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Gurdip S. Bakshi 
Dean’s Professor of Finance

Phone: (301) 405-2261
4413 Van Munching Hall
Smith Business School
University of Maryland
College Park, MD 20742
E-Mail: gbakshi@rhsmith.umd.edu

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Background

Gurdip Bakshi is Dean’s Professor of Finance at Department of Finance, Smith School of Business Bakshi's research interest include stock valuation, option  valuation, term structure of interest rates, asset pricing, capital and currency markets, crashes, default risk, density approximations, aging, heterogeneity in beliefs, volatility, and international finance. He has also examined, both empirically and theoretically, the desire to accumulate wealth: his work demonstrates that investors acquire wealth not only for its implied consumption rewards but also for its resulting social status. How demographic factors affect the stock and the bond markets interest him. In a recent publication, he makes precise the link between spanning and valuing derivative securities. The link to his papers at Google Scholar is: Gurdip Bakshi - Google Scholar and at SSRN is SSRN Author Page for Gurdip Bakshi.

Professor Bakshi serves (or has been) on the editorial boards of Review of Financial Studies,  Journal of Financial and Quantitative Analysis, Review of Asset Pricing,  Journal of Financial Markets, Review of Derivatives Research, Journal of International Business Studies, Journal of Financial Econometrics, and Review of Financial Economics, and several other academic journals, and is a frequent reviewer for several finance and economics journals, and granting agencies. 

Professor Bakshi has been appointed Fellow of the FDIC Center for Financial Research and awarded a competitive grant to study recovery under default.  He is a recent recipient of an award by the BSI GAMMA Foundation for his work on investor irrationality and the Nasdaq bubble. He was invited to be a part of the team (coordinated by Ron Masulis) that offered seminars to advanced Ph.D. students at the 2005 FMA meetings in Chicago. [Agenda]. My Talk.

Professor Gurdip Bakshi teaches the MBA international finance course at Maryland Business School and is a top 15%-rated teacher (invited to apply for the Krowe teaching award in 2003 and 2004), and most recently a top 15% teacher for 2006-2007. He is the recipient of Joe Wikler Award for teaching excellence in 2006. Previously he has taught MBA investments and Options and Futures course. Gurdip Bakshi has also taught in the Smith Business MBA program to executives in Beijing, China, and in Shanghai, China.  Among other assignments, he has supervised a study trip of Smith MBA students to India and China. Currently, Professor Bakshi is teaching Financial Management (BUSI 640 which is a core MBA class). Request the syllabus for BUFN 724 and BUSI 640 at mailto:gbakshi@rhsmith.umd.edu.

You may access his

Curriculum vitae 

Teaching ratings   

SSRN Page

Web of Sciences and Scopus Count of Citations to Published Papers

Google Scholar Page

Google Scholar Citations   

Professor Bakshi  served as the chair of the doctoral studies committee from Fall 2005 to Fall 2007, and the chair of recruitment committee (2010-2011).  Among his various service assignments, he served on the University of Maryland Promotion and tenure committee 2007-2010. He was elected as a senator to the University of Maryland senate body and serves on summer grants committee.  Professor Bakshi is the advisor of the global equity fund.

EDUCATION

*  Ph.D. (Economics), University of Wisconsin-Madison, 1992

*  M.S. (Finance), University of Wisconsin-Madison, 1989

*  M.S. (Economics), University of Wisconsin-Madison, 1988

*  B.E. (Electrical Engineering), Punjab Engineering College (India), 1985

*  Delhi Public School, Mathura Road. New Delhi

 

HONORS AND AWARDS

Top 15% teaching Award, 2006-2007

Joe Wikler Teaching Award (2006)

Competitive Research Grant from BSI GAMMA foundation (2005-2006) for the paper `Investor Irrationality and the Nasdaq Bubble.”

Top 15% teaching Award, 2003-2004

Finalist for 2003 Krowe Teaching Excellence Award.

 

Finalist for 2004 Krowe Teaching Excellence Award.

 

Top 15% teaching Award, 2003-2004

Fellow at FDIC Center for Financial Research (2005-2006)

Merton Miller Best Paper Award in the Journal of Business for 1994.

Research Fellow for 1994-1995 at the Pacific-Basin Capital Markets Research Center, University of Rhode Island, Kingston, RI.

Competitive Research Award, Chicago Board Options Exchange/Pacific-Basin Capital Markets Research Center, University of Rhode Island, Kingston, RI., April 1993.

Dice Faculty Fellow, Ohio State University, Department of Finance, Summer 1997.

I/B/E/S Global Research Competition Award-Runners up (1999).

PUBLICATION

1.  Currency Carry Trade Return Predictability and Asset Pricing Implications (with George Panayotov). Journal of Financial Economics  (forthcoming).

   This paper study the time-series return predictability of currency carry trades, constructed by selecting currencies to be bought or sold against the U.S. dollar, based on forward discounts.

 

2. Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors  (with Fousseni Chabi-Yo). Journal of Financial Economics  (forthcoming). [PDF]

    Variance bounds on the permanent and transitory components of stochastic discount factors can be useful for understanding the empirical performance of asset pricing models.  This is done through solving the Eigenfunction problem. 

 

3. The Behavior of Risk and Market Prices of Risk over the Nasdaq Bubble Period  (with Liuren Wu).   Management Science Volume 56, No. 12, December 2010, 2237-2250.  [pdf

] 

         Certain behavior of volatility and risk premiums in volatility and jumps could be used to identify a bubble ex ante.

4. Improving the Predictability of Real Economic Activity and Asset Returns with Forward Variances Inferred from Option Portfolios

(with George Panayotov and Georgios Skoulakis).  Journal of Financial Economics  2011, Volume 100, 475-495. [PDF]

         The paper shows that forward variances can predict real economic activity and asset returns.

5.  Do Subjective Expectations Explain Asset Pricing Puzzles with (Georgios Skoulakis). 2008,  Journal of Financial Economics , December 2010,  117-140. [pdf]

         It is a Bayesian asset pricing model with learning, and we use it to study asset pricing puzzles.

6.  Deducing  the Implications of Jump Models for the Structure of Crashes, Rallies, Jump Arrival rates and Extremes (Gurdip Bakshi and Dilip Madan and George Panayotov).  Journal of Business and Economic Statistics  (JBES).  (doi: 10.1198/jbes.2009.06176), July 2010, Volume 28, No. 3,

380-396. [PDF]  

         Develops theoretical and empirical methods for studying large daily stock price movements.

7.  Returns of Claims on the Upside and the Viability of U-Shaped Pricing Kernels (with Dilip Madan and George Panayotov).   Journal of Financial Economics  97 (2010), 130-154. [PDF]. 

       Shows that the pricing kernel is U-shaped, and call options on S&P 500 have negative average returns (contradicts all theories with monotonic kernels which are pervasive in finance).

8. First Passage Probability, Jump Models, and Intra-Horizon Risk  (with George Panayotov). Journal of  Financial Economics  95 , 

2010, 20-40.  [PDF File]

       Solves a first-passage density problem in a jump setting, to show that intra-period VAR should not be ignored.

9. Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies (with Peter Carr and Liuren  Wu).  October 2004.  [presented at WFA 2005 in Portland, Oregon]. [ssrn-PDF-old not revised]  [revised August 2006] Journal of Financial Economics  87 (January) , 2008,  page 132-156. [JFE final Version of December 12, PDF][http://ssrn.com/abstract=720501]

10.  A Theory of Volatility Spreads (with Dilip Madan).[From SSRN: http://ssrn.com/abstract=828244].  Management Science 2006, No. 52, Issue 12, 1945-1956. [Management Science Version, PDF]

11. Estimation of Continuous-time Models with an Application to Equity Volatility (with Nengjiu Ju and Hui Ou-Yang).  2006.  Journal of Financial Economics  82, 227-249. [pdf file from SSRN] [JFE Version, PDF]

12.  Investigating the Role of Systematic and Firm-Specific Factors in Default Risk: Lessons from Empirically Evaluating Credit Risk Models  (with Dilip Madan and Frank Zhang). Journal of Business   79, No. 4, 1955-1988 (July 2006). [PDF] [JB PDF]

13.  A Refinement to AitSahalia's (2002) `` Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach" (with Nengjiu Ju) Journal of Business  78, No. 5,   2037-2052 (2005).  [accepted paper pdf] [pdf from JB]

 

14. Stock Valuation in Dynamic Economies (with  Zhiwu Chen),  2005,  Journal of Financial Markets 8, No. 2, 115-151. [pdf ].

 

15. Volatility Risk Premium Embedded in Individual Equity Options: Some New Insights (with Nikunj Kapadia).
 Journal of Derivatives (Fall issue 2003), 45-54. [pdf file]. Revised Jul 2003. [PDF JOD]

16.  Delta Hedged Gains and the Negative Market Volatility Risk Premium (with Nikunj Kapadia). Review of Financial Studies 16 (Summer 2003),  527-566. [PDF] [RFS PDF]

17. Stock Return Characteristics, Skew Laws, and Differential Pricing of Individual Equity Options  (with Nikunj Kapadia and Dilip Madan).  Review of Financial Studies (Winter 2003) 101-143. (ADOBE]: Shorter final version; [ADOBE]: un-edited longer version (November 2000); [adobe RFS]

18. Average Rate Contingent Claims with Emphasis on Catastrophe Loss Options, Journal of Financial and Quantitative Analysis.  (with Dilip Madan), Vol. 37 No. 1 (March)  2002, 93-115.  [ADOBE] [PDF JFQA]

19. Do Call Prices and the Underlying Stock Always Move in the Same Direction?, 2000, Review of Financial Studies 13 (Fall), 549-584. (with Charles Cao and  Zhiwu Chen)  [ADOBE ]

20. Spanning and Derivative-Security Valuation,  Journal of Financial Economics  55 (2) 2000, 205-238. (with Dilip Madan). [JFE-ADOBE]

21. Pricing and Hedging Long-Term Options,  Journal of Econometrics  94, 2000, 277-318. (with Charles Cao and  Zhiwu Chen). [JOE-ADOBE ]

22. Empirical Performance of Alternative Option Pricing Models, Journal of Finance 52, No. 5, 1997, 2003-2049. (with Charles Cao and  Zhiwu Chen) [PDF FILE]

23. Equilibrium Valuation of Foreign Exchange Claims, Journal of Finance 52, No. 2, 1997, 799-826. (with Zhiwu Chen).  [PDF FILE]

24. An Alternative Valuation Model for Contingent Claims, Journal of Financial Economics, Vol 44, No. 1, 1997, 123-165. (with Zhiwu Chen) [PDF FILE].

25. An Empirical Investigation of Asset Pricing Models Using Japanese Stock Market Data, Journal of International Money and Finance16, No. 1, 1997, 81-112. (with Atsuyuki Naka). [PDF File]

26. Inflation, Asset Prices, and the Term Structure of Interest Rates in Monetary Economies, Review of Financial Studies ,
Vol 9, No 1, 1996, 237-271. (with Zhiwu Chen) [PDF FILE].

27. The Spirit of Capitalism and Stock Market Prices, American Economic Review 86, No. 1, March 1996, 133-157. (with Zhiwu Chen).[AER-PDF]

28. Production-Based Asset Pricing in Japan, Pacific-Basin Finance Journal 3, 1995, 217-240. (with Zhiwu Chen and Atsuyuki Naka).

29. Baby Boom, Population Aging and Capital Markets, Journal of Business , April 1994, 165-202. (with Zhiwu Chen).  [JB-PDF]

OTHER PUBLICATIONS

1.  Cash Flow Risk, Discounting Risk, and the Equity Premium Puzzle?, 2005, Prepared for Handbook of Investments: Equity Premium,  Edited by Rajnish Mehra, North Holland, Amsterdam (with Zhiwu Chen). [pdf]  [Conference Schedule] [Conference Participants]. My talk at conference.

2.  Markowitz Models of Portfolio Selection: The Inverse Problem, Advances in Investment Analysis and Portfolio Management 7, 55-89. (with Michael Hartley). [PS File] [ADOBE]

RECENT WORKING PAPERS

1. Asset Pricing Models that Explain the Cross-section and Time-Series of Commodity Returns  (with X. Gao and A. Rossi)

We propose a three-factor asset pricing model for commodity returns.. The factors are average returns, carry,  and momentum.

Our tests indicate that the model is capable of describing both the cross-sectional and time-series variation of commodity returns.  Furthermore, our factors forecast real economic activity, returns of equities, bonds, and commodity currencies, and they correlate with economic fundamentals.

2. The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity  (with G. Panayotov and G. Skoulakis)

    Baltic Dry Index predicts global stock returns in-sample based on Hodrick (1992, IB estimator) and also based on out-of-sample statistics. Our sample contains 34 stock index returns, commodityb index returns, and growth in industrial production from 20 countries.

 

3.   Riskier Times and Asset Returns (with Fousseni Chabi-Yo and Xiaohui Gao)

    We develop the notion of ``riskier times” and show its relation to equity and bond returns.

 

4.   Heterogeneity in Beliefs and Volatility Tail Behavior (August 2010). (with Dilip Madan and George Panayotov).

    We develop alternative models of volatility tail behavior where volatility is disliked and where investors have heterogeneity in beliefs about volatility outcomes.

 

5. Assessing models of individual equity option prices (with Charles Cao and Ken Zhang). 

    We conduct a comprehensive empirical analysis of models that capture the salient attributes of individual equity option prices.

6.  Do Higher-Moment Equity Risks Explain Hedge Fund Returns  (June 2010) (with Vikas Agarwal and Joop Huij).

7. Investor Heterogeneity and the Non-Monotonicity of the Aggregate Marginal Rate of Substitution in Market-index. 2007. (with Dilip Madan). [pdf]

8. Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates (with Dilip Madan and Frank Zhang). [presented at AFA 2004] .  [PDF FILE] (revised 2006)

9.  Is the Present-Value Relation Destined for Empirical Failures? (with Nengjiu Ju). [PDF] 

BOOK CHAPTERS

1.  Models of Currency Option Pricing, 1999,  Advanced Tools for the Fixed-Income
Professional, edited by N. Jegadeesh and B. Tuckman, John Wiley & Sons, Inc. (with Zhiwu Chen).

2. Empirical Performance of Alternative Option Pricing Models ,  in Model Risk: Concepts, Calibration, and Pricing, Haymarket House, London,  U.K., 2000  (with Charles Cao and Zhiwu Chen, files).

3. Empirical Performance of Alternative Option Pricing Models , in Options Markets,  Edited  by  G.  Constantinides and
A.  Malliaris (Critical Writing in Financial Economics, Series Editor: Richard Roll), Edward Elgar Publishing Ltd. UK, 2000 (with Charles Cao and Zhiwu Chen).

COAUTHORS (in alphabetical order)

Vikas Agarwal

Charles Cao

Peter Carr

Zhiwu Chen

Joop Huij

Nengjiu Ju

Nikunj Kapadia

Dilip Madan

George Panaytov

Georgios Skoulakis

Hui Ou-Yang

Liuren Wu

Frank Xioling Zhang

RESEARCH INTEREST

*  Derivatives

*  Stock Valuation

*  Asset Pricing

*  Hedge Funds

*  International Finance

*  Capital Markets

PROFESSIONAL SERVICE

Editorial Boards

·        Co-Editor,  Review of Derivatives Research (2007-present)

Adhoc Referee

Granting agencies: US National Science Foundation, Canadian Grants Council, and University Grants Commission of Hong Kong

Journal Referee for the Journal of Finance,  Review of Financial Studies, American Economic Review, Journal of Business, Journal of Financial and Quantitative Analysis, Mathematical Finance, Journal of Futures Markets, Journal of Economic Dynamics and Control, Journal of International Economics, Journal of International Money and Finance, Journal of Banking and Finance, Real Estate Economics, Journal of International Markets and Financial Institutions, Journal of Financial Research, Journal of Derivatives, International Review of Economics & Finance, Review of Derivatives Research, Financial Management, European Finance Review, Economic Notes, European Economic Review, Journal of Business and Economics,  Journal of Empirical Finance, Pacific-Basin Finance Journal, Oxford Economic Papers, Journal of Econometrics, and Journal of Money Credit and Banking (more than 30 Journals).

SEMINAR PRESENTATIONS [ WORD]
 

RESOURCE PAGE
 

*  Implementation tricks used to implement equity valuation model (this model is driven by 11 parameters)

*  Codes for spanning skew and kurtosis


TEACHING

BMGT 446  (undergraduate class in International Finance).   See Blackboard (bb.rhsmith.umd.edu)
BUFN 724  (MBA class in International Finance).     See Blackboard
BMGT 843 (Ph.D. class in Asset Pricing Theory). 

BUSI 640 (Core MBA class). See Blackboard                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             
COURSES TAUGHT

·         International Finance (MBA and Undergraduates)

·         Investments (MBA and Undergraduates)

·         Derivatives (MBA and Undergraduates)

·         Ph.D. Seminar in Asset Pricing

·         Ph.D. Seminar in Contingent Claims Valuation

    

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Last Updated:  August, 2012