Rob Grauer

  • Retired Faculty, Finance
  • Professor Emeritus, Finance
  • 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

    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.

    Research Interests

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

    Selected Publications

    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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