teaching Award Finalist, Sauder School of Business, 2008 Research Excellence Award, Sauder School of Business, 2007 Brattle Prize Finalist, Journal of Finance, 2006 Smith Breeden Distinguished Paper Prize, Journal of Finance, 2005 Best Paper in Corporate Finance, Northern Finance Association, 2003 Yale University Fellowship and Dissertation Fellowship, Raymond Powell Teaching Prize, Yale University, 1995 Phi Beta Kappa, National Merit Scholar, DeWitt Wallace Distinguished Scholar, and Forrest A. Young Endowed Scholar at Macalester College, Editorial Associate Editor, Journal of Finance, 2012 Associate Editor, Review of Finance, 2010 Other Professional Service Editorial Appointments Committee for the Society of Financial Studies, Chair, Review of Asset Pricing Studies and Review of Corporate Finance Studies, 2013 Council of the Society of Financial Studies, 2012 present Program Committee, Tel Aviv University Finance Conference, 2011 present Doctoral Student Symposium Panelist, Financial Management Association Meetings, 2010 Program Committee, Western Finance Association, 2006 present Program Committee, Financial Research Association, 2009 present Program Committee, Northern Finance Association, 2009, 2011 Doctoral Student Session Organizer, Northern Finance Association, 2009 Track Chair, Investments, Financial Management Association, 2008 Best Paper Award Committee, Financial Management Association Meetings, 2005

3 University of British Columbia Service Finance Division Chair, Dean Search Committee for the Sauder School of Business, University of British Columbia, Finance Division MBA Advisor and Track Champion, MBA Strategy and Redesign Committee, Sauder School of Business, Dean s Advisory Committee for Research, Sauder School of Business, 2011 Ph.D. Committee, Sauder School of Business, Finance Division M.Sc. Advisor, Finance Division Ph.D. Advisor, Graduate Council Scholarships Committee, Graduate Scholarships Adjudication Committee, Visiting Positions HEC Paris, Fall 2005 Graduate Student Supervision Cristina Infante, 2013 Alberto Romero, 2013, Bank of Mexico, co-chair Vincent Gregoire, 2013, University of Melbourne, co-chair Michael Mueller, 2012, Bank of Canada Shubo Wang, 2011, Vanderbilt University, co-chair Zhongzhi Song, 2011, Chungkeong University Oliver Boguth, 2010, Arizona State University, co-chair Mikhail Simutin, 2010, University of Toronto, co-chair Charles Gaa, 2009, University of Oregon Lars Kuehn, 2009, Carnegie Mellon University David Newton, 2009, Concordia University Julian Douglass, 2008, Barclays Global Investors, chair Jan Schneider, 2006, UCLA, co-chair Cynthia Holmes, 2005, Florida State University Longkai Zhao, 2005, Peking University, co-chair Sean Finucane, 2004, University of Exeter Xifeng Diao, 2003, University of Calgary Stephen Burke, 2002, Phillips, Hager, and North Investment Management, co-chair

4 Monograph Multifractal Volatility: Theory, Forecasting, and Pricing (2008), with L. Calvet, Academic Press, Burlington, MA. Refereed Articles Leaders, Followers, and Risk Dynamics in Industry Equilibrium, with M. Carlson, E. Dockner, and R. Giammarino (2012), Journal of Financial and Quantitative Analysis, forthcoming. Extreme Risk and Fractal Regularity in Finance, with L. Calvet (2012), Proceedings of the American Mathematical Society, forthcoming. "Monetary Policy and Corporate Default," with H. Bhamra and L. Kuehn (2011), Journal of Monetary Economics, 58, Conditional Risk and Performance Evaluation: Volatility Timing, Overconditioning, and the Performance of Momentum Strategies, with O. Boguth, M. Carlson, and M. Simutin (2011), Journal of Financial Economics, 102, "SEO Risk Dynamics," with M. Carlson and R. Giammarino (2010), Review of Financial Studies 23, Reputation and Managerial Truth-Telling as Self-Insurance, with R. Heinkel (2008), Journal of Economics and Management Strategy 17, Multifrequency Jump-Diffusions: An Equilibrium Approach, with L. Calvet (2008), Journal of Mathematical Economics 44, Multifrequency News and Stock Returns, with L. Calvet (2007), Journal of Financial Economics 86, Corporate Investment and Asset Price Dynamics: Implications for SEO Event Studies and Long-Run Performance, with M. Carlson and R. Giammarino (2006), Journal of Finance, Lead article, Brattle Prize finalist. Volatility Comovement: A Multifrequency Approach, with L. Calvet and S. Thompson (2006), Journal of Econometrics 131, Corporate Investment and Asset Price Dynamics: Implications for the Cross-Section of Returns, with M. Carlson and R. Giammarino (2004), Journal of Finance 59, Smith Breeden Distinguished Paper Prize, Northern Finance Association Meetings Best Paper in Corporate Finance. How to Forecast Long-Run Volatility: Regime-Switching and the Estimation of Multifractal Processes, with L. Calvet (2004), Journal of Financial Econometrics 2, Multifractality in Asset Returns: Theory and Evidence, with L. Calvet (2002), Review of Economics and Statistics 84, Lead article. Forecasting Multifractal Volatility, with L. Calvet (2001), Journal of Econometrics 105, Reprinted in Complexity in Economics, J.B. Rosser, ed., Elsevier Science, 2004.

5 Current Working Papers Heterogeneity in Information Diffusion and Horizon Effects in Average Returns, with O. Boguth, M. Carlson, and M. Simutin, May Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics with L. Calvet and L. Wu, April What s Beneath the Surface: Option Pricing with Multifrequency Latent States, with L. Calvet, M. Fearnley, and M. Leippold, January Levered Noise and the Limits of Arbitrage Pricing: Implications for Dividend Strips and the Term Structure of Equity Risk Premia, with O. Boguth, M. Carlson, and M. Simutin, September Other Contributions A Multifractal Model of Asset Returns, with L. Calvet and B. Mandelbrot (1997), Cowles Foundation Discussion Paper #1144. Large Deviations and the Distribution of Price Changes, with L. Calvet and B. Mandelbrot (1997), Cowles Foundation Discussion Paper #1145. Multifractality of Deutsche Mark / U.S. Dollar Exchange Rates, with L. Calvet and B. Mandelbrot (1997), Cowles Foundation Discussion Paper #1146. Conference Contributions and Invited Seminars 2013: University of New South Wales, Sydney University of Technology, University of Sydney, Queensland University of Technology, University of Minnesota Financial Mathematics 2012: Western Finance Association, European Finance Association, Northern Finance Association, HEC Montreal, University of Arizona, University of Alberta 2011: University of North Carolina, University of Minnesota Financial Mathematics, Finance Down Under Conference, Northern Finance Association Conference, University of Copenhagen, University of Vienna, Catolica Univeridad de Chile, Society of Financial Econometrics 2010: McGill University 3rd Annual Risk Management Conference, Econometric Society World Congress, Northern Finance Association, Second HEC Finance and Statistics Conference, Carnegie- Rochester Conference on Public Policy, University of Geneva 2009: Computational and Financial Econometrics Conference (2 papers), 11th Annual Financial Econometrics Conference at the University of Waterloo, Western Finance Association (2 papers), European Finance Association, Macalester College, Brigham Young University 2008: North American Summer Meetings of the Econometric Society, Wilfred Laurier Corporate Finance Conference, European Winter Finance Summit, HEC Lausanne, University of Pittsburgh, New York University, University of Minnesota 2007: American Finance Association, Northern Finance Association, UCLA, University of Vienna, Rice

6 University, Texas A&M 2006: Western Finance Association, Northern Finance Association, Vanderbilt University, University of Texas at Austin 2005: Texas Finance Festival, Western Finance Association, UBC Summer Finance Conference, Econometric Society World Congress, Bank of Canada Workshop on International Financial Markets, Northern Finance Association, NSF/CEME Mathematical Economics Conference, Carnegie Mellon University, HEC Paris, Duke University, University of Wisconsin at Madison 2004: American Finance Association; Society for Economic Dynamics, NBER Asset Pricing Program, Pacific Northwest Finance Conference, Northern Finance Association, McGill University, University of California at Berkeley, University of Calgary 2003: Simulation Based and Finite Sample Inference in Finance, University of Laval; PIER-IGIER Conference on Econometric Methods in Macroeconomics and Finance; Northern Finance Association; North American Summer Meetings of the Econometric Society (3 papers); Canadian Economic Theory Conference; UBC Statistics Department 2002: Extremal Events in Finance, CIRANO; Northern Finance Association; NBER/NSF Time Series Conference 2001: Northern Finance Association; Third Annual Financial Econometrics Conference, University of Waterloo 2000: Pacific Northwest Finance Conference; Board of Governors of the Federal Reserve; University of British Columbia 1999: NBER Summer Institute; Derivatives Research Project Sponsors Retreat ; Carnegie Mellon University; New York University; Conference on Integrated Risk and Return Management for Insurance Companies 1998: Berkeley Program in Finance; North American Summer Meetings of the Econometric Society; Order, Chance, and Risk: Aperiodic Phenomena from Solid State to Finance; Board of Governors of the Federal Reserve; Federal Deposit Insurance Corporation; Federal Reserve Bank of San Francisco; Johns Hopkins University; New York University; Rutgers University; University of Calgary; University of California at Riverside; University of Colorado at Boulder; University of Miami; University of Utah Discussant 2013: American Finance Association 2012: Montreal Institute of Structured Finance and Derivatives, UBC Summer Finance Conference 2011: UBC Winter Finance Conference, University of Texas Real Estate Conference, Northern Finance Association 2010: Northern Finance Association, Tepper/LAEF Macro-Finance Conference, Second HEC Finance and Statistics Conference 2009: Western Finance Association (2 papers), Northern Finance Association, UBC Summer Finance Conference

7 2008: Financial Research Association 2007: Texas Finance Festival, Northern Finance Association, UBC Summer Finance Conference 2006: American Finance Association, Northern Finance Association 2005: Simulation-Based and Finite-Sample Inference in Finance, NBER Summer Institute, Bank of Canada Workshop on International Financial Markets 2001: Western Finance Association Referee Applied Mathematical Finance, Canadian Public Policy, Economics Letters, Econometric Theory, Financial Management, Financial Review, International Journal of Theoretical and Applied Finance, Journal of Applied Econometrics, Journal of Banking and Finance, Journal of Business and Economic Statistics, Journal of Econometrics, Journal of Empirical Finance, Journal of Finance, Journal of Financial Economics, Journal of Financial Markets, Journal of Futures Markets, Journal of International Money and Finance, Journal of International Financial Markets Institutions and Money, Journal of Political Economy, Multinational Finance Journal, Quantitative Finance, Real Estate Economics, Review of Derivatives Research, Review of Economics and Statistics, Review of Financial Studies, Social Sciences and Humanities Research Council of Canada Courses Taught Introduction to Finance, MBA, University of British Columbia Principles of Finance, MBA, University of British Columbia Monetary Policy and Asset Pricing, Ph. D., University of British Columbia Empirical Corporate Finance, Ph. D., University of British Columbia Empirical Asset Pricing, Ph. D., University of British Columbia Mergers and Acquisitions, MBA, University of British Columbia Institutional Investments, MBA, Donau University Mergers and Acquisitions, Executive Education, University of British Columbia Security Pricing, MBA, HEC Paris School of Management Financial Engineering, MBA, University of British Columbia Options and Futures, MBA, University of British Columbia Financial Management, Undergraduate, University of British Columbia Mergers and Acquisitions, MBA, New York University Corporate Finance, MBA, New York University

8 Corporate Finance Topics, Undergraduate, New York University Microeconomics, Undergraduate, Yale University Grants SSHRC Insight Development Grant, , with M. Carlson Credit Risk and Monetary Policy, Social Sciences and Humanities Research Council of Canada, Competition, Real Options, and Risk Dynamics, Social Sciences and Humanities Research Council of Canada, , with M. Carlson and R. Giammarino Mutual Fund Risk Dynamics and Performance Evaluation, Social Sciences and Humanities Research Council of Canada, , with M. Carlson Multifrequency Risk in Bond and Option Markets, Social Sciences and Humanities Research Council of Canada, Corporate Investment and Risk Dynamics, Social Sciences and Humanities Research Council of Canada, , with M. Carlson and R. Giammarino Asset Pricing with Multifrequency News, Social Sciences and Humanities Research Council of Canada, , Corporate Investment Decisions and Asset Price Dynamics, Social Sciences and Humanities Research Council of Canada, , with M. Carlson and R. Giammarino Managerial Incentives, Analyst Recommendations, and Information Dynamics, Social Sciences and Humanities Research Council of Canada, , with R. Heinkel Multifrequency Volatility Persistence in Financial Markets, Social Sciences and Humanities Research Council of Canada, UBC Humanities and Social Sciences, , UBC Bureau of Asset Management, 2001, 2002 UBC New Faculty Grant, 2000