Finance


Research interests and accomplishments within the group range from the highly theoretical to the practical, covering such issues as corporate financing and investment, valuation methods, the functioning of capital markets, individual and institutional investing, controlling risk with options and futures contracts, hedge funds and private equity, and real estate finance. Active participation in academic and professional associations and publications in top finance journals have given the group considerable international visibility.

Faculty List & Specializations

NamePositionSpecialization & Research Interests
Christina AtanasovaAssociate Professor, Finance Empirical corporate finance, corporate governance, capital structure, corporate risk management, and pension economics and finance.
Avi BickAssociate Professor, Finance Options and Futures Markets, Investments, Mathematical Finance .
George BlazenkoProfessor, Finance Economics of insurance, analysis of corporate contingent claims and option pricing, corporate financial policy and pricing of initial public offerings.
Ying DuanAssistant Professor, Finance
Evan GatevAssociate Professor, Finance

trading strategies, big data high frequency trading, banks, hedge funds and financial institutions

Peter KleinProfessor, Finance Return anomalies, taxation, derivative securities, credit risk; and corporate governance.
Jijun NiuAssociate Professor, Finance

Banking, Corporate Governance

Andrey PavlovProfessor, Finance Real estate market modeling for the purpose of MBS pricing and risk management, mortgage prepayment and default analysis, Impact of mortgage lending on real estate property markets
Geoffrey PoitrasProfessor, Finance Securities Analysis, Applied Econometrics, Risk Management Applications of Futures and Options Contracts, History of Financial Economics, Debt Management, Mathematical Finance, Statistical Simulation.
Amir RubinAssociate Professor, Finance

Corporate Finance, Corporate Governance, Behavioral Finance, Market Microstructure, Social Responsibility.

Jan SimonSenior Lecturer, Finance Hedge Funds, Alternative Investments, Entrepreneurial Finance, Sports Management, Networks
Victor SongLecturer, Finance
Alexander VedrashkoAssociate Professor, Finance Corporate Policy, Executive Compensation, Corporate Governance, Real Estate Finance
Derek YeeLecturer, Finance

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Awards & Achievements


2012
  • Atanasova, Christina: SFU Institutional SSHRC Small: Success in timing the VC wave: Leaders vs. followers (2012)

2011
  • Grauer, Rob: SFU Research Grant: Portfolio Selection (2011)
  • Pavlov, Andrey & Blazenko, George: SFU Institutional SSHRC Small: Mortgage-backed securities and real estate markets (2011)

2010
  • Gatev, Evan & Atanasova, Christina: SSHRC Standard Research Grant: The impact of pension fund governance on investment performance and risk management (2010-2013)

2009
  • Atanasova, Christina & Gatev, Evan: SFU Institutional SSHRC Small: Risk taking of institutional investors: Evidence from defined benefit pension plans
  • Klein, Peter, Schweigert, Isaac & Purdy, Daryl: AIMA Canada Hillside Research Award (2009)
  • Pavolv, Andrey & Blazenko, George: SFU Institutional SSHRC Small: Cities and the credit crisis (2009)
  • Rubin, Amir: SSHRC Standard Research Grant: Public information and financial markets (2009-2012)
  • Vedrashko, Alexander: SFU Institutional SSHRC Small: Trading performance and CEO talent (2009)

2008
  • Smith, Daniel: SSHRC Standard Research Grant: Latent autoregressive density modeling for finance (2008)

2007
  • Blazenko, George & Pavlov, Andrey: SFU Institutional SSHRC Small: The impact of real estate securitization around the world (2007)
  • Grauer, Rob: SSHRC Standard Research Grant: Portfolio Selection (2007-2010)
  • Pavlov, Andrey: SFU Research Initiative Fund: Aggressive lending and real estate markets (2007)
  • Pavolv, Andrey & Blazenko, George: CMHC Research Grant: Stability versus flexibility in the Canadian mortgage insurance system (2007-2008)

2006
  • Klein, Peter, Jones, Robert & Kou, Eddy: Bourse de Montreal  Award for Best Derivatives Paper - Vulnerable European options: How important is the risk of early default? (2006)
  • Rubin, Amir: SFU Institutional SSHRC Small Grant: Share Liquidity and Ownership (2006)

2005
  • Grauer, Rob: Western Decision Sciences Institute Best Paper Award, Finance (2005)
  • Klein, Peter, Shapiro, Daniel & Young, Jeff: Barclay's Global Investors Award for Best Paper in Canadian Capital Markets - Corporate governance, family ownership and firm value: The Canadian evidence. Corporate Governance: An International Journal 13.6: 769-784. (2005)
  • Klein, Peter & Brulhart, Todd: AIMA Canada Research Award - Are extreme hedge fund returns problematic? (2005)

Recent Faculty Books


2012
  • Rubin, Amir & Rubin, Eran (2012). Measuring responsibility to the different stakeholders. In H. Kent Baker and John R. Nofsinger (Eds.), Socially responsible finance and investing: Financial institutions, corporations, investors, and activists (pp. 323-340). Hoboken, USA: John Wiley & Sons Inc . doi: 10.1002/9781118524015.ch17
  • Poitras, Geoffrey (2012). Introduction: Stock Market Globalization, Past and Present; Chapter 11: What Happened May 6, 2010? Anatomy of the Flash Crash. In Handbook of research on stock market globalization.

2010
  • Grauer, Robert R. & Shen, Frederick C. (2010). On Estimation Risk and Power Utility Portfolio Selection. In C.-F. Lee, A.C. Lee and J. Lee (Eds.), Advances In Investment Analysis And Portfolio Management (pp. 203-219). Springer.

2007
  • Poitras, Geoffrey (2007). (Ed.) Pioneers of Financial Economics: Twentieth Century Contributions, (vol.2). Cheltenham, UK: Edward Elgar.
  • Poitras, Geoffrey (2007). Introduction. In Geoffrey Poitras (Ed.), Pioneers of Financial Economics: Twentieth Century Contributions, (vol.2) (pp. 1-16). Cheltenham, UK: Edward Elgar.
  • Poitras, Geoffrey (2007). Fredrick R. Macaulay, Frank M. Redington and the Emergence of Modern Fixed Income Analysis. In Geoffrey Poitras (Ed.), Pioneers of Financial Economics: Twentieth Century Contributions, (vol.2). Cheltenham, UK: Edward Elgar.

2006
  • Pavlov, Andrey, Boyer, Marcel, Christoffersen, Peter & Lasserre, Pierre (2006). Value creation through real options management. Enterprise Risk Management-Concepts and Cases - Vol.VI.
  • Poitras, Geoffrey (2006). (Ed.) Pioneers of Financial Economics: Contributions Prior to Irving Fisher, (vol.1). Cheltenham, UK: Edward Elgar.
  • Poitras, Geoffrey (2006). Introduction. In Geoffrey Poitras (Ed.), Pioneers of Financial Economics: Contributions Prior to Irving Fisher, (vol.1) (pp.1-10). Cheltenham, UK: Edward Elgar.
  • Poitras, Geoffrey (2006). Life Annuity Valuation: From de Witt and Halley to de Moivre and Simpson. In Geoffrey Poitras (Ed.), Pioneers of Financial Economics: Contributions Prior to Irving Fisher, (vol.1). Cheltenham, UK: Edward Elgar.
  • van Dillen, J., Poitras, Geoffrey & Majithia, A. (2006). Isaac Le Maire and the Early Trading in Dutch East India Company Shares. In Geoffrey Poitras (Ed.), Pioneers of Financial Economics: Contributions Prior to Irving Fisher, (vol.1). Cheltenham, UK: Edward Elgar.

2005
  • Poitras, Geoffrey (2005). Security Analysis and Investment Strategy. Boston, USA: Blackwell Publishing.


Research Papers


2013
  • Conconi, A., Demidow, M., Klein, P. & Niu, Jijun (2013). Learn more about the equal sector strategy of select sector SPDRs. The Journal of Wealth Management 15.4: 41-48. doi: 10.3905/jwm.2013.15.4.041
  • Grauer, Robert R. (2013). Limiting losses may be injurious to your wealth. Journal of Banking and Finance 37.12: 5088-5100. doi: 10.1016/j.jbankfin.2013.07.047
  • Klein, Peter & Yang, Jun (2013). Counterparty credit risk and American options. The Journal of Derivatives 20.4: 7-21. doi: 10.3905/jod.2013.20.4.007

2012
  • Atanasova, Christina & Gatev, Evan (2013). Pension plan risk-taking: Does it matter if the sponsor is publicly-traded? Journal of Pension Economics and Finance 12.2: 218-249. doi: 10.1017/S1474747212000339
  • Bick, Avi (2012). The relationship between reciprocal currency futures prices. Finance Research Letters 9.4: 194-201. doi: 10.1016/j.frl.2012.03.001
  • Niu, Jijun (2012). An empirical analysis of the relation between bank charter value and risk taking. The Quarterly Review of Economics and Finance 52.3: 298-304. doi: 10.1016/j.qref.2012.05.001
  • Niu, Jijun (2012). Interest rates and the risk-taking incentives of bank CEOs. Economics Bulletin 32.2: 1555-1570.
  • Niu, Jijun (2012). Corporate governance and bank profitability: Evidence from the U.S. Corporate Ownership and Control 9.2: 206-215.
  • Rubin, E. & Rubin, A. (2013). The impact of business intelligence systems on stock return volatility. Information & Management 50.2-3: 67-75.

2011
  • Cotter, Richard, Dason, J., Niu, J. & Klein, P. (2011). Corporate governance and stock performance: Evidence from Canadian firms over the period 2005-2009. Corporate Ownership and Control 8.3: 56-68.
  • Pavlov, A. & Wachter, S. (2011). Subprime lending and real estate prices. Real Estate Economics 39.1: 1-17.

2010
  • Atanasova, C. & Hrazdil, K. (2010). Why do healthy firms freeze their defined benefit pension plans? Global Finance Journal 21.3: 293-303.
  • Atanasova, C. & Hudson, R. (2010). Technical trading rules and calendar anomalies: Are they the same phenomenon? Economic Letters 106: 128-130.
  • Grauer, R. & Janmaat, J.A. (2010). Cross-sectional tests of the CAPM and Fama-French Three-Factor Model. Journal of Banking and Finance 34.2: 457-470.
  • Klein, P. & Yang, J. (2010). Vulnerable American options. Managerial Finance 36.5: 414-413. [Journal Abstract]
  • Niu, J. (2010). The effect of overconfidence on the sensitivity of CEO wealth to equity risk. Journal of Financial Services Research 38.1: 29-39.
  • Niu, J. (2010). The effect of CEO overconfidence on bank risk taking. Economics Bulletin 30.4: 3288-3299.
  • Niu, J. (2010). A note on loan market equilibrium when some borrowers are optimistic. Economics Bulletin 30: 1210-1216.
  • Pavlov, A. & Blazenko, G. (2010). Value maximizing hurdle rates for R&D investment. Economics of Innovation and New Technology 19.8: 693-717.
  • Perignon, C. & Smith, D.R. (2010). Diversification and value-at-risk. Journal of Banking and Finance 34: 55-66. [Journal Article]
  • Perignon, C. & Smith, D.R. (2010). The level and quality of value-at-risk disclosure by commercial banks. Journal of Banking and Finance 34: 362-377. [Journal Article]
  • Rubin, A. & Kraus, A. (2010). Reducing managers' incentives to cannibalize: Managerial stock options when shareholders are diversified. Journal of Financial Intermediation 19: 439-460.
  • Rubin, A. & Rubin, E. (2010). Informed investors and the internet. Journal of Business Finance and Accounting 37.7-8: 841-865.
  • Rubin, A. & Barnea, A. (2010). Corporate social responsibility as a conflict between shareholders. Journal of Business Ethics 97: 71-86.

2009
  • Gatev, E. & Strahan, P. (2009). Liquidity risk and syndicate structure. Journal of Financial Economics 93.3: 490-504.
  • Gatev, E. (2009). Liquidity risk and limited arbitrage: Are taxpayers helping hedge fund managers get rich? Journal of Investment Management 7.2.
  • Pavlov, A. & Wachter, S. (2009). Mortgage put options and real estate markets. Journal of Real Estate Finance and Economics 38.1: 86-103.
  • Poitras, G., Veld, C. & Zabolotnyuk, Y. (2009). European put-call parity and the early exercise premium for American currency options. Multinational Finance Journal 13: 39-54.
  • Gatev, E., Schuermann, T. & Strahan, P. (2009). Managing bank liquidity risk: How deposit-loan synergies vary with market conditions. Review of Financial Studies 22.3: 995-1020.
  • Poitras, G. (2009). From Antwerp to Chicago: The history of exchange traded derivative security contracts. Revue d'Histoire des Sciences Humaines 20: 11-50.
  • Gatev, E. & Ross, S. (2009). Momentum trading and performance with wrong return expectations. Journal of Portfolio Management 35.3: 73-78.
  • Atanasova, C. & Hudson, R. (2009). Equity returns at the turn of the month - Further confirmation and insights. Financial Analysts Journal 65.4: 14-16.
  • Grauer, R. & Janmaat, J.A. (2009). On the power of cross-sectional and multivariate tests of the CAPM. Journal of Banking and Finance 33: 775-787. [Journal Abstract]
  • Rubin, A. & Smith, D. (2009). Institutional ownership, volatility and dividends. Journal of Banking & Finance 33: 627-639. [Journal Abstract]
  • Smith, D.R. (2009). Asymmetry in stochastic volatility models: Threshold or correlation? Studies in Nonlinear Dynamics and Econometrics 13.3: Article 1 [Journal Abstract]
  • Blazenko, G., & Pavlov, A. (2009). Investment timing for dynamic business expansion. Financial Management 38.4: 837-860.
  • Poitras, G. (2009). Business ethics, medical ethics and economic medicalization. International Journal of Business Governance and Ethics 4: 372-389.
  • Poitras, G. & Meredith, L. (2009). Ethical transparency and economic medicalization. Journal of Business Ethics 86: 313-325.  [Journal Abstract]

2008
  • Grauer, R. (2008). Benchmarking performance measures with perfect-foresight and bankrupt asset-allocation strategies. Journal of Portfolio Management, 34, 43-57. [Journal Abstract]
  • Atanasova, C. & Gang, J. (2008). The decline in the volatility of the business cycles in the UK. The Manchester School. 76(s1), 14-36. [Journal Abstract]
  • Gray, P. & Smith, D.R. (2008). An empirical investigation of the Level Effect in Australian interest rates. Australian Journal of Management. 33(1), 31-45. [Journal Abstract]
  • Kan, R. & Smith, D.R. (2008). The distribution of the sample minimum-variance frontier. Management Science. 54(7), 1364-1380. [Journal Abstract]
  • Niu, J. (2008). Bank competition, risk and subordinated debt. Journal of Banking and Finance. 32, 1110-1119. [Journal Abstract]
  • Niu, J. (2008). Can subordinated debt constrain banks' risk taking? Journal of Financial Services Research. 33, 37-56.  [Journal Abstract]
  • Pavlov, A. & Wachter, S. (2008). Mortgage put options and real estate markets. Journal of Real Estate Finance and Economics[Journal Abstract]
  • Rubin, A. (2008). Political views and corporate decision making: The case of corporate social responsibility. The Financial Review. 43, 337-360. [Journal Abstract]
  • Smith, D.R. (2008). Evaluating specification tests for Markov-Switching Time-Series Models. Journal of Time Series Analysis. 29(4), 629-652. [Journal Abstract]
  • Smith, D.R. (2008). Testing for structural breaks in GARCH Models. Applied Financial Economics. 18, 845-862. [Journal Abstract]
  • Perignon, C. & Smith, D.R. (2008). A new approach to comparing VaR Estimation Methods. Journal of Derivatives. 16, 54-66. [Journal Abstract]

2007
  • Atanasova, C. (2007). Access to institutional finance and the use of trade credit. Financial Management 36.1: 49-68. [Journal Abstract]
  • Day Cauley, S., Pavlov, A.D. & Schwartz E.S. (2007). Homeownership as a constraint on asset allocation. Journal of Real Estate Finance and Economics 34: 283-311. [Journal Abstract]
  • Layton, A.P. & Smith, D.R. (2007). Business cycle dynamics with duration dependence and leading indicators. Journal of Macroeconomics 29: 855-875. [Journal Abstract]
  • Perignon, C., Smith, D.R. & Villa, C. (2007). Why common factors in international bond returns are not so common. Journal of International Money and Finance 26: 284-304. [Journal Abstract]
  • Perignon, C. & Smith, D.R. (2007). Yield-Factor Volatility Models. Journal of Banking and Finance 31: 3125-3144. [Journal Abstract]
  • Poitras, G. (2007). Immunization bounds, time value and non-parallel yield curve shifts. Insurance and Risk Management 75.3: 323-356. [Journal Abstract]
  • Rubin, A. (2007). Ownership level, ownership concentration and liquidity. Journal of Financial Markets 10: 219-248. [Journal Abstract]
  • Smith, D.R. (2007). Conditional coskewness and asset pricing. Journal of Empirical Finance 14: 91-119. [Journal Abstract]
  • Smith, D.R. & Layton, A.P. (2007). Comparing probability forecasts in Markov Regime Switching Business Cycle Models. Journal of Business Cycle Measurement and Analysis 3.1: 79-98. [Journal Abstract]


Research Seminars & Events

Finance Seminar Series 2014

March 31, 2014
Burnaby 4335 10:30am – 12:00pm
David McLean (University of Alberta)
Does Academic Research Destroy Stock Return Predictability?

March 31, 2014
Burnaby 4335 2:30pm – 4:00pm
Mengxin Zhao (University of Alberta)
Equity Market Liberalization and Equity Issuance

March 6, 2014
Segal 4600 2:00pm – 3:30pm
Christopher Hennessy (London Business School)
Natural Policy Experiments: Positive and Normative Analysis

January 30, 2014
Segal 2300 10:00am – 11:30am
M. Emrul Hasan (PhD student)
Returns Around the SEO and Capital Gains Lock-in Effect

For more information on any
of these seminars, contact:
Seminar Coordinator

Finance Seminar Series 2013

November 29, 2013
Segal 2300 10:00am – 11:30am
Jin Wang (Wilfrid Laurier University)
Technology Innovations: The Choice between Strategic Alliances and Merger and Acquisitions

November 01, 2013
Segal 2300 10:00am – 11:30am
Rob Grauer (SFU)
Tests of Whether the Market Portfolio is Mean-Variance Efficient

May 10, 2013
Segal 4400 2:00pm – 3:30pm
Lukas Schmid (Duke University)
Investment-Based Corporate Bond Pricing

Finance Seminar Series 2012

October 19, 2012
Segal Room TBD 11:00am - 12:30pm
Michael King
Volcker Rule Restrictions on Proprietary Trading: The Impact on US Banks Holding Companies
Authors: Michael King, Nadia Massoud, and Keke Song

October 18, 2012
Segal Room 4600 3:00pm - 4:30pm
Minli Lian (PhD Student)
- Hedge Fund Performance Fees Explained
- Understanding Hedge Fund Tail Risk

August 03, 2012
Segal 2300 8:45am - 4:30pm
West Coast and Rocky Mountains Finance Workshop
Program

Wednesday, April 18, 2012
Segal 4400 10:30am - 12:00pm
Malay Dey (NYIT)
Order Time, Divergence of Opinion, and Short Selling in Security Price Adjustment

Monday, February 20, 2012
Truong Duong (National University of Singapore) - Finance recruit
The Rise and Fall of Portfolio Pumping Among U.S. Mutual Funds

Thursday, February 9, 2012
Derek Horstmeyer (University of Southern California) - Finance recruit
Beyond Independence: CEO Influence and the Internal Operations of the Board

Monday, February 6, 2012
Jerchern Lin (University of Southern California) - Finance recruit
Fund Convexity and Tail Risk-Taking

Thursday, February 2, 2012
Burcin Col (McGill University) - Finance recruit
Havenly Acquisitions

Friday, January 27, 2012
Nils Hakansson (University of California, Berkeley)
Social Security's Investment Shortfall: $8 Trillion Plus - and the Way Forward


Updated April 07, 2014