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FEDERICO NARDARI

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FEDERICO NARDARI Powered By Docstoc
					                                       FEDERICO NARDARI
University of Houston                                                                Email: fnardari@uh.edu
C.T. Bauer College of Business                                    Web Page: http://www.bauer.uh.edu/nardari/
334 Melcher Hall
Houston, TX 77204-6021
Office Phone: (713) 743-4780


CURRENT POSITION: Assistant Professor of Finance, C.T. Bauer College of Business, University of
Houston - Appointment started in 2008

PREVIOUS AFFILIATION: Assistant Professor of Finance, W.P. Carey School of Business, Arizona State
University


EDUCATION

    Washington University in Saint Louis, John M. Olin School of Business. St. Louis, MO
        Ph.D. in Finance - 1999
        M.S.B.A. in Finance - 1994

    University of Bergamo. Bergamo, Italy
        B.S. (with highest honors) in Economics and Business. Specialization in Finance - 1990


RESEARCH INTERESTS

Asset Pricing, Mutual Fund Performance Evaluation, Trading Activity, International Finance, Financial
Econometrics.


TEACHING INTERESTS

Investment Management, Derivatives, Risk Management, International Finance, Fixed Income.


PUBLICATIONS

1. “Are Emerging Markets More Profitable? Implications for Comparing Weak and Semi-Strong Form
   Efficiency” (with John Griffin and Patrick Kelly), Review of Financial Studies (forthcoming).

2.   “Time-Varying Short-Horizon Predictability” (with Samuel Henkel and J. Spencer Martin), Journal of
     Financial Economics (forthcoming).

3. “Bayesian Analysis of Linear Factor Models with Latent Factors, Multivariate Stochastic Volatility, and
   APT Pricing Restrictions” (with John Scruggs), Journal of Financial and Quantitative Analysis, 2007, 42-
   4, 857-892.

4. “Do Investors Trade More when Stocks Have Performed Well? Evidence from 46 Countries” (with John
   Griffin and René Stulz), Review of Financial Studies, 2007, 20-3, 905-951.
5. “Explaining the Early Years of the Euro Exchange Rate: an Episode of Learning about a New Central
   Bank” (with Manuel Gomez and Michael Melvin), European Economic Review, 2007, 51-3, 505-520 (lead
   article).

6. “Analysis of High Dimensional Multivariate Stochastic Volatility Models” (with Siddhartha Chib and
   Neil Shephard), Journal of Econometrics, 2006, 134-2, 341-371.

7. “Are Daily Cross-Border Equity Flows Pushed or Pulled?” (with John Griffin and René Stulz), Review of
   Economics and Statistics, 2004, 86-3, 642-657 (lead article).

8. “Markov Chain Monte Carlo Methods for Generalized Stochastic Volatility Models” (with Siddhartha
   Chib and Neil Shephard), Journal of Econometrics 2002, 108, 281-316.



WORKING PAPERS

1. “Does the Misspecification of Timing Strategy or Timing Index Affect Inference in Measuring Mutual Fund
   Performance?” (with Jeffrey Coles and Naveen Daniel). Revise and Resubmit, Journal of Financial and
   Quantitative Analysis.

2. “Parcel Size and Land Value: a Comparison of Approaches” (with Karl Guntermann, Alex Horenstein and
   Gareth Thomas). Revise and Resubmit, Real Estate Economics.

3. “Understanding the Non-linearity between Mutual Fund Performance and Flows” (with George Cashman,
   Daniel Deli and Sriram Villupuram). In review process.

4. “Why Does Stock Market Volatility Change Over Time? A Time-Varying Variance Decomposition for
   Stock Returns” (with John Scruggs).

5. “Comparing Stochastic Volatility Models of the Short Term Interest Rate: A Bayesian Approach”.



WORK IN PROGRESS

1. “Selecting Factors from Asset Returns” (with Seung Ahn and Gareth Thomas).

2. “Trading Volume and Investor Heterogeneity” (with Stephan Dieckmann).

3. “What is the Decomposition of the Market Wealth Portfolio?” (with Guofu Zhou).

4. “Estimating the Volatility Risk Premium: Evidence from Underlying Asset and Derivative Prices” (with
   Craig Pirrong).
PRESENTATIONS

“Are Daily Cross-Border Equity Flows Pushed or Pulled?” (with John Griffin and René Stulz)
    By Self: University of Arizona, Vanderbilt University, AFA Meetings 2003, EFA Meetings 2003
    By Co-author: Georgia Tech International Finance conference, University of Michigan, IMF Global
       Linkages Symposium

“Analysis of High Dimensional Multivariate Stochastic Volatility Models” (with Siddhartha Chib and Neil
Shephard)
    By Co-author: Duke University, Princeton University, University of Chicago, Rice University,
       University of Southern California, Purdue Computational Finance Program

“Bayesian Analysis of Linear Factor Models with Latent Factors, Multivariate Stochastic Volatility, and
APT Pricing Restrictions” (with John Scruggs)
    By Self:: UCLA, WFA Meetings 2003, EFA Meetings 2003, University of Houston, FMA Meetings
       2005
    By Co-author: Washington University in Saint Louis, All-Georgia Finance Forum

“Do Investors Trade More when Stocks Have Performed Well? Evidence from 46 Countries” (with John
Griffin and René Stulz)
     By Self: Queen’s University, EFA Meetings 2004, FEA (USC) Conference 2004
     By Co-author: University of Texas at Austin, Finance and Accounting Symposium 2004, University of
         Amsterdam, University of Pennsylvania (Wharton)

“Why Does Stock Market Volatility Change Over Time? A Time-Varying Variance Decomposition for Stock
Returns” (with John Scruggs)
    By Self: EFA Meetings 2005, FMA Meetings 2006, conference on “Changing Structures in
       International Financial Markets and the Effects on Financial Decision Making” 2005

“Comparing Stochastic Volatility Models of the Short Term Interest Rate: A Bayesian Approach”
    By Self:: INSEAD, Georgetown University, Baruch College, University of Georgia, Dartmouth
      College, Arizona State University, University of Arizona

“Does the Misspecification of Timing Strategy or Timing Index Affect Inference in Measuring Mutual Fund
Performance?” (with Jeffrey Coles and Naveen Daniel)
     By Self: EFA Meetings 2006, University of Georgia

“Are Emerging Markets More Profitable? Implications for Comparing Weak and Semi-Strong Form
Efficiency " (with John Griffin and Patrick Kelly)
     By Co-author: Baruch College, Copenhagen Business School, George Mason University, Federal
        Reserve in Washington D.C., Norwegian School of Management, EFA Meetings 2007, AFA
        Meetings 2008

“Understanding the Non-linearity between Mutual Fund Performance and Flows” (with George Cashman,
Daniel Deli and Sriram Villupuram)
    By Co-author: WFA Meetings 2007, FMA Meetings 2007

 “Time-Varying Short-Horizon Predictability” (with Samuel Henkel and J. Spencer Martin)
    By Self: Barclays Global Investors, Michigan State University, Indiana University, University of
       Houston, University of Arizona, Thunderbird School of Management, EFMA Meetings 2009,
       University of Wisconsin at Milwaukee, Lone Star Conference 2009
    By Co-author: Carnegie Mellon University, McGill, AFA Meetings 2008, EFA Meetings 2008
TEACHING

   University of Houston, C.T. Bauer College of Business, 2008 – Present

       Options and Futures – B.S. level

   Arizona State University, W.P. Carey School of Business, 1999 - 2008

       International Financial Management – MBA level, Responsible for development of course content,
        1999 - 2008
                    Ratings: 1.18 to 1.96 against 1.0 best possible (5=worst)

       Managerial Finance – MBA level (Core Finance Course for Full Time Program), 1999 - 2005
                   Ratings: 1.35 to 1.98 against 1.0 best possible (5=worst)

       Derivatives Securities and Risk Management – MBA level, 2006

       Foundations of Investments and Portfolio Management – MBA level (Full Time and Evening
        Programs), Responsible for development of course content, 2007 - 2008
                   Ratings: 6.01 to 6.52 against 7.0 best possible (1=worst)

       Practicum: Valuation of a company seeking second round of Venture Capital financing (supervised a
        group of MBA students and worked jointly with local company), Spring 2001

       Independent study: International Cost of Capital and Firm Valuation (supervised MBA students), Fall
        2001

   Washington University, Olin School of Business, 1996 -1999

       International Finance, BSBA level. Responsible for development of course content, 1996 - 1999
                   Ratings: 4.45 to 4.82 against 5.0 best possible (1=worst)

       International Finance, MBA and PMBA level, 1998
                   Ratings: 4.05 to 4.13 against 5.0 best possible (1=worst)


Teaching Honors

       Nominated as ASU Outstanding Faculty by Business Week Guide to the Best Business Schools, 2003

       Nominee (top 5) by ASU MBA Students Association for J.W. Teets Outstanding MBA Professor
        Award, 2003


Advisory Committees

       Doctoral Dissertation Committees: Christopher Gadarowski (Finance, 2000), Naveen Daniel (Finance,
        2001), Greg Durham (Finance, 2002), Selim Topaloglu (Finance, 2002), Eugenio Suarez (Economics,
        2001), Manuel Gomez (Economics, 2003), Magali Valero (Economics, 2004), Susan Ji (Finance,
        2003), Patrick Kelly (Finance, 2006), Matthew Croucher (Economics, 2007), Sriram Villupuram
        (Finance, 2008), Alex Horenstein (Economics, expected in 2009)
       ASU Finance Doctoral Program Committee, 1999 - 2005
INSTITUTIONAL SERVICES

ASU Department of Finance
   MBA Program Committee, 1999 - 2008
   Recruiting Committee, 1999 - 2001, 2002 - 2003
   Research Committee, 1999 - 2003
   Computing Resources Committee, 2005 - 2008 (Chair)

ASU School of Business
   International Business Committee, 2002-2003


PROFESSIONAL SERVICES

      Discussant
       Western Finance Association Meetings: 2002, 2007
       American Finance Association Meetings: 2006
       European Finance Association Meetings: 2000, 2007
       Financial Management Association Meetings: 2005, 2006, 2007
       European Financial Management Association Meetings: 2009
      Session Chair
       European Finance Association Meetings: 2005
       Financial Management Association Meetings: 2005, 2007
      Program Committee
       Financial Management Association Meetings: 2007, 2008, 2009, 2010
      Ad Hoc Referee: Journal of Finance, Review of Financial Studies, Journal of Financial and
       Quantitative Analysis, Review of Economics and Statistics, Journal of Financial Econometrics,
       Journal of Economic Dynamics and Control, Journal of Business and Economic Statistic, Journal of
       Empirical Finance, Journal of Applied Econometrics.



REFERENCES

Professor Siddhartha Chib                                          Professor Guofu Zhou
Harry C. Hartkopf Professor of Econometrics and Statistics         Professor of Finance
Washington University in Saint Louis                               Washington University in Saint Louis
Phone: (314) 935-4657                                              Phone: (314) 935-6384
Email: chib@wustl.edu                                              Email: zhou@wustl.edu

Professor Philip Dybvig
Boatmen’s Bancshares Professor of Banking and Finance
Washington University in Saint Louis
Phone: (314) 935-7321
Email: dybvig@dybfin.wustl.edu

				
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