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David Weinbaum

Associate Professor of Finance
Harris Fellow

(315) 443-3476
Room: 620
dweinbau@syr.edu

PhD, Stern School, New York University

Professor Weinbaum's research interests are in investments and derivatives. His current projects involve an analysis of the pricing of jump and volatility risk in the cross-section of stock returns and an examination of the effect of CEO perk disclosure regulation on perk award practices. Weinbaum has published in several leading journals in finance and economics and his research has been cited in major news outlets including the Financial Times, US News and World Report, and the Wall Street Journal. He teaches investments at the undergraduate level and managerial finance and valuation in the iMBA program. He was previously on the faculty of the Johnson Graduate School of Management at Cornell University and worked as a swap trader at BNP Paribas before earning his PhD.


Research Topics

  • Investments
  • Drivatives
  • Asset pricing
  • Mutual funds
  • Corporate governance

Professor Weinbaum's research interests are in investments and derivatives. His current projects involve an analysis of the pricing of jump and volatility risk in the cross-section of stock returns and an examination of the effect of CEO perk disclosure regulation on perk award practices. Weinbaum has published in several leading journals in finance and economics and his research has been cited in major news outlets including the Financial Times, US News and World Report, and the Wall Street Journal.

 

Selected Publications
  • "Aggregate Jump and Volatility Risk in the Cross-Section of Stock Returns", Journal of Finance, Forthcoming, (Martijn Cremers, Michael Halling)
  • "Deviations from Put-Call Parity and Stock Return Predictability", Journal of Financial and Quantitative Analysis, 45, 335-367, April 2010, (with Cremers, M.)
  • "Does Skin in the Game Matter? Director Incentives and Governance in the Mutual Fund Industry", Journal of Financial and Quantitative Analysis, December 2009, (with Cremers, M., Driessen, J., Maenhout, P.)
  • "Investor Heterogeneity, Volatility Dynamics and Asset Pricing", Journal of Economic Dynamics and Control, 33, 1379-1397, July 2009
  • "A Conditional Extreme Value Volatility Estimator based on High Frequency Returns", Journal of Economic Dynamics and Control, pp. 361-397,lead article, February 2007, (with Bali, T.G.)