David A. Hsieh
Bank of America Professor of Finance

Curriculum Vitae

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, 2007-2016.
· Consultant, Bank for International Settlement, 1998.
· Visiting Scholar, International Monetary Fund, July 1998.
· Visiting Scholar, Board of Governors of the Federal Reserve System, 1990.

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, 1998-2013.
· Associate Editor, Journal of Empirical Finance, 1992-2013.
· Associate Editor, Journal of Business and Economic Statistics, 1992-2000.

Teaching Interests:
· Past courses: Finance core course, investments & portfolio management, money & capital markets, international finance.
· Current courses: Fixed Income Securities, Financial Risk Management.

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). Follow up: Out-of-sample prediction: 2003-17.

[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).

Book Chapters, Conference Volumes, Invited Papers:

[45] "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.

[46] "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.

[47] "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.

[48] "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.

[49] "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).

[50] "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).

[51] "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).

[53] "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.

[54] "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.

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

[57] 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.

"Estimating Difference-in-Differences in Time-to-Event Models: Some Simulation Results," May 2024. PDF file.

"Estimating Proportional Hazards in Default and Prepayment of Personal Loans with Unobserved Borrower Heterogeneity," October 2022. PDF file.

"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. Paper presented at the Fourth Annual Options Conference of the Financial Options Research Centre, University of Warwick, Coventry, England, 19-20, July, 1991.

"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).