Terry A. Marsh

• “Australian Initial Public Offerings and U.S. Venture Capital: Different Structures, Similar Early-Stage Funding?”, with Kylie Gilbert. Forthcoming: Journal of Accounting Literature, 2023.
• “ASX small firm/microcap listings: the IPO ‘Pop’ and two decades of subsequent returns,” with Kylie Gilbey and Sharon Purchase, Accounting & Finance, Vol 62(3), 2022, 3285-3318.
• “Asset prices on announcement days,” with Kam Fong Chan, Journal of Financial Economics,” Vol 144(3), June 2022, 1022-1042.
• “Equity premiums, midterm elections and the resolution of political uncertainty” with Kam Fong Chan, Journal of Financial Economics, Vol 141(3), July 2021, 276-296.
• “Cryptocurrency and Blockchains: Retail to Institutional,” (with Rand Low), Journal of Investing, December 2019.
• “The Hayne report – one giant leap forward for Australia,” Law and Financial Markets Review, April 15, 2019
• “Cryptocurrency and Blockchain: Tulip mania or digital promise for the millennial generation?”, with Rand Low. 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), Journal of Portfolio Management, May 2016. Reprinted with Commentary in: 20^th anniversary of the Bernstein Fabozzi/Jacobs Levy Awards for the Best Articles in the Journal of Portfolio Management
• “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.

• “Blockchain Technology and Applications: CBDC, Healthcare, and NPOs,” with Rand Low, February 22, 2023
• “Betting Absolutely for and against Uncertainty,” (with Kam Fong Chan), December 31, 2018

At Haas since 1986

2022 – present: Advisory Board Member, Australian Bond Exchange, Sydney
2005 – present: Co-founder CEO, Quantal International Inc. and Quantal Asset Management
2005 – present: Emeritus Professor of Finance, UC Berkeley
1987 – 2004: Associate Professor of Finance, UC Berkeley
1993 – 94: Visiting Professor of Finance, University of Tokyo
1986 – 90: Chair, Finance Department, UC Berkeley
1985 – 86: Associate Professor of Finance, MIT
1980 – 85: Assistant Professor of Finance

• 2018 – present, Board of Advisors, Strike Protocols Inc.
• 2016 – present, Scientific Advisory Board, Manifold Partners LLC
• 2006 – present, 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

• The stock market mystery of the ‘overnight premium’, Barron's, 03/28/2024
• 8 of the biggest stock market crashes in history — and how they changed our financial lives, Business Insider, 12/27/2023
• Surprising findings from new study on IPOs in Australia and US, Small Caps, 06/30/2023
• A strong market rally could be just weeks away if the U.S. midterm elections can put anxious stock investors at ease, MarketWatch, 09/10/2022
• 8 of the biggest stock market crashes in history — and how they changed our financial lives, The Conservative Investor Daily, 07/21/2022
• A strong stock-market rally could be coming later this year, Barron's, 04/27/2022
• What Australia can teach the U.S. about private equity, Barron's, 02/16/2022
• Opinion: Why stocks could lose popularity as the market’s ‘presidential election cycle’ enters its second year, MarketWatch, 09/27/2021
• A Summer Stock-Market Strategy: Invest Defensively, The Wall Street Journal, 05/09/2021
• Opinion: Market’s ‘presidential cycle’ points to weaker stock prices through late 2022, MarketWatch, 03/04/2021
• 8 of the biggest stock market crashes in history — and how they changed our financial lives, Business Insider, 12/11/2020
• The right time to buy high-beta stocks, The Wall Street Journal, 10/04/2020
• Don’t count on a summer rally for the stock market, Barron's, 05/27/2020
• The asset markets and the coronavirus pandemic, Vox CPER Policy Portal, 04/03/2020