Richard Stanton
	Professor of Finance Barbara and Gerson Bakar Faculty Fellow Haas School of Business, U.C. Berkeley 545 Student Services Bldg. #1900  Berkeley, CA 94720-1900  email: stanton@haas.berkeley.edu Phone: (510) 642-7382     Fax: (510) 643-1412
	Current Courses:  MBA 203 (MBA core finance) [Curriculum Vitae] | [Finance Group] | [Masters in Financial Engineering]

Research Interests

Mortgage and lease markets.

Term structure modeling.

Mutual funds and risk management.

Employee stock options (ESOs).

Recent Awards

• Nomination for 2007 Journal of Finance Smith-Breeden best paper award: "Managerial Ability, Compensation, and the Closed-End Fund Discount".
• Best Paper award, 2006 Utah Winter Finance conference: "A Liquidity-Based Model of Closed-End Funds".
• Earl F. Cheit Outstanding Teaching Award, 2007.

Selected Recent Publications and Working Papers

• "A Liquidity-Based Model of Closed-End Funds", forthcoming, Review of Financial Studies (with Martin Cherkes and Jacob Sagi).
• "Evidence on Simulation Inference for Near Unit-Root Processes with Implications for Term Structure Estimation" forthcoming, Journal of Financial Econometrics (with Greg Duffee).
• "An Empirical Test of a Contingent Claims Lease Valuation Model" forthcoming, Journal of Real Estate Research (with Nancy Wallace).
• "Managerial Ability, Compensation, and the Closed-End Fund Discount", Journal of Finance 62, 529-556 (with Jonathan Berk), 2007 (nominated for Smith-Breeden award).
• "An Empirical Test of a Two-Factor Mortgage Valuation Model: How Much Do House Prices Matter?", Real Estate Economics 33, 681-710 (with Chris Downing and Nancy Wallace), 2005
• "Long-Horizon Value at Risk in a Mark-to-Market Environment", Journal of Investment Management 2, 1-6 (with Jacob Boudoukh, Matthew Richardson and Robert Whitelaw), 2004.
• "From Cradle to Grave: How to Loot a 401(k) Plan", Journal of Financial Economics 56, 485-516, 2000.
• "A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk", Journal of Finance 52, 1973-2002, 1997 (nominated for Smith-Breeden award).
• "Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach", Review of Financial Studies 10: 405-446, 1997 (with J. Boudoukh, M. Richardson and R. Whitelaw).
• "Rational Prepayment and the Valuation of Mortgage-Backed Securities", Review of Financial Studies 8, 677-708, 1995.
• "Accounting for Employee Stock Options" (with Mark Rubinstein), 2004.
• "Human Capital, Bankruptcy and Capital Structure" (with Jonathan Berk and Josef Zechner), 2006.
• "Optimal Exercise of Executive Stock Options and Implications for Firm Cost" (with J. Carpenter and N. Wallace), 2007.
• "Valuing Mutual Fund Companies" (with Jacob Boudoukh, Matthew Richardson and Robert Whitelaw), 2003.
• "Estimation of Dynamic Term Structure Models" (with Greg Duffee), 2003.

 

• Complete list of published and working papers

Introductory Finance Notes

• Matthew Spiegel and I have written an Introductory Finance Reader to accompany the Brealey and Myers textbook, Principles of Corporate Finance. McGraw-Hill publishes it for use at any university (ISBN 007239451X). Faculty can also obtain overheads to accompany the notes. You can download a sample copy containing "lectures" 1 through 6 of the reader and the accompanying overheads.
• Faculty can also now obtain Powerpoint slides to accompany the reader. A sample Powerpoint file is available for downloading.

• Associate Editor, Journal of Finance (2000-present), Review of Financial Studies (2001-04).
• Editorial board, Journal of Real Estate Finance and Economics.

Richard Stanton <stanton@haas.berkeley.edu>

Last modified: Fri Aug 29 15:51:43 Pacific Daylight Time 2008