Gurdip S. Bakshi

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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

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).