** Visit our new China
Initiative website: http://icf.som.yale.edu/research/china_intiative.shtml
On this site, you can get information about my research and professional background. My research and teaching interest is mostly in the stock markets, bond markets, options and futures markets, and the macro economy. I started my research career on the implications of demographic changes on capital markets, and continued into investigating the connections between the spirit of capitalism and financial market prices. Other areas in which I have published work include financial innovations, asset pricing in frictional economies, and options pricing. You can read about my past research in a short essay.
I have devoted most of my recent efforts to stock valuation and options pricing. Equity valuation is a practically exciting and intellectually challenging problem that both researchers and practitioners have not been able to successfully solve. On the one hand, in their daily investing life money managers and individual investors have to face such direct questions as:
Ultimately, a "good" asset pricing theory should be judged based on
the model-determined stock price from the theory is, in some way and
to certain yardsticks, consistent with the directly observed market
for the stock.
"I have a good theory that can explain the expected future return on every stock," says John to Joe.
"So, what is the expected one-year-forward return on IBM today?" Joe replies excitedly.
"Aaaaaaaaah .... I don't know and I cannot determine it. My theory can explain it, though. Once the expected IBM return is known, that is."
You can read Other
Market-Neutral Hedge Funds, Fall 2003 Emerging Market Finance, Spring and Fall 2003. MGT 890: Valuation, Investment, Corporate Finance and Options (you should check this out if you are taking this class in Fall 2000) MGT 544a: Investment Management: Econ 670a /MGT 740a -- Financial Economics I Business Finance -- Futures and Options
Last updated Oct. 20, 2000.