Russ Wermers
Professor of Finance
Director, Center for Financial Policy
Robert H. Smith School of Business
University of Maryland at College Park
College Park, MD 20742-1815
(301) 405-0572
(301) 405-0359 (fax)
Skype (Reach me worldwide):  (240) 696-6033 or "wermers7410"

My New Textbook (published December 2012)


Corrected Bibliography


Daniel, Grinblatt, Titman, and Wermers (DGTW; 1997) Characteristic-Based Benchmarks for U.S. Stocks

** Updated Through 2012! **


Click for Washington, District of Columbia Forecast

Welcome to my home page! I joined the faculty at The University of Maryland in August, 2000. A brief professional biography follows (a more complete background is available through my curriculum vitae).

Russ Wermers is Professor of Finance and Director of the Center for Financial Policy (CFP) at the Smith School of Business, University of Maryland at College Park, where he won a campus-wide teaching award during 2005 and a Krowe Teaching Award (within the Smith Business School) during 2013.  As Director, Professor Wermers guides the CFP in its mission of generating research that informs financial policy in the private and public sectors. His main research interests include studies of the efficiency of securities markets, as well as the role of institutional investors in setting stock prices. In addition, he studies and teaches quantitative equity strategies, and is currently researching microfinance institutions in Thailand.  Most notably, his past research has developed new approaches to measuring and attributing the performance of mutual funds, pension funds, and hedge funds, which, among other applications, can be used to identify superior active funds. Professor Wermers also studies the investment behavior of these asset managers, as well as the impact of their trades on financial markets. His papers have been published in leading scholarly journals, such as The American Economic Review and The Journal of Finance. His article on mutual fund “herding” and stock prices (Journal of Finance, 1999) won the NYSE Award for the Best Paper on Equity Trading in 1995. His coauthored article on mutual fund performance was a finalist for the Smith-Breeden Award for the Best Paper in the Journal of Finance during 2006/2007. Professor Wermers consults for the hedge fund, pension fund, and mutual fund industries. He is coauthor of a book on the latest scientific approaches to performance evaluation and attribution of professional fund managers, written for academics and practitioners (published in December 2012). He received his Ph.D. from the University of California, Los Angeles, in December 1995.


Research: My current research interests include studies of money market mutual funds, microfinance, industrial organization of asset management, stock-selection signals, hedge fund flows, hedge fund risk measurement, mutual fund performance measurement, the impact of mutual funds on stock markets, and empirical tests of the efficiency of stock markets.

Publication Title Publication Status Last Update
Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior (with Mark Grinblatt and Sheridan Titman) American Economic Review, December 1995 Published
Measuring Mutual Fund Performance with Characteristic Based Benchmarks (with Kent Daniel, Mark Grinblatt, and Sheridan Titman) Journal of Finance, July 1997 Published
Mutual Fund Herding and the Impact on Stock Prices (formerly "Herding, Trade Reversals, and Cascading by Institutional Investors") Journal of Finance, April 1999 Published
The Value of Active Mutual Fund Management:
An Examination of the Stockholdings and Trades of Fund Managers
(with Hsiu-Lang Chen and Narasimhan Jegadeesh)
Journal of Financial and Quantitative Analysis, September 2000 Published
Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs, and Expenses Journal of Finance, August 2000 Published
The Potential Effects of More Frequent Portfolio Disclosure on Mutual Fund Performance Perspective, The Investment Company Institute (Supports a Policy Recommendation to the SEC on Fund Disclosure) Published
Investing in Mutual Funds When Returns Are Predictable (with Doron Avramov) Journal of Financial Economics, August 2006 Published
Can Mutual Fund "Stars" Really Pick Stocks? New Evidence from a Bootstrap Analysis (with Robert Kosowski, Allan Timmermann, and Hal White) Journal of Finance (Lead Article), December 2006 Published
Performance Evaluation with Portfolio Holdings Information North American Journal of Economics and Finance, August 2006 Published
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas (with Laurent Barras and Olivier Scaillet) Journal of Finance, February 2010 Published
Active Management in Mostly Efficient Markets (with Robert Jones) Financial Analysts Journal, November/December 2011 Published
Performance Measurement of Mutual Funds, Hedge Funds, and Institutional Accounts Annual Review of Financial Economics, December 2011 Published
Forecasting Stock Returns through An Efficient Aggregation of Mutual Fund Holdings (with Tong Yao and Jane Zhao) Review of Financial Studies, December 2012 Published
Performance Evaluation and Attribution of Security Portfolios (with Bernd Fischer) Elsevier Press (Textbook), December 2012 Published
Monitoring Daily Hedge Fund Performance with Monthly Data (with Daniel Li and Michael Markov) Journal of Investment Consulting, Spring 2013 Published
The Performance of European Equity Mutual Funds (with Ayelen Banegas, Ben Gillen, and Allan Timmermann) Journal of Financial Economics, June 2013 Published
Decentralized Investment Management: Evidence from the Pension Fund Industry (with David Blake, Alberto Rossi, Allan Timmermann, and Ian Tonks) Journal of Finance, June 2013 Published
Analyst Recommendations, Mutual Fund Herding, and Overreaction in Stock Prices (with Nerissa Brown and Kelsey Wei) Management Science (Lead Article), January 2014 February 2013
Mutual Fund Performance Evaluation with Active Peer Benchmarks (formerly Endogenous Benchmarks; with David Hunter, Eugene Kandel, and Shmuel Kandel) Journal of Financial Economics (Lead Article), April 2014 August 2013
Uncommon Value: The Investment Performance of Contrarian Funds (with Kelsey Wei and Tong Yao) Management Science, forthcoming April 2012
Momentum Investment Strategies of Mutual Funds, Performance Persistence, and Survivorship Bias Working Paper March 1997
Patterns of Coauthorship and Research Productivity in Finance Academia (with J. Chris Leach, Ronald Melicher, and Michael Oswald) Working Paper February 2000
Is Money Really "Smart"? New Evidence on the Relation Between Mutual Fund Flows, Manager Behavior, and Performance Persistence Working Paper November 2003
Are Mutual Fund Shareholders Compensated for Active Management "Bets"? Working Paper March 2003
Portfolio Performance, Discount Dynamics, and the Turnover of Closed-End Fund Managers (with Youchang Wu and Josef Zechner) Working Paper November 2008
Mutual Fund Performance and Governance Structure:
The Role of Portfolio Managers and Boards of Directors
(with Bill Ding)
Working Paper November 2009
Share Restrictions and Investor Flows in the Hedge Fund Industry (with Mila Getmansky, Bing Liang, and Chris Schwarz) Working Paper November 2009
Seasonal Asset Allocation: Evidence from Mutual Fund Flows(with Lisa Kramer, Mark Kamstra, and Maurice Levi) Working Paper December 2012
A Matter of Style: The Causes and Consequences of Style Drift in Institutional Portfolios Working Paper March 2012
Runs on Money Market Mutual Funds Working Paper January 2013
Managerial Rents vs. Shareholder Value in Delegated Portfolio Management: The Case of Closed-End Funds Working Paper February 2013

Teaching: I teach at the undergraduate, MBA, Ph.D., and Executive Education levels as follows. If the course is highlighted in blue, then the syllabus is available for on-line viewing! Please click on the appropriate course to view the course syllabus.

Course Number Course Title Academic Level/Dates Taught
FNCE 4030 (Colorado) Investments Undergraduate/Fall 1994, Spring 1995-2000
FNCE 4820 (Colorado) Seminar in Investment Management Undergraduate/Spring 2000
MBAF 6200 (Colorado) Advanced Corporate Finance MBA/Fall 1995, 1996
FNCE 7100 (Colorado) Finance Theory Doctoral/Spring 1999
FNCE 7200 (Colorado) Empirical Research Methods Doctoral/Spring 1996, Fall 1997
BUFN 702 Applied Security Analysis and Portfolio Management MBA/Fall 2000, Spring 2001
BMGT 343 Investments Undergraduate/Spring: 2004-2011
BMGT 448C Advanced Portfolio Management Undergraduate/Spring: 2010-
BUFN 763 (formerly 700) Investment Management MBA/Spring: 2002-
BUFN 764 (formerly 758Q) Quantitative Investment Strategy MBA/Spring: 2010-
Executive Education (FAME Institute, Geneva) Performance Evaluation and Attribution Executives/Fall: 2001-2006


Resource page for "Investments" (FNCE 4030) Undergraduate Students.

Resource page for "Seminar in Investment Management" (FNCE 4820) Undergraduate Students.

Resource page for "Finance Theory" (FNCE 7100) for Finance and Accounting Ph.D. Students.

Resource page for "Empirical Research Methods in Finance" (FNCE 7200) for Finance and Accounting Ph.D. Students

Bull or Bear: Where Will the Year End? Check the Stock Market Today By Clicking Here!

{Bull or Bear--How will 1999 end?}


The University of Maryland at College Park: "Terrapin Territory !" 

Maps for The University of Maryland at College Park

{short description of image}

My MOSAIC of Useful Web Sites!

Media Sources:

{The Washington Post} {Newsweek Magazine} {Fortune Magazine}
{The Economist} {Business Week Magazine} {The Financial Times} {Washington Post Rankings of Schools in Montgomery County}

Mutual Fund and Hedge Fund Sites:

{Mutual Fund Quotes} {Morningstar Mutual Fund Data}
{Investment Company Institute (a mutual fund industry group)} {CDA-Weisenberger}
{Fidelity Funds} Fund Democracy
{Mutual Fund News} {An investor's site!} {FundLaw E-mail Archives}
{Nelson (A Division of Thomson Financial)} {Mutual Fund Newsletter}
{Mutual Fund Cafe--a great information site!} {Morningstar's Institutional Website}
{A Hedge Fund Information Site}

Finance Industry Sites:

{New York Stock Exchange} {Nasdaq}
{Securities and Exchange Commission} {Ibbotson Associates}
{Goldman Sachs} {Association for Investment Management and Research}
{BARRA Risk-Management} {Investment Information!}
{Zacks Investment Research !} {The SEC Edgar Database !}
{Reuters Homepage} {Bloomberg Financial Data Services}
{Bond Market Data!} {Bond Market Data (30-day trial)}
{CFA Exam Preparation !}
{New York Federal Reserve Bank} {Standard & Poor's Micropal}
{Inquire-UK} Economic Information Systems
(free Economic data, such as flow of funds, labor statistics, etc.)
{Inquire-Europe} {Securities Industry Association}
{Retail Investor's Site--Bulletin Boards!} {Interactive Wall Street Journal}
{FAME-ICMB Executive Courses in Geneva}
Ticker Symbol Lookup !!!

Academic Sites:

{Economics Literature Database} {Center for Research in Securities Prices}
{Ohio State Univ Finance Page} {Harvard Business School Cases}
{Worldwide Directory of Finance Faculty} Ivo Welch's "International Directory of Finance and Economics Professionals"
Don Cram's CRSP/Compustat Resource Page at Stanford University Comprehensive TeX Archive Network (CTAN)
Resources for Economists on the Internet Search CTAN for TEX-related files and resources
{Social Sciences Research Network} {American Economic Association's Homepage}
{Book Publisher Home Pages} {Citations of Academic Journals}
{Lexis-Nexus Search Database} {Ohio State's Directory of Finance Faculty}
{Wharton Research Data Services} {National Science Foundation}
{Faculty Ratings at CU} {EconLit--Bibliographic References!}
{Burridge Center at the University of Colorado} {Access to Finance and Economics Journals!}
{UMD Library Databases!} {Ken French's Site at Dartmouth}
Great Software Site for Academics! {Academic Software Sales!}
{Baruch University's Trading Room} {Andy Lo's Lab at MIT}
{Bentley College's Trading Floor}

Academic Finance (and Related) Journals:

{Journal of Finance} {Review of Financial Studies} {Journal of Financial and Quantitative Analysis} {Journal of Financial Economics}
{Journal of Business} {Econometrica} {Elsevier Journals !!!} {Access to Articles}
{Risk Magazine!} {Western Finance Ass'n Homepage} {The Journal of Econometrics} {Journal of Portfolio Management}
{Oxford Press Journals (includes RFS)} {The Journal of Financial Education} {Resource and Energy Economics} {Financial Analysts Journal}
{The Quarterly Journal of Economics} {The Review of Economics and Statistics} {Energy Economics}

Travel Sites:

{Cheap Flights}
{Airline Travel Booking!} {UMD-approved travel agent}
{Web Hotel Reservations} {United Airlines Mileage Plus--Book Flights!}
{Amtrak's Homepage} {America West airlines}
{short description of image} {Idaho Outdoors!}
{Creates a map from point "A" to point "B"!} {European Walking Tours}
{Eurail US Telephone: 1-888-227-6795}
{New York City's Homepage!}
{My favorite place!} {The Bowen Motel--my favorite motel in Moab}

Personal Favorites:

{Washington, D.C. Homepage} {Montgomery County Swim League} {Montgomery County youth soccer}
{State of Maryland Homepage} {State of Colorado Homepage} {Homework at Fallsmead Elementary}
{Maryland Outdoors Page !!!} {Denver Post} {Red Rocks Amphitheater, Denver}
{Colorado Bicycling Page} {Amazon Books} {List of Concerts in Denver}
{Home Mortgage} {Barnes and Noble Books} {BMG Music Club}
{Wolf Trap {Virginia--Concerts !!!} {Firebird Page} {Ask Jeeves !}
{Search Spaniel (a great search engine)} {Microsoft Visual Foxpro} {Cartoon Web Site!}
{University of Colorado Calendar of Events} {PC Magazine Online}
{Fedex a Package} {Digital Visual Fortran}
{Accessories for Ford Explorers}
{Scientific Workplace} Scientific WorkPlace/Word Unofficial Homepage
{American Century Retirement Services} {Denver Weather Forecast}
{PEPSCO 403(b) Plan} {Price Scan Computer Pricing Comparisons!}
{CSFB Brokerage} {Honda Payments}
{Ameritrade Brokerage} {Bid for Computer Equipment !!!}
{Steamboat Springs Web Site!} {Patents !!!}
{National Council of Examiners for Engineering and Surveying} {Performance Bicycle}
{McAfee Year 2000 Compliance Site}
{Create a web URL site !!!}
{Boulder, Colorado Home Page} {Home Prices, and Other Statistics in Cities Across the U.S.}
{Verizon Wireless Logon Site} {PayPal Mastercard/VISA Transaction Service}
{Register a domain name (this site is better than}
{Used Coke Machine Broker!} {Performance Diver}
{O'Reilly Computer Books, Programming Support, etc.}
THE ULTIMATE WHITE PAGES {Report Cards on Maryland Schools !!}
{Photoworks Photo Developers} {This site finds the ownership history of any given automobile}
{Giant Bicycles} {Denver Buffalo Company}

{MCI-Worldcom On-Line Billing} {American Collegiate Marketing (Magazines!)}
{Movie Tickets !!!} {short description of image}
{Aetna Healthcare Plan} {Unocal}
{Handspring Homepage} {Compares Prices of Software and Electronics!}

You are visitor number:

{short description of image}{short description of image}

Click to send me an e-mail message:

3-D courtesy of: