University Finance
Resume:
Marcin Kacperczyk
Assistant Professor of Finance
Stern School of Business
New York University
New York, NY 10012
Phone: 212-***-****
E-mail: ********@*****.***.***
Website: http://pages.stern.nyu.edu/~sternfin/mkacperc/public_html/~mkacperc.htm
Education
University of Michigan, Ann Arbor, MI
Ph.D. in Finance, August 2004
Dissertation Title: Financial Decision Making under Distribution Uncertainty
Warsaw School of Economics
Masters (Magister) in Finance & Banking (summa cum laude), September 1998
Professional Experience
National Bureau of Economic Research, Cambridge MA
Faculty Research Fellow (Asset Pricing Program), April, 2009 present
New York University, Stern School of Business, New York NY
Assistant Professor of Finance, September 2008 present
Boxer Faculty Fellow, September 2010 August 2013
University of British Columbia, Sauder School of Business, Vancouver BC
Assistant Professor of Finance, July 2004 August 2008
Research Interests
Investments, Information Economics, Institutional Investors, Mutual Funds, Empirical
Asset Pricing, Behavioral Finance, Decision Theory
Publications
12. How Safe are Money Market Funds?, (with Philipp Schnabl), 2013, Quarterly Journal
of Economics, conditionally accepted.
11. Time-Varying Fund Manager Skill, (with Stijn van Nieuwerburgh and Laura
Veldkamp), 2012, Journal of Finance, forthcoming.
10. A New Class of Bayesian Semiparametric Models with Applications to Option Pricing,
(with Paul Damien and Stephen Walker), 2012, Quantitative Finance, forthcoming.
9. Do Non-Financial Stakeholders Affect the Pricing of Risky Debt? Evidence from
Unionized Workers, (with Jason Chen and Hernan Ortiz-Molina), Review of Finance 16(2),
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2012, 347-383.
- Sp ngler IQAM Prize for Best Paper in the Review of Finance (2nd Prize)
8. Labor Unions, Operating Flexibility, and the Cost of Equity, (with Jason Chen and
Hernan Ortiz-Molina), Journal of Financial and Quantitative Analysis 46, 2011, 25-58.
7. When Safe Proved Risky: Commercial Paper during the Financial Crisis of 2007-2009,
(with Philipp Schnabl). Journal of Economic Perspectives 24, 2010, 29-50.
6. Competition and Bias, (with Harrison Hong), Quarterly Journal of Economics 125(4),
2010, 1683-1725.
5. The Price of Sin: The Effects of Social Norms on Markets, (with Harrison Hong),
Journal of Financial Economics 93, 2009, 15-36.
- Winner of the Commonfund Institute Award, EFA 2006
- Moskowitz Prize (Honorable Mention) for Socially Responsible Investing
Research, Berkeley 2006
4. Unobserved Actions of Mutual Funds, (with Clemens Sialm and Lu Zheng), Review of
Financial Studies 21, 2008, 2379-2416.
- Lead article
3. Industry Concentration and Mutual Fund Performance, (with Clemens Sialm and Lu
Zheng), Journal of Investment Management 5, 2007, 50-64.
2. Fund Manager Use of Public Information: New Evidence on Managerial Skills, (with
Amit Seru), Journal of Finance 62, 2007, 485-528.
- Lead article
- Finalist for the Smith-Breeden Award
1. On the Industry Concentration of Actively Managed Equity Mutual Funds, (with
Clemens Sialm and Lu Zheng), Journal of Finance 60, 2005, 1983-2012.
- Finalist for the Smith-Breeden Award
Papers under Review
13. Rational Attention Allocation over the Business Cycle, (with Stijn van Nieuwerburgh
and Laura Veldkamp), Working Paper 2013.
- Q-Group Research Grant Award
14. Time-Varying Predictability in Mutual Fund Returns, (with Vincent Glode, Burton
Hollifield, and Shimon Kogan), Working Paper 2012, revise and resubmit at the Review of
Finance.
Working Papers
15. Does Firm Organization Matter? Evidence from Centralized and Decentralized Mutual
Funds, (with Amit Seru), Working Paper 2012.
16. Do Security Analysts Discipline Credit Rating Agencies?, (with Kingsley Fong,
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Harrison Hong, and Jeff Kubik), Working Paper 2012.
17. Asset Allocation under Distribution Uncertainty, (with Paul Damien), Working Paper
2011.
Book Chapters
Hedge Funds in the Aftermath of the Financial Crisis, (with Stephen Brown, Alexander
Ljungqvist, Anthony Lynch, Lasse Pedersen, and Matthew Richardson), in: Restoring
Financial Stability (eds. Viral Acharya, Matthew Richardson). John Wiley & Sons, NJ
2009.
Money Market Funds: How to Avoid Breaking the Buck, (with Philipp Schnabl), in:
Real Time Solutions for Financial Reform (eds. Viral Acharya, Thomas Cooley, Matthew
Richardson, and Ingo Walter). John Wiley & Sons, NJ 2010.
Academic Awards and Honors
Sp ngler IQAM Prize for Best Paper in the Review of Finance (2nd prize)
Center for Global Economy and Business Research Grant (2011)
Boxer Faculty Fellow at NYU (2010-2013)
Q-Group Research Grant Award (2009)
Moskowitz Prize (Honorable Mention) for Socially Responsible Investing Research (2006)
The Commonfund Institute Award for the best paper relevant to foundation and
endowment asset management (EFA 2006 meetings)
Social Sciences and Humanities Research Council of Canada Research Award (2005-2008)
Hampton Research Grant (2005)
Institute for Quantitative Investment Research (Inquire Europe) Research Award (2005)
Allan Gilmour Fellowship for excellence in research awarded annually to one PhD student
in Finance (2003)
Graduate Fellowship at the University of Michigan (1999 2004)
Rodkey Fellowship at the University of Michigan (1999 2004)
First Prize in contest for student research papers at Warsaw School of Economics (1999)
AAndersen Fellowship for best student in Finance at Warsaw School of Economics (1999)
Special Prize of Coopers&Lybrand for scientific article on economic issues (1997)
Merit scholarship of the Polish Ministry of Education (1993 1995; 1997 1999)
Merit scholarship of the President of Warsaw (1999)
Teaching
Foundations of Finance (B2311; MBA, NYU)
Summer 2012: Evaluations: 6.6/7.0; 6.5/7.0; 6.4/7.0
Summer 2011: Evaluations: 6.8/7.0; 6.2/7.0; 6.4/7.0
Summer 2010: Evaluations: 6.6/7.0; 6.3/7.0; 6.5/7.0
Winter 2009: Evaluations: 6.7/7.0; 6.3/7.0
Security Pricing (BAFI 511; MBA, UBC)
Winter 2008: Average Evaluation: 4.88/5.0
Nominated for the Teaching Excellence Award (5 nominees from School)
Summer 2007: Average Evaluation: 4.90/5.0
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Winter 2007: Average Evaluation: 4.72/5.0
Winter 2006: Average Evaluation: 4.65/5.0
The MBA s Teaching Excellence Award (MBA Class of 2007)
Capital Budgeting (BAFI 502; Masters in Finance, Krems Austria)
Fall 2006: Average Evaluation 1.1/1.0 (inverse scale)
Fall 2005: Average Evaluation 1.2/1.0 (inverse scale)
Security Analysis (BCOM 374; Undergraduate, UBC)
Winter 2008: Average Teaching Evaluation: 4.81/5.0
Winter 2007: Average Teaching Evaluation: 4.85/5.0
Winter 2006: Average Teaching Evaluation: 4.80/5.0
Winter 2005: Average Teaching Evaluation: 4.75/5.0
Introduction to Mutual Fund Business: (Institute of Business Warsaw)
December 2004: Average Teaching Evaluation: 5.6/6.0
Investments (Finance 310; BBA, University of Michigan)
Fall 2001: Average Teaching Evaluation: 5.0/5.0
2002 Dykstra Award for the Best Graduate Instructor
Introduction to Financial Economics (Executive MBA, University of Michigan)
Summer 2003; Summer 2002
Professional Service
Program Committee: SFS Finance Cavalcade 2013
Organizer of the Panel Discussion on the Future of Europe at NYU: October 2012
Program Committee: Finance Down Under Conference 2011-2013
Program Committee: AFA Meetings 2008, 2011
Program Committee: Stern NYU Conference on Information 2010
Recruiting Committee Member: NYU Finance Department 2009-2010; 2011-2012
Program Committee: WFA Meetings 2010-2013
Program Committee: EFA Meetings 2009-2013
Program Committee: NFA Meetings 2008-2010
Program Committee: FMA Meetings 2008-2013
Program Committee: UBC Winter Finance Conference 2008
Program Committee: UBC Summer Finance Conference 2005-2008
Seminar Coordinator: NYU Finance Department 2008-2009
Session Chair: AFA 2008, 2011; WFA 2005; EFA 2009-2011; NFA 2008; FMA 2008
Dissertation Committee
Doctoral Program
Julian Douglass (UBC), initial placement: BGI
Charles Gaa (UBC), initial placement: University of Oregon
Andre Souza (NYU Finance), initial placement: Fordham University
Esben Hedegaard (NYU Finance), initial placement: Arizona State University
Undergraduate Honors Program Thesis
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Gary Chalik: 2009-2010
Kathleen Vadnais: 2011-2012
Xiang Zhang: 2012-2013
Membership
American Finance Association, Western Finance Association, American Economic Association,
Econometric Society, National Bureau of Economic Research
Refereeing
American Economic Review, Quarterly Journal of Economics, Journal of Political
Economy, Journal of Finance, Journal of Financial Economics, Review of Financial
Studies, AEJ: Applied Economics, Journal of Economic Literature, Journal of Financial
and Quantitative Analysis, Journal of Public Economics, Management Science,
Organization Science, Review of Economics and Statistics, Review of Finance, Canadian
Journal of Administrative Sciences, Economic Inquiry, Elsevier Inc., European Financial
Management, Financial Analysts Journal, Financial Management, Finance Research
Letters, Financial Review, Indian Institute of Management Research Grant, Journal of
Banking and Finance, Journal of Business Ethics, International Journal of Central Banking,
Journal of Business Finance and Accounting, Journal of Empirical Finance, Journal of
Financial Intermediation, Journal of Financial Research, Journal of Financial Services
Research, Journal of Futures Markets, Managerial Finance, Pacific-Basin Finance Journal,
Pearson Canada Inc., Pearson/Prentice Hall, Quarterly Review of Economics and Finance,
Research Grants Council (RGC) of Hong Kong SAR, Social Sciences Human Resources
Council of Canada, University of Cyprus Research Grant
Seminar and Conference Presentations
2013: American Finance Association Meetings (2 papers); Imperial College; University of British
Columbia; University of Washington; University of Minnesota; Indiana University;
Columbia University; Princeton University; University of Amsterdam
2012: American Finance Association Meetings; NYU (Stern); MIT (Sloan); Utah Winter Finance
Conference; Temple University; CEAR Conference on Incentives and Risk; Minnesota
Corporate Finance Conference; Paul Wooley Conference on Financial Intermediation;
Asset Allocation Workshop at City University London (keynote speaker); NBER Summer
Institute; National Bank of Poland workshop (invited speaker); CUNY Economics
Department; University of Notre Dame; European Central Bank; University of Bergen;
NBER Corporate Finance Meetings; University of Pittsburgh; University of Toronto;
University of Illinois Urbana-Champaign; Oxford University (Said)
2011: American Finance Association Meetings; University of Michigan; UBC Winter Finance
Conference; University of Warwick; University of Nottingham; Noble Funds; S.A.C Hedge
Fund; Western Asset Management; Texas Finance Festival; Napa Valley Finance
Conference; NBER Summer Institute; CEPR Corporate Finance Meeting, Gerzensee; UBC
Summer Finance Conference; HEC Paris/Euronext Conference on Financial
Intermediation; European Finance Association Meetings, Stockholm; Harvard Business
School; Kansas Fed; Investment Company Institute Academic & Practitioner Conference
2010: Winter Meetings of the Econometric Society; University of Quebec; University of Chicago
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(Booth); MIT (Sloan); Concordia University; Third Risk Management Conference, Mont
Tremblant; University of Lugano; New York University (Stern); Webinar on Responsible
Property Investment; Harvard Business School; Merrill Lynch Panel on Behavioral
Finance; Yale University (SOM); Western Finance Association Meetings; Baruch College;
Boston College; FMA Meetings; Oxford-Man Institute Hedge Fund Conference; Oxford
University (Said)
2009: American Finance Association Meetings (2 papers); University of Utah; New York
University (Stern); Western Finance Association Meetings; University of Vienna; Fifth
Empirical Asset Pricing Retreat, Amsterdam; Society for Economic Dynamics; CEPR
Asset Pricing Meeting, Gerzensee; UBC Summer Finance Conference; European Finance
Association Meetings, Bergen; University of New South Wales; University of Sydney;
University of Technology Sydney; University of Melbourne; Australian National
University; Erasmus Rotterdam University; The European Centre for Corporate
Engagement Conference; University of Mannheim; Duke University; Brigham Young
University; University of California, Berkeley; Stanford University; Toulouse School of
Economics; University of Alberta
2008: American Finance Association Meetings (2 papers); New York University (Stern); UBC
Winter Conference; University of Alberta; University of Texas, Austin; Dartmouth College
(Tuck); Universidad Carlos III, Madrid; University of Oregon Institutional Investor
Conference; European Finance Association Meetings, Athens; Copenhagen Business
School; Norwegian School of Management; Texas A&M University; University of
Michigan; Financial Research Association
2007: University of British Columbia; Inquire Europe; Maryland Behavioral Finance
Symposium; Southern Methodist University; Phillips, Hager & North Centre for Financial
Research & Bureau of Asset Management Breakfast Briefing Series, Toronto; Western
Finance Association Meetings; UBC Summer Conference; Princeton University; Harvard
Business School; Georgia State University; University of Arizona; Michigan State
University; Wharton; INSEAD; University of Maryland; University of Texas Conference
on Mutual Funds; NBER Behavioral Finance Meetings; University of Lausanne
2006: Utah Winter Finance Conference; Yale University; Swedish Institute for Financial
Research; Society for Quantitative Financial Analysts; University of British Columbia;
Phillips, Hager & North Centre for Financial Research & Bureau of Asset Management
Breakfast Briefing Series, Vancouver; Western Finance Association Meetings (2 papers);
UBC Summer Finance Conference; Barclays Global Investors, San Francisco; European
Finance Association Meetings, Zurich; Northern Finance Association Meetings, Montreal;
University of Notre Dame; University of Vienna; Pacific Northwest Finance Conference;
Washington University (Olin); Phillips, Hager & North Centre for Financial Research &
Bureau of Asset Management Breakfast Briefing Series, Calgary; Texas A&M University;
Queen s University; Georgia State University 17th Annual Conference on Financial
Economics and Accounting
2005: American Finance Association Meetings (2 papers); UC-Davis Graduate School of
Management Conference on Valuation in Financial Markets; University of Michigan;
Western Finance Association Meetings, Portland; UBC Summer Finance Conference,
Tofino; China International Conference in Finance, Kunming, China; Universidad Carlos
III de Madrid, Spain; University of Lausanne; University of Zurich; European Finance
Association Meetings; Rutgers University; SUNY; Simon Fraser University; Northern
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Finance Association Meetings, Vancouver; HEC Montreal; McGill University; INSEAD;
Kellogg School of Management; Emory University; Pacific Northwest Finance
Conference; Financial Management Association, Chicago; University of British Columbia;
NBER Behavioral Finance Meetings; UNC Conference on Financial Economics and
Accounting; Financial Research Association Meetings, Las Vegas
2004: IV Workshop on Bayesian Nonparametrics: Methodology, Theory & Applications: Rome
(invited lecture); Winter Meetings of the Econometric Society; HEC Paris; GSB Chicago;
Wharton; University of British Columbia; UBC Summer Conference, Tofino; European
Finance Association Meetings; Northern Finance Association Meetings (2 papers); Pacific
Northwest Finance Conference
2003: Summer Meetings of the Econometric Society, Kellogg; Fordham University; University of
Michigan; Florida State University; University of Miami; Georgia State University;
McMaster University
2002: EFMA Meetings, London; Royal Economic Society, Warwick; University of Michigan
Selected Coverage in the Financial Press
Sizemore, Charles, Not All Sin Stocks are Created Equal, The Sizemore Investment
Letter, July 20, 2012
Dodley, Dominique, Whisky wets investor thirst for neat returns, CNN Blog, June 5,
2012
Morgan, Sarah, 401(k) Plans Get Responsible, Smart Money, December 16, 2011
Lahart, Justin, Cure For Ratings Inflation, Wall Street Journal, December 16, 2011
Gray, Tim, A Master s Skill or Just Luck?, New York Times, October 8, 2011
TV Interview about U.S. economic situation, CNBC, May 26, 2011
TV Interview about public debt and financial crisis Worldwide, CNBC, April 19, 2011
Crane Peter, Yet another Crisis Study: When Safe Proved Risky in Commercial Paper,
Crane Data, September 27, 2010
DeSilver, Drew, Seattle Move the Latest Shift for Russell, Seattle Times, August 12,
2010
Fickett, Jim, Some Stock Mutual Fund Managers Have Skill, Clear on Money, June 5,
2010
Radio Interview on BP and Socially Responsible Investing, NPR Radio, June 4, 2010
Steverman, Ben, BP Disaster Vexes Socially Responsible Investors, Business Week, June
2, 2010
Kacperczyk, Marcin and Philipp Schnabl, Money Funds too Big to Be Ignored,
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American Banker, April 14, 2010
CFA Institute, CFA Institute s Revised GIPS Puts New Focus on Risk, Money
Management Letter, March 5, 2010
TV Interview on Sin Investments, CNN, February 1, 2010
Mottola, Matias, Why It s so Hard to Consistently Beat the Market, Financial Times,
January 17, 2010
Hoffman, David, Market Timing Trumps Buy-and-Hold Amid Big Swings, Study Says,
Investment News, November 15, 2009
Ritholtz, Barry, Can You Find Superior Information about The Overall Market?, Barry
Ritholtz Blog, November 12, 2009
Laise, Eleanore, More Mutual Funds 'Time' Market, Wall Street Journal, November 12,
2009
Business Wire, NYU Stern Study Finds Good Fund Managers Time Investment Strategies
to Economy s Health, November 10, 2009
Motley Fool, Sin Pays...Now that's My Kind of Back-Testing, October 26, 2009
Park, Jee Yeon, Profit From These Sin Stocks: Finance Professor, CNBC Stock Blog,
October 23, 2009
TV Interview on Sin Investments, CNBC Squawk Box, October 23, 2009
Reuters, New Study Finds That Investors Gain 2.5% a Year by Investing in Sin Stocks,
October 21, 2009
Business Wire, New Study Finds That Investors Gain 2.5% a Year by Investing in Sin
Stocks, October 21, 2009
Ad-Hoc News, Social - New Study Finds That Investors Gain 2.5% a Year by Investing in
Sin Stocks, October 21, 2009
Randle, David, Sin Stocks Outperform Over Time, Study Says, Forbes, October 21,
2009
Rasbach, Noreen, Vices Pay if You Have A Stake in Them, Globe and Mail, September
1, 2009
Shinkle, Kirk, Are Sin Stocks Recession Proof?, U.S. News, July 21, 2009
Kelleher, Ellen, Markets Are Giving The Devil His Due, Financial Times, June 19, 2009
Hough, Jack, Five Stocks for Sinners, The Wall Street Journal, April 15, 2009
Hulbert, Mark, A Quarter When Mutual Fund Rankings Didn't Matter New York Times,
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January 25, 2009
Huebscher, Robert, Identifying Mutual Fund Managers That Will Beat the Market,
Advisor Perspectives, July 31, 2007
Horowitz, Etan, State Looks at Holdings of Sin Stocks, Orlando Sentinel, May 19, 2007
Eviel, Aytan, Investor: Should You Read the Papers?, Haaretz, May 8, 2007
Parmar, Arundhati, Show Me the Money, Pensions & Investments, April 30, 2007
TV Interview on Sin Investments, Business News Network, April 24, 2007
WSJ.com, Blog Roll: The Wages of Sin, Wall Street Journal, April 19, 2007
Climateer Investing, Moral Judgment On 'Sin Stocks' Means Higher Returns For Vice-
Friendly Investors, April 19, 2007
Critchley, Barry, Return Gap Predicts Fund Performance, National Post, April 17, 2007
Tait, Carrie, Sin Stocks May Not Be Good for the Soul, Financial Post, April 11, 2007
Luke, Paul, Wages of Sin Pay Dividends for Investors, The Province, April 11, 2007
Scientific Blogging, Sin Stocks - Value Judgments by Some Mean Gains by Others,
April 10, 2007
Reuters, Moral Investors Pay a Price by Avoiding Sin Study, April 10, 2007
Anderson, Fiona: Sin Stocks Pay: Study, Vancouver Sun, April 10, 2007
Dale, Arden: Divining the Future of Fund Returns, The Wall Street Journal, March 22,
2006
Dale, Arden: New Gauge of Mutual-Fund Winners Offered in Study, Dow Jones News
Wire, March 21, 2006
Braham, Lewis: Is Your Manager Earning His Keep?, Business Week, March 20, 2006
Hulbert, Mark: Picking A Good Fund Just Got A Lot Easier, International Herald
Tribune, January 8, 2006
Hulbert, Mark: Strategies: A Fund vs. Its Former Self, New York Times, January 8, 2006
Srinivasa-Raghavan, T: 2 Ways To Reduce Your Knowledge Gap, Rediff.com,
November 18, 2005
Coleman, Murray: Don t Count Growth: Down And Out, Investor s Business Daily,
February 10, 2005
Kim, Jane J: For Portfolios, Simple May Be Best. Research Finds Investors Fare Better by
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Purchasing A Few Stocks They Know. The Wall Street Journal, December 9, 2004, p. D2
Norton, Charles L: The Dangers of Overdiversification TheStreet.com, June 28, 2004
Swarts, Will: Stock-Picking Takes Concentration. TheStreet.com, April 26, 2004
Brewster, Deborah: Study Debunks Diversity Dogma: Portfolio Concentration. Financial
Times, April 19, 2004, p.24
Hulbert, Mark: Diversify! Diversify! Well, Not So Fast. New York Times, April 11, 2004
French, Kristen: Skilled Fund Managers Don t Diversify Says Study. Financial Planning
Magazine, November 26, 2003
Coleman, Murray: Focused Funds Go Further. Investors Business Daily, November 25,
2003
Updated: January, 2013
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