David A. Hsieh
Bank of America Professor of Finance

Curriculum Vitae

Last Update: October, 2013.


Education:
· Massachusetts Institute of Technology, Ph.D. in Economics, 1981.
· Yale University, B.S. in Economics and Mathematics, 1976. Summa Cum Laude, Phi Beta Kappa.
· Phillips Academy, Andover, 1972. Cum Laude.

Academic Appointments:
· Professor, Fuqua School of Business, Duke University, 1993-present.
· Associate Professor, Fuqua School of Business, Duke University, 1989-1993.
· Associate Professor, Graduate School of Business, University of Chicago, 1985-1989.
· Assistant Professor, Graduate School of Business, University of Chicago, 1981-1985.

Other Appointments:
· Consultant, International Monetary Fund, 2007-present.
· Consultant, Bank for International Settlement, 1998.
· Visiting Scholar, International Monetary Fund, July 1998.
· Visiting Scholar, Board of Governors of the Federal Reserve System, 1990.

Honors and Awards:
· CFA Institute, Graham and Dodd Award of Excellence for "Hedge Fund Benchmarks: A Risk-Based Approach," co-authored with William Fung and published in the Financial Analysts Journal in 2004.
· Bank of America Faculty Award in 2002.
· Teaching in Excellence Award, Duke Cross-Continent Executive MBA Class of 2002.
· Fischer Black Memorial Foundation, 1999 Robert J. Schwartz Memorial Prize, for the best paper on hedge funds.
· 1990 Smith Breeden First Prize for the best paper in the Journal of Finance for the article "Margin Regulation and Stock Market Volatility" (joint with Merton H. Miller).
· 1976 Yale Science and Engineering Association High Scholarship Award (for the highest class standing after seven semesters).
· 1976 Russell Henry Chittenden Prize (for the Yale senior with the highest scholarship in the natural sciences, including mathematics).

Research Interests:
· Dynamics of asset prices and their implications for financial risk management.
· Risk and return in hedge funds and commodity funds.

Professional Affiliations:
· American Finance Association
· Society of Financial Studies
· Finance Editor, Management Science, 2003-2009. [Rejection rate: 83% (2003).]
· Associate Editor, Economic Letters, 1998-present.
· Associate Editor, Journal of Empirical Finance, 1992-present.
· Associate Editor, Journal of Business and Economic Statistics, 1992-2000.

Teaching Interests:
· Finance core course, investments & portfolio management, fixed income securities, international finance.



Publications

Book:

Nonlinear Dynamics, Chaos and Instability: Statistical Theory and Economic Evidence, with William Brock and Blake LeBaron, Cambridge: MIT Press, 1991 (328 pages).

Refereed Journal Articles:

[1] "The Determination of the Real Exchange Rate: the Productivity Approach," Journal of International Economics, 12 (1982), 355-362.

[2] "Rational Expectations and Risk Premia in Forward Markets: Primary Metals in the London Metals Exchange," with Nalin Kulatilaka, Journal of Finance, 37 (1982) 1199-1207.

[3] "A Heteroscedasticity-Consistent Covariance Matrix Estimator for Time Series," Journal of Econometrics, 22 (1983), 281-290.

[4] "International Risk Sharing and the Choice of Exchange Rate Regime," Journal of International Money and Finance, 3 (1984), 141-151. PDF file (last version before publication).

[5] "Tests of Rational Expectations and No Risk Premium in Forward Exchange Markets," Journal of International Economics, 17 (1984), 173-184. PDF file (last version before publication). One of the top 25 most cited papers in the JIE.

[6] "Estimation of Response Probabilities from Augmented Retrospective Observations," with Charles Manski and Daniel McFadden, Journal of the American Statistical Association, 80 (1985), 651-662. PDF file

[7] "Choice of Inventory Accounting Method: a Ricardian Model," with Jevons Lee, Journal of Accounting Research, 23 (1985), 468-485. Reprinted in Ray Ball and Clifford W. Smith (eds), The Economics of Accounting Policy Choice, New York: McGraw-Hill, 1992, 646-663. PDF file (last version before publication)

[8] "An Exploratory Investigation of the Firm Size Effect," with K.C. Chan and Nai-fu Chen, Journal of Financial Economics, 14 (1985), 451-471. PDF file (last version before publication)

[9] "Portfolio Implications of Empirical Rejections of the Expectations Hypothesis," with Leonardo Leiderman, Review of Economics and Statistics, 68 (1986), 680-684.

[10] "Monte-Carlo Evidence on Adaptive Maximum Likelihood Estimation of a Regression," with Charles F. Manski, The Annals of Statistics, 15 (1987), 541-551.

[11] "The Profitability of Currency Speculation," with John F.O. Bilson, International Journal of Forecasting, 3 (1987), 115-130.

[12] "Statistical Properties of Daily Foreign Exchange Rates: 1974-1983," Journal of International Economics, 24 (1988), 129-145. PDF file (last version before publication)One of the top 25 most cited papers in the JIE.

[13] "Empirical Regularities in the Deutsche Mark Futures Options," with Luis Manas-Anton, Advances in Futures and Options Research, 3 (1988), 183-208. PDF file (last version before publication)

[14] "Testing for Nonlinear Dependence in Daily Foreign Exchange Rate Changes," Journal of Business, 62 (1989), 339-368. 

[15] "Modeling Heteroskedasticity in Daily Exchange Rates," Journal of Business and Economic Statistics, 7 (1989) 307-317. PDF file.

[16] "Margin Regulation and Stock Market Volatility," with Merton H. Miller, Journal of Finance, 45 (1990), 3-29. Reprinted in Lester Telser (ed), Margins and Market Integrity, Chicago: Probus Publishing Co, 1991, 319-364. PDF file (last version before publication) Winner of the Smith-Breeden First Prize in 1990.

[17] "Implications of Observed Properties of Daily Exchange Rate Movements," Journal of International Financial Markets, Institutions & Money, 1 (1991), 61-71. PDF file (last version before publication).

[18] "Chaos and Nonlinear Dynamics: Application to Financial Markets," Journal of Finance, 46 (1991), 1839-1877. PDF file (last version before publication). One of the 48 most cited papers published during 1990-1999 in the JOF.

[19] "Estimating the Dynamics of Foreign Currency Futures," with William Fung, Review of Futures Markets, 10 (1991), 490-514. PDF file (last version before publication).

[20] "A Nonlinear Stochastic Rational Expectations Model of Exchange Rates," Journal of International Money and Finance, 11 (1992), 235-250. PDF file (last version before publication).

[21] "Implications of Nonlinear Dynamics for Financial Risk Management," Journal of Financial and Quantitative Analysis, 28 (1993), 41-64. PDF file (last version before publication).

[22] "Using Nonlinear Methods to Search for Risk Premia in Currency Futures," Journal of International Economics, 35 (1993), 113-132. PDF file (last version before publication).

[23] "Assessing Market Risks and Credit Risks of Long Term Interest Rate and Foreign Currency Products," Financial Analysts Journal, 49 (1993), 75-79. PDF file (last version before publication).

[24] "A New Approach to International Arbitrage Pricing," with Ravi Bansal and S. Viswanathan, Journal of Finance, 48 (1993), 1719-1747. PDF file (last version before publication).

[25] "Nonlinear Dynamics in Financial Markets: Evidence and Implication," Financial Analyst Journal, 51 (1995), 55-62. PDF file (last version before publication).

[26] "Global Yield Curve Event Risks," with William Fung, Journal of Fixed Income, 6 (1996), 37-48. PDF file (last version before publication).

[27] "Estimation of Stochastic Volatility Models with Diagnostics," with Ron Gallant and George Tauchen, Journal of Econometrics, 81 (1997), 159-192. PDF file (last version before publication) Third most highly cited paper in the Journal of Econometrics in 1997.

[28] "Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds," with William Fung, Review of Financial Studies, 10 (1997), 275-302. Summary, Abstract, PDF file.

[29] "Survivorship Bias and Investment Style in the Returns of CTAs," with William Fung, Journal of Portfolio Management, 24 (1997), 30-41. Summary. PDF file (last version before publication).

[30] "Is Mean-Variance Analysis Applicable to Hedge Funds?" with William Fung, Economic Letters, 62 (1999), 53-58. PDF file (last version before publication).

[31] "A Primer on Hedge Funds," with William Fung, Journal of Empirical Finance, 6 (1999), 309-331. PDF file (last version before publication).

[32] "Performance Characteristics of Hedge Funds and CTA Funds: Natural Versus Spurious Biases," with William Fung, Journal of Financial and Quantitative Analysis, 35 (2000), 291-307. PDF file (last version before publication).

[33] "Measuring the Market Impact of Hedge Funds," with William Fung, Journal of Empirical Finance, 7 (2000), 1-36. PDF file (last version before publication).

[34] "The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers," with William Fung, Review of Financial Studies, 14 (2001), 313-341. PDF file. Winner of the Fischer Black Memorial Foundation1999 Robert J. Schwartz Memorial Prize for the best paper on hedge funds. [Earlier versions of this paper were titled: "A Risk Neutral Approach to Valuing Trend Following Strategies", "Nonlinear Dynamics of Trend Following Strategies".]

[35] "Benchmarks of Hedge Fund Performance: Information Content and Measurement Biases," with William Fung, Financial Analyst Journal, 58 (2002), 22-34. PDF file (last version before publication).

[36] "Asset-based Style Factors for Hedge Funds," with William Fung, Financial Analyst Journal, 58 (2002), 16-27. PDF file (last version before publication).

[37] "The Risk in Fixed-Income Hedge Fund Styles," with William Fung, Journal of Fixed Income, 12 (2002), 6-27. PDF file (last version before publication).

[38] "Hedge Fund Benchmarks: A Risk Based Approach," with William Fung, Financial Analyst Journal, 60 (2004), 65-80. PDF file (last version before publication). [This paper received a CFA Institute Graham and Dodd Award of Excellence for 2004.]

[39] "Extracting Portable Alphas from Equity Long-Short Hedge Funds," with William Fung, Journal of Investment Management, 2 (2004), 57- 75. PDF file (last version before publication). Reprinted in H. Gifford Fong (ed.), The World of Hedge Funds: Characteristics and Analysis, New Jersey: World Scientific, 2005, 161-180.

[40] "Will Hedge Funds Regress Towards Index-like Products?" with William Fung. Journal of Investment Management, 5, (2007),  46-65.  PDF file (last version before publication).

[41] "Hedge Funds: Performance, Risk and Capital Formation," with William Fung, Narayan Naik, and Tarun Ramadorai, Journal of Finance, 63 (2008), 1777-1803. PDF file (last version before publication).

[42] "The Risk in Hedge Fund Strategies: Theory and Evidence from Long/Short Equity Hedge Funds," with William Fung. Journal of Empirical Finance, 18 (2011), 547-569. PDF file (last version before publication).

[43] "Exploring Uncharted Territories of the Hedge Fund Industry: Empirical Characteristics of Mega Hedge Fund Firms", with Daniel Edelman and William Fung, Journal of Financial Economics, 109 (2013), 734-748. PDF file (last version before publication).

Book Chapters, Conference Volumes, Invited Papers:

[44] "Gold in the Optimal Portfolio," with John Huizinga, in Robert A. Aliber (ed.), The Reconstruction of International Monetary Arrangements, London: MacMillan Press, 1987, 212-261.

[45] "On Fitting a Recalcitrant Series: the Pound/Dollar Exchange Rate, 1974-83," with A. Ronald Gallant and George Tauchen, in William A. Barnett, James Powell, and George Tauchen (eds.), Nonparametric and Semiparametric Methods in Econometrics and Statistics, Proceedings of the Fifth International Symposium in Economic Theory and Econometrics, Cambridge: Cambridge University Press, 1991, 199-240.

[46] "Exploiting the Interest Differential in Currency Trading", with William Fung and James Leitner, in Andrew W. Gitlin (ed.), Strategic Currency Investing: Trading and Hedging in the Foreign Exchange Market, Chicago: Probus Publishing Company, 1993, 260-286.

[47] "Estimating the Dynamics of Volatility," in Conference on Financial Innovation: 20 Years of Black/Scholes and Merton, Durham, NC: Fuqua School of Business, Duke University, 1993, 507-521. PDF file.

[48] "Bid-Ask Spreads in Foreign Exchange Markets: Implications for Models of Asymmetric Information," with Allan Kleidon, in J. Frankel, G. Galli, and A. Giovannini (eds), The Microstructure of Foreign Exchange Markets, Cambridge: National Bureau of Economic Research, 1996, 41-65. PDF file (last version before publication).

[49] "Do Hedge Funds Disrupt Emerging Markets?," with William Fung and Konstantinos Tsatsaronis, Brookings-Wharton Papers on Financial Services, 2000, 377-421. PDF file (last version before publcation).

[50] "The Risks in Hedge Fund Strategies: Alternative Alphas and Alternative Betas," with William Fung, in Lars Jaeger (ed), The New Generation of Risk Management for Hedge Funds and Private Equity Funds, London: Euromoney Institutional Investors PLC, 2003, 72-87. PDF file (last version before publication).

[51] "The Search fo Alpha--Sources of Future Hedge Fund Returns," CFA Institute Conference Proceedings Quarterly, 23 (2006), 78-89.

[52] "Hedge Funds: An Industry in Its Adolescence," with William Fung. Federal Reserve Bank of Atlanta Economic Review, 91 (2006, Fourth Quarter), 1-33. PDF file.

[53] "Hedge Fund Replication Strategies: Implications for Investors and Regulators," with William Fung. Banque de France Financial Stability Review, 10 (2007, April), 55-66. PDF file.

[54] "Measurement Biases in Hedge Fund Performance Data: An Update," with William Fung.  Financial Analyst Journal, 65 (2009, May/Jun), 36-38.

[55] "Funds of Hedge Funds: Performance, Risk and Capital Formation 2005 to 2010," with Daniel Edelman, William Fung, and Narayan Naik. Financial Markets and Portfolio Management, 26 (2012), 87-108. PDF file.

Book Review:

[56] Review of: Chaos and Order in the Capital Markets: A New View of Cycles, Prices, and Market Volatility, by Edgar E. Peters (New York: John Wiley, 1991), Journal of Finance 48 (1993), 2041-2044.



Working Papers:

"Finite Sample Properties of the BDS Statistic," with Blake LeBaron, 1988. Published as Chapter 2 and Appendices A, B, C, E, and F in Nonlinear Dynamics, Chaos and Instability: Statistical Theory and Economic Evidence, with William Brock and Blake LeBaron, Cambridge: MIT Press, 1991 (328 pages).

"Empirical Analysis of Implied Volatility: Stocks, Bonds, and Currencies," with William Fung, 1991. PDF file.

"Performance Attribution and Style Analysis: From Mutual Funds to Hedge Funds," with William Fung, 1996. PDF file. A condensed version of this paper is published as "Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds" in the Review of Financial Studies (1997).




Invited Presentations Since 1997:
 
1997  Apr 2: Graduate School of Business, Stanford University.

Apr 4: Haas School of Business, University of California at Berkeley.

Apr 7: The Berkeley Program for Finance.

Apr 15: Graduate School of Business, University of Chicago.

Apr 16: Kellogg School of Management, Northwestern University.

Apr 25: Asset Pricing Workshop, National Bureau of Economic Research, Cambridge, MA.

Jun 18: III Conference for Endowments and Foundations, Boston, MA.

Jun 25: Managed Futures Association, First Annual Conference on Hedge Funds, New York.

Oct 22: Sloan School of Management, Massachusetts Institute of Technology.

Dec 9: Chicago Board Of Trade Winter Research Meeting, Chicago.

Dec 12: Washington University at Seattle.
   
1998 Mar 6: Wharton Risk Management Conference, Wharton School of Business.

Mar 12: International Monetary Fund, Washington DC.

Mar 27: Virginia Polytechnic Institute.

Mar 30: Inquire Europe, Lausanne, Switzerland.

Mar 31: Bank for International Settlement, Basle, Switzerland.

May 22: Anderson School of Business, University of California at Los Angeles.

Oct 28: Federal Reserve Bank of New York.

Oct 30: Asset Pricing Workshop, National Bureau of Economic Research, Chicago.

Dec 11: Trianagle Econometric Conference.
   
1999 Jan 6:  Computational Finance 1999, New York.

Jan 11,12: Federal Reserve Bank of Chicago.

Feb 18: University of Notre Dame.

Mar 10: Risk Management Center of Chicago.

Sep 30: University of Rochester.

Oct 8: Washington University in Saint Louis.

Oct 14: Carnegie-Mellon University.

Oct 29: Brookings-Wharton Third Annual Conference on Financial Services.

Nov 11: Princeton University.

Nov 18-20: Conference: Research, Risk and Regulation in the Hedge Fund Industry, Durham, NC.

Nov 23: International Monetary Fund.
   
2001 Mar 20: Berkeley Program for Finance.

Oct 19: Boston University.

Nov 7: New York University.

Nov 30: NBER, Risk of Financial Institutions.
   
2002 Apr 12: Vanderbilt University.

Apr 26: Boston College.

Jul 2: Third Annual Hedge Funds in the Cotswolds, UK.

Jul 8: Hedge Fund Symposium, London Business School.

Sep 23: Inquire Europe, Stockholm (keynote speaker).

Sep 25: Stockholm Institute for Financial Research.

Nov 19: Commodity Futures Trading Commission. 


 
2003 Feb 20: Greenwich Round Table.

Mar 25: Berkeley Program for Finance, San Diego, CA.

May 11: AIMR, Phoenix, AZ.

May 14: SEC, Hedge Fund Roundtable (written comments)

May 30: Wharton Financial Institutions Center, Hedge Fund Conference.

Sep 25: NYC Retirement Systems, Hedge Fund Seminar.

Oct 7: AIMR, Conference on Integrating Hedge Funds Into a Private Wealth Strategy, Newport Beach, CA.

Oct 20: The Q-Group, Fall 2003 Research Seminar: Hedge Fund Investing, Scottsdale, AZ.

Nov 7: Georgia State University.



2004
Oct 1:
University of California at Irvine.



2005
Feb 10:
State Street Associates Research Retreat, Cambridge, MA.

Jun 9:
BSI Gamma Foundation & Bocconi University Conference, Hedge Funds: Moving into the Mainstream? Milan, Italy.

Sep 27
IV. Forum Alternative Investments (keynote speaker), Bundesverband Alternative Investments, Frankfurt, Germany.

Sep 30
IXIS-NYU Hedge Fund Conference, New York, NY. 

Oct 28
University of Massachusetts at Amherst, MA.



2006
Feb 16
CFA Institute, Hedge Fund Management 2006, Philadelpha, PA.

Mar 10
World Bank, Washington, DC.

Mar 30
Georgia State University, Atlanta, GA.

Apr 21
CFA Society of Chicago, 2006 Academic Research Conference, Chicago, IL.

Apr 27
Harvard Law School, Capital Matters: Managing Labor's Capital Conference, Cambridge, MA.

May 17
FRB of Atlanta, Financial Markets Conference 2006, Sea Island, GA.

Aug 15
Northwestern University, Kellogg Hedge Fund Conference on "Recent Research in Hedge Funds and Performance Measurement," Evanston, IL.

Sep 18
Journal of Investment Management, Fall Conference 2006.

Oct 25
Global Absolute Return Congress, Boston.

Dec 1
Wharton Impact Conference, Frontiers in Finance.



2007
Mar 11
Commonfund Forum 2007, Orlando, FL.

Apr 15
Panel Discussion on Hedge Funds, IMF, Washington, DC.

Apr 19
Society of Actuaries, Investment Symposium, NY.

Sep 25
University of Calgary.

Sep 27
Chicago FRB/IMF, Globalization and Systemic Risk, Chicago, IL.

Oct 19
Fifth Annual Global Absolute Return Congress, Boston, MA.

Oct 29
Hedge Fund Replication and Alternative Beta, New York, NY

Oct 31
Fourth Annual GAIM Fund of Funds, New York, NY

Nov 16
GCMC Colloquium on Markets & Systemic Risk, Durham, NC



2008
Apr 30
Baruch College, New York, NY

Oct 6
JOIM Conference, Boston, MA

Nov 24
Office of the Comptroller of the Currency, Washington, DC



2010
Nov 19
Oxford-Man Hedge Fund Conference, Oxford, UK



2011
Apr 5
BAI Hedge Fund Conference, Frankfurt, Germany

Apr 26
Oberlin College, Oberlin, OH

Oct 18
The Q Group Fall Conference, Dana Point, CA



Interviews:

Plan Sponsor Magazine, Jul-Aug 1998, Q&A: Hedging for Diversification, by Gregory J. Millman.
Business Leader, January 2006, "Hedge Funds: Investing's Best Kept Secret," by Brad Wyckoff.
Barron's, March 27, 2006. "Anyone Here Seen Alpha?" by Jack Willoughby.
Institutional Money, Feb 2011, "Große Hedgefonds bleiben groß"


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