Oliver Boguth

Assistant Professor
Faculty
TEMPE Campus
Mailcode
3906

Biography

View Vita

Personal Website

 

Education
Ph. D., University of British Columbia, 2010
M. Sc. Mathematical Finance, University of Southern California, 2004
Dipl. Wirtschaftsmathematiker, Universitaet Ulm, 2004

Research Areas
Theoretical and empirical asset pricing, Performance evaluation, Mutual funds, Investor information and conditional asset pricing tests, Risk-return tradeoff in dynamic settings, Volatility and its pricing implications

Current Projects 

"Leverage and the Limits of Arbitrage Pricing: Implications for Dividend Strips and the Term Structure of Equity Risk Premia", with Murray Carlson, Adlai Fisher, and Mike Simutin.

"Dissecting Conglomerates", with Ran Duchin and Mike Simutin 

"Coordinating Attention: The Unintended Consequences of FOMC Press Conferences", with Vincent Gr�goire and Charles Martineau

"The Fragility of Organization Capital", with David Newton and Mikhail Simutin

Representative Publications

"Leverage Constraints and Asset Prices: Insights from Mutual Fund Risk Taking", with Mike Simutin, Journal of Financial Economics, forthcoming

"Heterogeneous Information Diffusion and Horizon Effects in Average Returns", with Murray Carlson, Adlai Fisher, and Mike Simutin, Review of Financial Studies 29, 2016, 2241-2281

"Idiosyncratic Cash Flows and Systematic Risk", with Ilona Babenko and Yuri Tserlukevich. Journal of Finance 71, 2016, 425-456.

"Consumption Volatility Risk", with Lars-Alexander Kuehn. Journal of Finance 68, 2013, 2589-2615.

"Conditional Risk and Performance Evaluation: Volatility Timing, Overconditioning, and New Estimates of Momentum Alphas", with Murray Carlson, Adlai Fisher, and Mike Simutin, Journal of Financial Economics, 2011, 102, 363-389.

Education

  • PhD  University of British Columbia, 2010
  • MS  University of Southern California, 2004
  • Dipl.  Wirtschaftsmathematiker, Universitaet Ulm, 2004

Research Interests

  • Theoretical and Empirical Asset Pricing
  • Performance Evaluation
  • Investor Information and Conditional Asset
  • Pricing Tests Risk-Return Tradeoff in Dynamic Settings
  • Volatility and its Pricing Implications
  • Idiosyncratic Volatility and Market Incompleteness

Publications

  • "Conditional Risk and Performance Evaluation: Volatility Timing, Overconditioning, and New Estimates of Momentum Alphas" with Murray Carlson, Adlai Fisher, and Mike Simutin, Journal of Financial Economics, 2011, 102, 363-389.

Research Activity

  • Consumption Volatility Risk (with Lars-Alexander Kuehn)
  • Stochastic Idiosyncratic Volatility, Portfolio Constraints, and the Cross-Section of Stock Returns
  • Evaluation of Matching Techniques in Non-Random Samples: The Case of Stock Splits (with Mikhail Simutin)

Courses

Fall 2016
Course NumberCourse Title
FIN 421Security Analys Portfolio Mgmt
FIN 783Empirical Asset Pricing
Summer 2016
Course NumberCourse Title
FIN 790Reading and Conference
FIN 795Continuing Registration
FIN 799Dissertation
Spring 2016
Course NumberCourse Title
FIN 790Reading and Conference
FIN 791Seminar
FIN 792Research
FIN 799Dissertation
Fall 2015
Course NumberCourse Title
FIN 783Empirical Asset Pricing
FIN 790Reading and Conference
FIN 791Seminar
FIN 792Research
FIN 799Dissertation
Fall 2014
Course NumberCourse Title
FIN 421Security Analys Portfolio Mgmt
FIN 783Empirical Asset Pricing
Fall 2013
Course NumberCourse Title
FIN 421Security Analys Portfolio Mgmt
FIN 783Empirical Asset Pricing
Fall 2012
Course NumberCourse Title
FIN 421Security Analys Portfolio Mgmt
FIN 783Empirical Asset Pricing

Honors/Awards

  • CIBC Asset Management Scholarship in Finance, 2006-2007