• “Cryptocurrency and Blockchain: Tulip mania or digital promise for the millennial generation?”, with Rand Low. Forthcoming: Studies in Economics and Finance, 2019.
• “BV-VPIN: Measuring the impact of order flow toxicity and liquidity on international equity markets,” with Ti Li and Rand Low, Journal of Risk, Vol 21(2), December 2018.
• “Stock and bond return relations and stock market uncertainty: Evidence from wavelet analysis,” with F.L. Lin, Sheng-Yung Yang, and Yu-fen Chen: International Review of Economics and Finance, 55, May 2018, 285-294.
• “Alpha Signals, Smart Beta and Factor Model Alignment,” (with Paul Pfleiderer) 2016, Journal of Portfolio Management, May 2016.
• “Flight to Quality and Asset Allocation in a Financial Crisis,” (with Paul Pfleiderer) 2013, Financial Analysts Journal 69(4), July/August, 43-57.
• “Black Swans and the Financial Crisis,” (with Paul Pfleiderer), Review of Pacific Basin Financial Markets and Policies, 15(2), June, pp. 125008-1 to 125008-12. In Japanese: Keizai Seminar Journal, Bank of Japan, October/November 2012.
• “Financial Modeling and the Crisis: Asset Allocation,” (with Paul Pfleiderer): Financial Analysts’ Journal; In Japanese: Nippon Gendai Finance Journal, 2012, Vol. 31.
• “Asset allocation in financial crises,” Japanese Journal of Administrative Science: SPECIAL SPEECH, 25(3), 2012, 239-250.
• “The 2008-2009 Financial Crisis: Model Transparency and Incentives,” (with Paul Pfleiderer), Preface to: The Recent Trend of Hedge Fund Strategies, ed. by Yasuaki Watanabe, Nova Science Publishers, 2010.
• “The 2008-2009 Financial Crisis: Model Transparency and Incentives,” (with Paul Pfleiderer), Preface to: The Recent Trend of Hedge Fund Strategies, ed. by Yasuaki Watanabe, Nova Science Publishers, 2010.
• “Correlation in Daily Equity and Fixed-Income Returns: Implications for a Cross-Asset Factor Model,” 2008, in: Innovations in Investment Management, Ed: H. Gifford Fong, Bloomberg Press.
• “The Relation between Fixed Income and Equity Return Factors,” (with Jaime Lee, Robert Maxim, and Paul Pfleiderer), Journal of Investment Management, 4(4), (2006), January, 52-72.
• “Decomposing Factor Exposure for Equity Portfolios,” in: Linear Factor Models in Finance, Eds: John Knight and Stephen Satchell, Elsevier Finance, 2005.
• “Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes,” (with Niklas Wagner), Journal of Empirical Finance, 12 (2005), 165-185.
• “Surprise Volume and Heteroskedasticity in Equity Market Returns,” (with Niklas Wagner), Quantitative Finance, Vol. 5, No. 2 April 2005, 153-168.
• “Tail index estimation in small samples: Simulation results for independent and ARCH-type financial return models,” (with Niklas Wagner), Statistical Papers, 45(4), October, 2004, 545-561.
• “The Contributions of Professors Fischer Black, Robert Merton and Myron Scholes to the Financial Services Industry,” (with Takao Kobayashi), International Review of Finance, 1(4) December, 2000, 295-315.
• “The Work of Fischer Black, Robert Merton, and Myron Scholes and Its Continuing Legacy,” (with Takao Kobayashi), Japanese Journal of Financial Economics, 1998. In Japanese: “An Economics Contribution that is In-the-Money.”
• “Valuation” Chapter in: The Portable MBA in Investments, Ed. By Peter L. Bernstein, 1995.
• “Term Structure of Interest Rates and the Pricing of Fixed Income Claims and Bonds,” Handbooks in Operations Research and Management Science: Finance, Vol. 9, R. Jarrow, V. Maksimovic and W. T. Ziemba, eds., Elsevier Science B. V., 1995, 273 -314.
• “Why Doesn’t the Black-Scholes Model Fit Japanese Warrants and Convertible Bonds?” (with H. Kuwahara), Japanese Journal of Financial Economics, Vol. 1, No. 1, December 1994, 33-65
• “Variations in Economic Uncertainty and Risk Premiums on Capital Assets” (with G. Gennotte), European Economic Review, Volume 37, 1993, 1021-1041.
• “The Pricing of Japanese Equity Warrants,” Management Science, November 1992.
• “Program Trading,” The New Palgrave Dictionary of Money & Finance (John Eatwell, Murray Milgate and Peter Newman, Eds), MacMillan Press, Vol. 3, 1992: 214-216
• “Trading Activity and Price Behavior in the Stock and Stock Index Futures Market in October 1987” (with James Gammill), 1988, Journal of Economic Perspectives, 6, 25-44.
• “Dividend Behavior for the Aggregate Stock Market” (with Robert C. Merton), The Journal of Business, 1987.
• “Japanese Banks’ Bad Loans: What happened?” (with Jean-Michel Paul), Working Paper No 125, Center on Japanese Economy and Business, Columbia Business School, September 1996, http://www8.gsb.columbia.edu/rtfiles/japan/WP%20125.pdf
• “Dividend Variability and Variance Bounds Tests for the Rationality of Stock Market Prices” (with R. C. Merton), American Economic Review, Volume 76, No. 3, June 1986, 483-448.
• “Non-trading, market making, and estimates of stock price volatility,” Journal of Financial Economics, 15(3), March 1986, 359-372.
• “On non-linear serial dependencies in stock returns,” Journal of Econometrics, 30(1-2), October-November, 1985, 289-296.
• Stochastic Processes for Interest Rates and Equilibrium Bond Prices” (with E. Rosenfeld), Journal of Finance, Volume 38, No. 2, 1983, 635-646.
• “New Evidence on the Nature of Size-Related Anomalies in Stock Prices,” (with Brown, Philip and, Allan W. Kleidon), Journal of Financial Economics 12, 1983, 33-56.
• “Stock Return Seasonalities and the Tax-Loss Selling Hypothesis: Analysis of the Arguments and Australian Evidence” (with Philip Brown, Donald B. Keim, and Allan W. Kleidon), Journal of Financial Economics 12, 1983, 105-127.
• “Equilibrium Term Structure Models: Test Methodology,” Journal of Finance 35(2), May, 421-435.

Current Working Papers

• “Earnings Announcements: Resolution of Information Uncertainty and Equity Premiums,” (with Kam Fong Chan), Working paper, March 11, 2019
• “Betting Absolutely for and against Uncertainty,” (with Kam Fong Chan), December 31, 2018
• “Cryptocurrency and Blockchains: Retail to Institutional,” (with Rand Low), December 28, 2019. Submitted to: Journal of Investing.
• “Equity premiums, midterm elections and the resolution of political uncertainty,” (with Kam Fong Chan), Working paper, December 2018.

At Haas since 1986

2005 – present: CEO, Quantal International Inc.
2005 – present: Emeritus Professor of Finance, UC Berkeley
1987 – 2004: Associate Professor of Finance, U.C. Berkeley
1993 – 94: Visiting Professor of Finance, University of Tokyo
1986 – 90: Chair, Finance Department, UC Berkeley
1985 – 86: Associate Professor of Finance, MIT, Cambridge, MA
1980 – 85: Assistant Professor of Finance, MIT, Cambridge, MA

• Board of Advisors, Strike Protocols Inc.
• Scientific Advisory Board, Manifold Partners LLC
• Member of Board of Directors and past Treasurer, Japan Society of Northern California

• Jacobs-Levy Prize for one of best four papers in the 2016 Journal of Portfolio Management
• Yamaichi Fellow, University of Tokyo, 1993-94
• Member, Presidential Commission on Market Mechanisms (the “Brady Commission”), 1987-88
• National Fellow, Hoover Institution, Stanford University, 1985-86
• Batterymarch Fellowship, 1984-85
• Medal of Distinguished Merit, University of Queensland, 1973

“Hayne will leave the banks ripe for tech disrupters,” Op-Ed, Australian Financial Review, January 28, 2019.

“Why Stocks Can’t Wait for Midterms to be Over,” (with Kam Chan, by Mark Hulbert at WSJ) Wall Street Journal, March 6, 2018.

“Why stocks may not rise in the third year of President Trump’s term,” (with Kam Chan, by Mark Hulbert) Market Watch, October 2, 2018.

“Sell in May and Go Away’: Mostly a Myth, but not Entirely,” (with Kam Chan, by Mark Hulbert at WSJ), Wall Street Journal, February 6, 2017.