Rob Grauer

Professor Emeritus
B.Com., M.B.A. (British Columbia), Ph.D. (California, Berkeley)

Burnaby Room: WMC 3337
Burnaby Phone: 778.782.3722

Email Address: grauer@sfu.ca

Personal Website: http://beedie.sfu.ca/homes/grauer/

Curriculum Vitae: View

Biography

Professor Robert Grauer teaches investments, asset pricing, and corporate finance. His research interests include asset allocation, portfolio selection, asset pricing, performance measurement, and efficient markets. His publications have appeared in leading academic and practitioners journals in finance, economics, and management science.

Specialization and Research Interests

Asset allocation, portfolio theory, market efficiency, capital asset pricing.

Selected Publications

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Peer Reviewed","WebProfileCategory":"Articles and Reports","DOI":"10.1016\/j.jbankfin.2009.08.011","PublisherName":"Elsevier BV * North-Holland","PublisherCity":"Amsterdam","PublisherCountry":"Netherlands","journalTitle":"Journal of Banking & Finance","journalVolume":"34","journalIssue":"2","pages":"457-470","URL":null,"contributors":[{"firstName":"Robert","middleName":"","lastName":"Grauer"},{"firstName":"Johannus","middleName":"A","lastName":"Janmaat"}],"icKind":"journal"},{"id":"23136","IC_id":"363","Title":"On the power of cross-sectional and multivariate tests of the CAPM","Year":"2009","Date":"2009-00-00","kind_id":"1","Type":"Publication","KindName":"Journal Article, Academic Journal - Peer Reviewed","WebProfileCategory":"Articles and Reports","DOI":"10.1016\/j.jbankfin.2008.09.016","PublisherName":"Elsevier BV * North-Holland","PublisherCity":"Amsterdam","PublisherCountry":"Netherlands","journalTitle":"Journal of Banking & Finance","journalVolume":"33","journalIssue":"5","pages":"775-787","URL":null,"contributors":[{"firstName":"Robert","middleName":"","lastName":"Grauer"},{"firstName":"Johannus","middleName":"A","lastName":"Janmaat"}],"icKind":"journal"},{"id":"23136","IC_id":"3260","Title":"On the predictability of stock market returns: Evidence from industry rotation strategies","Year":"2008","Date":"2008-00-00","kind_id":"1","Type":"Publication","KindName":"Journal Article, Academic Journal - Peer Reviewed","WebProfileCategory":"Articles and Reports","DOI":null,"PublisherName":"Chapman University * Argyros School of Business and Economics","PublisherCity":"Orange","PublisherCountry":"United States","journalTitle":"Journal of Business and Management","journalVolume":"14","journalIssue":"2","pages":"149-173","URL":null,"contributors":[{"firstName":"Robert","middleName":"","lastName":"Grauer"}],"icKind":"journal"},{"id":"23136","IC_id":"3261","Title":"Benchmarking performance measures with perfect-foresight and bankrupt asset-allocation strategies","Year":"2008","Date":"2008-00-00","kind_id":"1","Type":"Publication","KindName":"Journal Article, Academic Journal - Peer Reviewed","WebProfileCategory":"Articles and Reports","DOI":null,"PublisherName":"Institutional Investor * Journals","PublisherCity":"New York","PublisherCountry":"United States","journalTitle":"Journal of Portfolio Management","journalVolume":"34","journalIssue":"4","pages":"43-57","URL":null,"contributors":[{"firstName":"Robert","middleName":"","lastName":"Grauer"}],"icKind":"journal"},{"id":"23136","IC_id":"2524","Title":"Positively weighted minimum-variance portfolios and the structure of asset expected returns","Year":"1992","Date":"1992-00-00","kind_id":"1","Type":"Publication","KindName":"Journal Article, Academic Journal - Peer Reviewed","WebProfileCategory":"Articles and Reports","DOI":null,"PublisherName":"Cambridge University Press","PublisherCity":"Cambridge","PublisherCountry":"United Kingdom","journalTitle":"Journal of Financial & Quantitative Analysis","journalVolume":"27","journalIssue":"4","pages":"513-547","URL":null,"contributors":[{"firstName":"Michael","middleName":"J","lastName":"Best"},{"firstName":"Robert","middleName":"","lastName":"Grauer"}],"icKind":"journal"},{"id":"23136","IC_id":"2523","Title":"On the sensitivity of mean-variance-efficient portfolios to changes in asset means: some analytical and computational results","Year":"1991","Date":"1991-00-00","kind_id":"1","Type":"Publication","KindName":"Journal Article, Academic Journal - Peer Reviewed","WebProfileCategory":"Articles and Reports","DOI":null,"PublisherName":"Oxford University Press","PublisherCity":"Oxford","PublisherCountry":"United Kingdom","journalTitle":"Review of Financial Studies","journalVolume":"4","journalIssue":"2","pages":"315-342","URL":null,"contributors":[{"firstName":"Michael","middleName":"J","lastName":"Best"},{"firstName":"Robert","middleName":"","lastName":"Grauer"}],"icKind":"journal"},{"id":"23136","IC_id":"2522","Title":"Capital asset pricing compatible with observed market value weights","Year":"1985","Date":"1985-03-01","kind_id":"1","Type":"Publication","KindName":"Journal Article, Academic Journal - Peer Reviewed","WebProfileCategory":"Articles and Reports","DOI":"","PublisherName":"Wiley-Blackwell Publishing, Inc","PublisherCity":"Hoboken","PublisherCountry":"United States","journalTitle":"Journal of Finance","journalVolume":"40","journalIssue":"March","pages":"85-103","URL":null,"contributors":[{"firstName":"Michael","middleName":"J","lastName":"Best"},{"firstName":"Robert","middleName":"","lastName":"Grauer"}],"icKind":"journal"}]

Articles and Reports

Best, M. J., Grauer, R., Hlouskova, J., & Xhang, X. (2014). Loss-aversion with kinked linear utility functions. Computational Economics, 44, 45-65. http://doi.org/10.1007/s10614-013-9391-x

Grauer, R. (2013). Limiting losses may be injurious to your wealth. Journal of Banking & Finance, 37(12), 5088–5100. http://doi.org/10.1016/j.jbankfin.2013.07.047

Grauer, R., & Janmaat, J. A. (2010). Cross-sectional tests of the CAPM and Fama-French three-factor model. Journal of Banking & Finance, 34(2), 457-470. http://doi.org/10.1016/j.jbankfin.2009.08.011

Grauer, R., & Janmaat, J. A. (2009). On the power of cross-sectional and multivariate tests of the CAPM. Journal of Banking & Finance, 33(5), 775-787. http://doi.org/10.1016/j.jbankfin.2008.09.016

Grauer, R. (2008). On the predictability of stock market returns: Evidence from industry rotation strategies. Journal of Business and Management, 14(2), 149-173.

Grauer, R. (2008). Benchmarking performance measures with perfect-foresight and bankrupt asset-allocation strategies. Journal of Portfolio Management, 34(4), 43-57.

Best, M. J., & Grauer, R. (1992). Positively weighted minimum-variance portfolios and the structure of asset expected returns. Journal of Financial & Quantitative Analysis, 27(4), 513-547.

Best, M. J., & Grauer, R. (1991). On the sensitivity of mean-variance-efficient portfolios to changes in asset means: some analytical and computational results. Review of Financial Studies, 4(2), 315-342.

Best, M. J., & Grauer, R. (1985). Capital asset pricing compatible with observed market value weights. Journal of Finance, 40(March), 85-103.

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