David Weinbaum

Professor Weinbaum's research interests are in empirical asset pricing and derivatives. For example, one of his current projects investigates how informed option traders trade around news announcements and another analyses the pricing of jump and volatility risk in international stock markets. Weinbaum has published in several leading journals in finance, economics, and accounting, and his research has been cited in major news outlets including the Financial Times, U.S. News and World Report, and the Wall Street Journal. He teaches investments at the undergraduate level and has taught managerial finance and valuation in the online MBA program. In 2016, he received the Whitman faculty teaching award. He was previously on the faculty of the Johnson Graduate School of Management at Cornell University, where he won the Globe award for excellence in teaching. Weinbaum worked as a swap trader at BNP Paribas before earning his PhD at NYU Stern.

Research Topics

• Investments
• Drivatives
• Asset pricing
• Mutual funds

Professor Weinbaum's research interests are in empirical asset pricing and derivatives. For example, one of his current projects investigates how informed option traders trade around news announcements and another analyses the pricing of jump and volatility risk in international stock markets. Weinbaum has published in several leading journals in finance, economics, and accounting, and his research has been cited in major news outlets including the Financial Times, U.S. News and World Report, and the Wall Street Journal.

Selected Publications

• "The Economic Consequences of Perk Disclosure", Contemporary Accounting Research, 34, 2017 (with Grinstein, Y., Yehuda, N.)
• "Aggregate Jump and Volatility Risk in the Cross ‐ Section of Stock Returns", Journal of Finance, The, 2015 (with Cremers, M., Halling, M.)
• "Deviations from put-call parity and stock return predictability", Journal of Financial and Quantitative Analysis, 45(2), 335-367, 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, 44(6), 1345-1373, 2009 (with Cremers, M., Driessen, J., Maenhout, P.)
• "Investor heterogeneity, asset pricing and volatility dynamics", Journal of Economic Dynamics and Control, 33(7), 1379-1397, 2009
• "A conditional extreme value volatility estimator based on high-frequency returns", Journal of Economic Dynamics and Control, 31(2), 361-397, 2007 (with Bali, T.)