David A. Hsieh
Bank of America Professor of Finance
Ph.D., MIT, 1981.
A. Hsieh is Bank of America Professor of Finance at the Fuqua
School of Business, Duke
Professor Hsieh obtained his B.S. in Economics and Mathematics from Yale University and a Ph.D. in Economics from the Massachusetts Institute of Technology. He taught at the Graduate School of Business, University of Chicago from 1981 to 1989. He joined the Fuqua Faculty in 1989.
Professor Hsieh's current research focuses on the style, risk, and performance evaluation of hedge funds. This research has been featured in the Review of Financial Studies, Journal of Empirical Finance, Journal of Fixed Income, Financial Analysts Journal and the Journal of Portfolio Management. He has been invited to give presentations on hedge funds to academics, regulators, and institutional investors.
Professor Hsieh has also worked in the area of statistical modeling of high frequency financial data, especially volatility clustering in stocks, bonds, and foreign exchange. The results have been published in the Journal of Business, the Journal of Business and Economic Statistics and the Journal of Finance, and the Journal of International Economics. The statistical theory and empirical results are summarized in a book entitled Nonlinear Dynamics, Chaos and Instability: Statistical Theory Dynamics, which is coauthored with Professors William Brock and Blake LeBaron and published by the MIT press.
Professor Hsieh won the Smith-Breeden First Prize for the bestpaper in the Journal of Finance in 1990 with Nobel Laureate Merton Miller, and the Fischer Black Memorial Foundation's 1999 Robert J. Schwartz Memorial Prize for the best paper on hedge funds with William Fung. In 2004, he received a CFA Institute's Graham and Dodd Award of Excellence for his paper with co-author Willimg Fung on hedge fund benchmarks published in the Financial Analysts Journal.
Hsieh teaches Global Financial Management, Fixec Income Securities
Risk Management, International Corporate Finance, and Investments &
Portfolio Management. Along with Professor Ernst Maug, he won the Teaching
Award from the Cross-Continent Executive MBA Class of 2002. He also
won the Bank of America Faculty Award