Phone: (301) 405-2261
4413 Van Munching Hall
Smith Business School
University of Maryland
College Park, MD 20742
Gurdip Bakshi is Dean’s Professor of Finance at Department of Finance, Smith School of BusinessBakshi'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:email@example.com.
You may access his
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.
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).
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
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,
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]
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]
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]
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.
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.
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.
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).
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).
446 (undergraduate class in
International Finance). See
BUFN 724 (MBA class in International Finance). See Blackboard
BMGT 843 (Ph.D. class in Asset Pricing Theory).