曹泉偉，芝加哥大學布斯商學院金融學博士。
基本介紹
- 中文名：曹泉偉
- 畢業院校：北京大學，芝加哥大學
- 學位/學歷：芝加哥大學布斯商學院金融學博士
- 職務：清華大學五道口金融學院副院長
- 主要成就：紫光講席教授，Smeal Chair Professor of Finance
人物經歷,主講課程,研究方向,主要貢獻,獲獎記錄,
人物經歷
教育背景：
1988.8-1993.6 美國芝加哥大學，金融學，博士學位。
1986.8-1988.6 美國肯塔基大學，統計學，碩士學位。
1980.8-1984.7 北京大學，數學系，學士學位。
工作經歷：
2013.5至今 清華大學五道口金融學院副院長，紫光講席教授。
2007.5-2013 美國賓夕法尼亞州立大學商學院，金融系，講席教授。
2005.5-2013 美國賓夕法尼亞州立大學商學院，金融系，教授。
1999.5-2005.5 美國賓夕法尼亞州立大學商學院，金融系，副教授。
2001-2002 William Elliott學者。
1993.11-1999.5 美國賓夕法尼亞州立大學商學院,金融系，助理教授。
1991 銀行家信託公司（紐約）。
1991 美國富達管理研究公司（波士頓）。
學術期刊主編副主編：
主編，Pacific-Basin Finance Journal,2009至今。
副主編，Journal of Financial Markets,2000至今。
副主編，Review of Derivatives Research,2007至今。
副主編，Review of Quantitative Finance and Accounting,2006至今。
副主編，Pacific-Basin Finance Journal,2006-2008。
副主編，Annalsof Economics and Finance,2000至今。
主講課程
金融決策理論 （博士生）。
期貨及期權高級論題 （博士生）。
期貨，期權與金融衍生品市場(M.B.A.)。
投資理論(M.B.A.)。
投資理論 （本科生）。
期貨，期權與金融衍生品市場 （本科生）。
公司理財(EMBA)。
投資學(EMBA)。
研究方向
金融衍生品定價。
共同基金。
對沖基金。
信用風險管理。
金融市場微觀結構。
管理層鎖定期解套與股市流動性。
主要貢獻
發表成果：
1. What Is the Nature of Hedge Fund Manager Skills? Evidence from the Risk Arbitrage Strategy (with Bradley Goldie, Bing Liang and Lubomir Petrasek), 2014,Journal of Financial and Quantitative Analysis, forthcoming.
2.Liquidity Risk and Institutional Ownership (with Lubomir Petrasek),Journal of Financial Markets, 21, 2014, 76-97.
3. Liquidity Risk in Stock Returns: An Event-study Perspective (with Lubomir Petrasek),Journal of Banking and Finance 45, 2014,72-83.
4. Can Hedge Funds Time Market Liquidity?, (with Yong Chen, Bing Liang and Andrew Lo),Journal of Financial Economics109, 2013, 493-516.
5. Do Mutual Fund Managers Time Market Liquidity?, (with Tim Simin and Ying Wang),Journal of Financial Markets 16, 2013, 279-307.
6. Pricing Credit Default Swaps with Option-Implied Volatility, (with Fan Yu and Ken Zhong),Financial Analysts Journal 67, 2011, 67-76.
7. Derivatives do Affect Mutual Fund Returns:Evidence from the Financial Crisis of 1998, (with Eric Ghysels and Frank Hatheway),Journal of Futures Markets 31, 2011, 629-658.
8. The Information Content of Option-Implied Volatility for Credit Default Swap Valuation, (with Fan Yu and Ken Zhong),Journal of Financial Markets 13, 2010, 321-343.
9. Can Growth Options Explain the Trend in Idiosyncratic Risk? (with Tim Simin and Jing Zhao),Review of Financial Studies 21, 2008, 2599-2633.
10. An Empirical Analysis of the Dynamic Relationship between Mutual Fund Flow and Market Return Volatility, (with Eric Chang and Ying Wang),Journal of Banking and Finance32, 2008,2111-2123.
11. The Information Content of an Open Limit Order Book, (with Oliver Hanscah and Xiaoxin Wang),Journal of Futures Markets 29, 2008, 16-41.
12. Order Placement Strategies in a Pure Limit Order Book Market, (with Oliver Hansch and Xiaoxin Wang),Journal of Financial Research,Vol. XXXI, 2008, 113-140.
13. Determinants of S&P 500 Index Option Returns, (with Jingzhi Huang),Review of Derivatives Research,10, 2008,1-38.
14. Informational Content of Option Volume Prior to Takeovers, (with Zhiwu Chen and John Griffin),Journal of Business, 78, 2005, 1073-1109.
15. Is Investor Misreaction Economically Significant? Evidence from Short- and Long-term Index Options, (with Haitiao Li and Fan Yu),Journal of Futures Markets, 25, 2005, 717-752.
16. Does Insider Trading Impair Market Liquidity: Evidence from IPO Lockup Expirations, (with Laura Field and Gordon Hanka),Journal of Financial and Quantitative Analysis39, 2004, 25-46.
17. Share Repurchase Tender Offers and Bid-Ask Spreads (with Heejoon Ahn and Hyuk Choe),Journal of Banking and Finance25, 2001, 445-478.
18. Price Discovery without Trading: Evidence from Nasdaq Pre-opening, (with Eric Ghysels and Frank Hatheway),Journal of Finance 56, 2000, 1339-1365.
19. Do Call Prices and the Underlying Stock Always Move in the Same Direction? (with Gurdip Bakshi and Zhiwu Chen),Review of Financial Studies 13, 2000, 549-584.
20. Pricing and Hedging Long-Term Options, (with Gurdip Bakshi and Zhiwu Chen),Journal of Econometrics 94, 2000, 277-318.
21. Empirical Performance of Alternative Option Pricing Models (with Gurdip Bakshi and Zhiwu Chen),Journal of Finance 52, 1997, 2003-2049.
On the list of the 50 top cited articles of all time from the Journal of Finance.
22. Does the Specialist Matter? Differential Execution Costs and Inter-Security Subsidization on the NYSE (with Hyuk Choe and Frank Hatheway),Journal of Finance 52, 1997, 1615-1640.
獲金融管理學會1996年最佳文章獎
23. Decimalization and Competition Among Exchanges: Evidence from the Toronto Stock Exchange Cross-listed Securities, (with Heejoon Ahn and Hyuk Choe),Journal of Financial Markets 1, 1998, 51-87.
24. Evolution of Transitory Volatility over the Week (with Hyuk Choe),Annals of Economics and Finance, 1997, 49-78.
25. What is Special About the Opening: Evidence from NASDAQ (with Hyuk Choe and Frank Hatheway,Seoul Journal of Business, 1997, 1-36.
26. Tick Size, Spread and Volume, (with Heejoon Ahn and Hyuk Choe),Journal of Financial Intermediation5, 1996, 2-22.
27. Nonlinear Time Series Analysis of Stock Return Volatility, (with Ruey Tsay),Journal of Applied Econometrics7, 1992, 165-185.
28. Inequality Constraints in the Univariate GARCH Model, (with Daniel Nelson),Journal of Business & Economic Statistics10, 1992, 229-235.
國際學術期刊的評審人：
Journal of Finance, Review of Financial Studies, Journal of Financial and Quantitative Analysis, Journal of Business, Journal of Financial Markets, Journal of Financial Intermediation, Journal of Econometrics, Econometrica, Management Science, Journal of Business & Economic Statistics, Journal of Banking and Finance, Journal of Futures Markets, Journal of Empirical Finance, Review of Quantitative Finance and Accounting, Pacific-Basin Finance Journal, Review of Derivatives Research, Financial Management, Financial Review, International Economic Review, Journal of International Money and Finance, Canadian Journal of Economics。
校內外服務：
1. Conference Committee: Program Committee, Conference on Financial Economics and Accounting at the University of Maryland, 2010。
2. Graduate School of Pennsylvania State University: Graduate Council Committee, Penn State University, 2008-2010。
3. Pennsylvania State University: Senate Committee on Research, Penn State University, 2008-2010。
4. Program Chair, China International Conference in Finance sponsored by MIT’s Sloan School of Management and Tsinghua University, 2005-2008。
5. Finance Department Recruiting Committee, Penn State University, 2007-2011。
6. Advisor of Ph.D. Program in finance, Smeal College of Business, Pennsylvania State University: 2001-2006。
7. Smeal Chair Search Committee, Smeal College of Business, Penn State University, 2002-2004。
8. William Elliott Chair Search Committee,Smeal College of Business, Penn State University, 2000-2004。
9. Promotion and Tenure Committee, Smeal College of Business, Penn State University, 1995-1996, and 2001-2002。
10. Ph.D. Program Renewal Committee, Smeal College of Business, Penn State University, 2001。
11. Program Committee, Financial Management Association, 1996, 2002, 2012。
12. Program Committee, New York Stock Exchange Conference on U.S. Equity Markets in Transition, 1999。
13. University Grants Commission of Hong Kong, 1998-present。
14. Competitive Paper Award Committee, Financial Management Association, 1996。
獲獎記錄
法國BNP Paribas銀行對沖基金研究中心研究基金，2013。
美國房地產研究院研究基金，2012。
美國金融數量研究院研究基金，2010。
法國BNP Paribas銀行對沖基金研究中心研究基金，2009。
美國聯邦儲蓄保險公司研究基金，2006-2007。
第三屆諾丁漢特倫特大學經濟、金融、會計國際會議最佳論文獎，2005。
摩根斯坦利研究基金，2004。
紐約證券交易所最佳論文獎, 1999。
金融管理學會最佳論文獎, 1996。
芝加哥大學獎學金, 1988 - 1991。
芝加哥大學證券價格研究中心研究基金，1990。
肯塔基大學獎學金, 1987–1988。
獲紐約證券交易所1999年最佳文章獎。
獲2001 年金融學刊Smith Breeden 優秀文章獎提名。
