David Weinbaum

PhD, Stern School, New York University

Research Topics

• Mutual funds
• Mutual fund fees
• Corporate governance
• Investment trends
• Banks
• Financial institutions
• Retirement planning

Professor Weinbaum's research interests are in investments, derivatives, mutual funds, and corporate governance. His current projects involve an analysis of the impact of director ownership on mutual fund performance, an examination of the effect of CEO perquisite disclosure on firm value, and an investigation of the information content of option prices for future stock returns. Weinbaum has published in several leading journals in finance and economics, including the Journal of Financial and Quantitative Analysis and the Journal of Economic Dynamics and Control, and his research has been cited in major newspapers such as the Wall Street Journal. 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.Selected Publications

• "Deviations from Put-Call Parity and Stock Return Predictability", Journal of Financial and Quantitative Analysis, forthcoming, (with Cremers, M.)
• "Investor Heterogeneity, Volatility Dynamics and Asset Pricing", Journal of Economic Dynamics and Control, forthcoming
• "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.)
• "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.)

• U.S. News Features Weinbaum's Research on Mutual Funds 1.25.10
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• Research by Weinbaum Featured on Harvard/Financial Regulations Blog 8.13.09
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