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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 bio is available through my curriculum vitae).
Russ Wermers is an Associate Professor of Finance at the Smith School of Business, University of Maryland at College Park, where he won a campus-wide teaching award during 2005. His main research interests include studies of the efficiency of securities markets, as well as the role of institutional investors in setting stock prices. Most notably, his past research has developed new approaches to measuring and attributing the performance of mutual funds, pension funds, and hedge funds, as well as devising winning strategies for investing in these funds. Professor Wermers also studies the investment behavior of these asset managers, as well as the impact of their trades on stock markets. His papers have been published in The American Economic Review, The Journal of Financial and Quantitative Analysis, The Journal of Financial Economics, 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 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 working on a book on performance evaluation and attribution that is being written with both practitioners and academics in mind. He received his Ph.D. from the University of California, Los Angeles, during 1995.
Research: My current research interests include studies of mutual fund performance measurement, the impact of mutual funds on stock markets, and empirical tests of the efficiency of stock markets.
| Paper 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, Transaction 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, 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 |
| 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 |
| A Matter of Style: The Causes and Consequences of Style Drift in Institutional Portfolios | Working Paper | (Not yet released) |
| 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 |
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Mutual Fund Performance and Governance Structure: The Role of Portfolio Managers and Boards of Directors (with Bill Ding) |
Working Paper | June 2006 |
| The Investment Value of Mutual Fund Portfolio Disclosure (with Tong Yao and Jane Zhao) | Working Paper | September 2007 |
| Analyst Recommendations, Mutual Fund Herding, and Overreaction in Stock Prices (with Nerissa Brown and Kelsey Wei) | Working Paper | July 2009 |
| Endogenous Benchmarks (with David Hunter, Eugene Kandel, and Shmuel Kandel) | Working Paper | January 2008 |
| Share Restrictions and Investor Flows in the Hedge Fund Industry (with Bill Ding, Mila Getmansky, and Bing Liang) | Working Paper | November 2009 |
| Monitoring Daily Hedge Fund Performance When Only Monthly Data is Available (with Daniel Li and Michael Markov) | Working Paper | December 2009 |
| Decentralized Investment Management: Evidence from the Pension Fund Industry (with David Blake, Allan Timmermann, and Ian Tonks) | Working Paper | (Not yet released) |
| The Performance of European Mutual Funds (with Ayelen Banegas, Ben Gillen, and Allan Timmermann) | Working Paper | March 2009 |
| Uncommon Value: The Investment Performance of Contrarian Funds (with Kelsey Wei and Tong Yao) | Working Paper | (Not yet released) |
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: 2004-2010 |
| BMGT 448C | Advanced Portfolio Management | Undergraduate/Spring: 2010 |
| BUFN 700 | Investment Management | MBA/Spring: 2002-2009 |
| BUFN 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.
Bull or Bear: Where Will 2009 End? Check the Stock Market Today By Clicking Here!
My MOSAIC of Useful Web Sites!
Mutual Fund and Hedge Fund Sites:
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| TheStreet.com |  |
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Finance Industry Sites:
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Economic
Information Systems
(free Economic data, such as flow of funds, labor statistics, etc.) |
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| Ticker Symbol Lookup !!! | |||||||||
Academic Sites:
Academic Finance (and Related) Journals:
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| THE ULTIMATE WHITE PAGES |  |
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You are visitor number:
Click to send me an e-mail message:
rwermers@rhsmith.umd.edu
