DEGREES
Ph.D., Oct 1988, University of Illinois at Urbana-Champaign, Economics("Three Essays in International Macroeconomics"; Stephen J. Turnovsky)
M.A., Oct 1985, University of Illinois at Urbana-Champaign, Economics
Bacharel, Aug 1984, University of Sao Paulo, Economics

FIELDS OF SPECIALIZATION
Economic and Financial Models and Empirics, Uncertainty Methods in Economics and Finance, Applied Time Series Analysis, Monetary and Fiscal Aspects of International Economics and Trade.

CURRENT POSITION
Professor of Economics, Department of Economics, Tufts University, 2014 - Present.

PAST POSITIONS
Associate and Assistant Professor of Economics, Department of Economics, Tufts University; 1989-2014.
Visiting Assistant Professor of Economics, Department of Economics, University of Washington, Seattle, 1989.

ACADEMIC PUBLICATIONS

Journal Articles

"Trade Policy Uncertainty and Stock Returns," joint with Federico Esposito and Marco Sammon; Journal of International Money and Finance, 119, December (2021), pdf. And @Econbrowser, May 2020.

"Evaluating the Instantaneous and Medium-Run Impact of Mergers and Acquisitions on Firm Values," joint with Chih Ming Tan; International Review of Economics and Finance, 59 (2019) 71-87.pdf.

"Valuation of the Worldwide Commodities Sector: The Role of Market-To-Book and Return on Equity" joint with Joe A. Yoshino; Studies in Economics and Finance, Vol. 34 No. 4, (2017), pp. 555-579. Outstanding Research Paper in the 2018 Emerald Literati Awards.pdf.

"Higher Moment Exchange Rate Exposure of S&P500 Firms," joint with Zhe Jerry Cai; North American Journal of Economics and Finance; 42, 513-530 (2017).pdf.

"Firm Value, Investment and Monetary Policy," joint with Joe A. Yoshino; revised version, December 2015; International Journal of Accounting and Finance, 5(3), 262-289 (2015).pdf.

"Determinants of Systemic Risk and Information Dissemination" joint with Xiaxin Hua and Chih Ming Tan; International Review of Economics and Finance; 38, 352-368 (2015).pdf.

"Implied Volatility and the Risk-Free Rate of Return in Options Markets" joint with Scott MacLachlan and Marco Sammon; North American Journal of Economics and Finance; 31,1-26 (2015).pdf.

"Empirical Estimation of the Cost of Equity: An Application to Selected Brazilian Utilities Companies" joint with Joe A. Yoshino; Review of Economics & Finance, 5(1), 1-21 (2015).pdf. Extended version @SSRN.

"Risk Factors and Value at Risk in Publicly Traded Companies of the Nonrenewable Energy Sector" joint with Joe A. Yoshino; Energy Economics, 45, 19-32 (2014). pdf. Reviewed @Chicago Policy Review, September 3, 2013: What Drives Oil and Gas Company Stock Prices?

"Intertemporal Budget Policies and Macroeconomic Adjustment in Indebted Open Economies," joint with Walter H. Fisher; Review of International Economics, 22(1), 116-130, February 2014.pdf.

"BRIC and the U.S. Financial Crisis: An Empirical Investigation of Stocks and Bonds Markets," joint with Joe A. Yoshino and Mariana O. Machado de Sousa. Emerging Markets Review, 14 (2013) 76-109; pdf. Certificate for Highly Cited Research, Elsevier; awarded January 2017.

"Firm Value, the Sarbanes-Oxley Act and Cross-Listing in the US, Germany and Hong Kong Destinations," (joint with Richard Chen and Joe A. Yoshino). North American Journal of Economics and Finance, 24 (2013) 25-44;pdf.

"House Price Indexes and Cyclical Behavior," (joint with Joe A. Yoshino) International Journal of Housing Markets and Analysis, 06, 1, 2013; pdf.

"Firm Market Performance and Volatility in a National Real Estate Sector," (joint with Joe A. Yoshino) International Review of Economics and Finance, 22, 230-253, 2012.

"Transfer Programs under Alternative Insurance Schemes and Liquidity Constraints," Journal of International Trade and Economic Development; Volume 20, Issue 2, 2011, Pages 175 - 197.

"Cross-listing Premium in the US and the UK Destination," (with Liang Tan), International Review of Economics and Finance; 19, 244-259, 2010 PDF file.

"Heterogeneity, Adverse Selection and Valuation with Endogenous Labor Supply,"International Review of Economics and Finance., 17, 113-126, 2008.

"The Welfare Gains from Stabilization in a Stochastically Growing Economy with Idiosyncratic Shocks and Flexible Labor Supply," (with Stephen J. Turnovsky) Macroeconomic Dynamics, 9, 321-357, 2005.

"Intertemporal Budget Policies and Macroeconomic Adjustment in a Small Open Economy," (with Walter H. Fisher) Journal of International Money and Finance, 24, 1-17, February 2005.

"Private Information, Growth and Asset Prices with Stochastic Disturbances," International Review of Economics and Finance, 12, 1-24 (2003).

"Fiscal Policy and the Terms of Trade in an Analytical Two-Country Dynamic Model," International Tax and Public Finance 10, 25-41 (2003).

"Heterogeneity, Efficiency and Asset Allocation with Endogenous Labor Supply: The Static Case,"The Manchester School, 69(3), June 2001, 253-268.

"Optimal Fiscal Policy in a Dynamic Multi-Country World with Public Services," (with Theodore Palivos)Pacific Economic Review, 6(2), June 2001, 269-286; pdf.

"The Effects of Alternative Fiscal Policies on the Intertemporal Government Budget Constraint," International Review of Economics and Finance ; 9(1), 2000, pages 31-52; (#6 of Top 10 Requested Papers in Year 2000 of IREF).

"A Dynamic Monetary Model With Costly Foreign Currency," Journal of International Trade and Economic Development, 8(4), 1999, pages 321-342; pdf.

"Intertemporal Budget Policies in an Endogenous Growth Model with Nominal Assets," International Review of Economics and Finance, 8(1), 1999, 25-43; pdf.

"International Effects of Government Expenditure in Interdependent Economies" (with Stephen J. Turnovsky), Canadian Journal of Economics, 30, 1, Feb 1997, 57-84.pdf.

"Price Controls in a Simple Competitive Monetary Model of a Small Open Economy" (with Kar-Yiu Wong), Journal of Economic Integration, 11(1), March 1996, 47-71.

"Inflation and the Real Price of Equities: Theory with Some Empirical Evidence," Journal of Macroeconomics, 17, Summer 1995, 495-514.pdf.

"On Dynamic Real Trade Models," Economics Letters, 47, January 1995, 47-52.pdf.

"Fiscal Policy in a Simple Two-country Dynamic Model," Journal of Economic Dynamics and Control, 19, January 1995, 395-419.pdf.

"A Note on Liquidity, Uncertainty, and Stock Prices," International Review of Economics and Finance, 3, December 1994, 457-468.

"Dividend and Monetary Policy and the Differential Tax Treatment of Capital Gains in a Two-Country World," Journal of Economic Integration, 9, December 1994, 502-524.

"On Perfect Foresight and Uncertainty in Economic Models: Two Monetary Examples," Journal of Macroeconomics, 15, Winter 1993, 153-163.

"Monetary Growth Innovations in a Simple Cash-in-Advance Asset-Pricing Model,">European Economic Review, 36, December 1992, 1501-1522.pdf.

"The International Transmission of Tax Policies in a Dynamic World Economy," (with Stephen J. Turnovsky), Review of International Economics, 1, November 1992, 49-72.

"Monetary Growth Volatility and Asset Prices in a Two-Country Cash-in-Advance Model," Journal of International Economic Integration, 7, Spring, 1992, 80-101.

"Variable Markup in a Small Open Economy with Inflation," Metroeconomica, Vol 42, No. 2, 1991, 137-156.

"Temporary Monetary and Fiscal Policy in an Optimizing Model of Exchange Rate Determination," Journal of Macroeconomics, 13, Winter, 1991, 97-115.

In Portuguese:

"Determinantes do endividamento e regulacao economica: Uma analise das firmas brasileiras de infraestrutura reguladas." ("Determinants of Debt and Economic Regulation: An Analysis of Regulated Infrastructure Brazilian Firms," joint with Francisco Anuatti Neto, Dario Alexandre Guerrero and Joe Akira Yoshino) Revista Foco Interdisciplinary Studies, 15(1), e0297. https://doi.org/10.54751/revistafoco.v15n1-015, August 2022. pdf.

In Spanish:

"An Expository Note on the Transversality Condition in Continuous Time Dynamic Economic Models." Spanish translation in Estudios Economicos de El Colegio de Mexico, 6(2), 1991, 287-297.

"Monetary Policy and Flexible Markup in a Small Open Economy with Inflation: Dynamic and Strategic Considerations." Spanish translation in Estudios Economicos de El Colegio de Mexico, 3(2), 1989, 201-235.

Book Chapters

"Environmental Concerns and the Cost of Equity in the U.S. Energy Sector," with Xue Wang. In Handbook of Energy Finance: Theories, Practices and Simulations; S. Goutte and D.K. Nguyen, Editors, World Scientific Publishing Co., Ch. 22, pp 509-550, March 2020. Handbook.

"Energy Sector Companies of the BRICS: Systematic and Specific Financial Risks and Value at Risk" (joint with Joe A. Yoshino). In Emerging Markets and the Global Economy: A Handbook; Mohamed Arouri, Sabri Boubaker and Duc K. Nguyen, Editors. Elsevier-Academic Press, Amsterdam. Chapter 10 (2014), 201-240. Handbook.

"U.S. Government Expenditure Policy in the 1980's: Internal and External Repercussions" (joint with Stephen J. Turnovsky). In Yukio Nogushi and Kozo Yamamura, Editors, U.S-Japan Macroeconomic Relations: Interactions and Interdependence in the 1980s, Chapter 7, pages 222-262, The University of Washington Press, November 1996 (Japanese translation of the volume by Nihon Keizai Shimbun Press, Japan, Chapter 7, pages 213-255, November 1996).

"Strategic Wages Policy and the Gains from Cooperation," (with Stephen J. Turnovsky). In Dynamic Policy Games in Economics; Frederick van der Ploeg and Art de Zeeuw, Editors, Series Contributions to Economic Analysis No. 181, North-Holland, Amsterdam, 1989, 191-222.

In Portuguese:

"Yardstick Competition and Consumer Welfare," with Joe A. Yoshino (In Portuguese). In Infraestrutura no Brasil: Regulacao, Financiamento e Modelagem Contratual. Eduardo Contani and Jose Savoia, Editors. Editora Atlas, Sao Paulo, BR. Chapter 10 (2017), 195-235.

BOOKS

[2] Financial Economics, Risk and Information. Second Edition. World Scientific Publishing Co., River Edge, NJ, November 2011 (500 pages).

[1] Financial Economics, Risk and Information: An Introduction to Methods and Models. World Scientific Publishing Co., River Edge, NJ, 2003 (530 pages).

"Trade Policy Uncertainty and Stock Returns," draft with Federico Esposito and Marco Sammon; NASMES, Seattle July 2019; MMF50, LSE, London, 4-6 September 2019; ASSA-AEA Meetings (IEFS), San Diego, 3-5 January 2020. EFA, April 2021.

"Alpha Returns in Publicly Traded Wine and Spirit Companies Worldwide," at Free University of Bozen-Bolzano (Unibz, IT), Economics, October 31, 2017. Joint draft with Gunter Schamel and Stefan Franz Schubert, presented at AAWE, Cornell University, June 12, 2018.

"Evaluating the Instantaneous and Medium-Run Impact of Mergers and Acquisitions on Firm Values," with Chih Ming Tan, at Universidade Nova de Lisboa, New School of Business and Economics (PT), October 27, 2017.

"Pricing Dollar Strength Risk," joint with Marco Sammon, at Fordham University, Economics, Mar 28, 2017.

"Higher Moment Exchange Rate Exposure of S&P500 Firms" Eastern Economics Association meetings, NYC, Feb 23, 2017; at SBFin PUC-Rio de Janeiro, Jul 14-16, 2016.

OTHER SELECTED PROFESSIONAL ACTIVITIES

Department Chair, 2021 - Present.

Ad Interim Department Chair, January-June 2019.

Director, Graduate Program in Economics, Department of Economics, Tufts University; Autumn 2005-August 2010.

Visiting Associate Professor, FEA Economics-FIPE-USP, Fall 2010.

"The Massachusetts Fisheries Industry: Economic Impact, Effects of Regulation, and the Value to the Community," Co-PI with Brett M. Baden: Sponsored by the Massachusetts Fisheries Recovery Commission, February-June 2006.

Program Chair: IEFS Sessions at IEFS-ASSA-AEA - January 2003, Washington, DC, IEFS-ASSA-AEA - January 2002, Atlanta; IEFS-ASSA-AEA January 2001, New Orleans.

Executive Secretary of the International Economics and Finance Society (IEFS) - Elected 01/18/2000, January 2000-January 2003.

REFEREE FOR PROFESSIONAL JOURNALS (More than 20 journals) AND EDITORIAL PARTICIPATION

International Review of Economics and Finance, Associate Editor, Oct 2002-present; Review of International Economics, Member of Editorial Council, Jan 1997-present; Estudos Economicos (Economic Studies), Associate Editor, Jan 2011-Dec 2011.

Book manuscript reviewer: Oxford University Press, John Wiley&Sons, Routledge Publishers, World Scientific, Cambridge University Press; Wiley-Blackwell; Book reviewer for development of new editions: McGraw Hill Book Co., Pearson.

Principles of Macroeconomics(EC2); Intermediate Macroeconomics(EC12); Statistics (EC13); Basic Econometrics (EC15); Intermediate Quantitative Macroeconomics(EC18); International Economics(EC60); Economics of the European Community(EC60T); Mathematics for Economists(EC105); Econometrics(EC107); Time Series Analysis(Applications of Econometrics)(EC108); Uncertainty Methods in Economics and Finance(EC154); Graduate Math Camp; Mathematical Statistics(EC201); Econometrics(Ec202); Macroeconomic Theory I(EC205); Macroeconomic Theory II(EC206); Applied Econometrics (EC207).

THESIS ADVISING AT TUFTS UNIVERSITY

MASTERS:
Qi Peng: "The Relationship Between Financial Literacy and Household's Saving Rate." May 2023.
Taowen Hu: "The Relationship Between Social Media, Short Interest, and Firm Value." August 2022.
Ge Zhao: "How Does Retirement Affect Health: Evidence from China Health and Retirement Longitudinal Study." May 2022.
Ting-Yao (Ethan) Yan: "Interest on Excess Reserves and Monetary Policy Outcomes: U.S. and International Experiences." May 2021.
Hyunna Joanne Nam: "Listings and Delistings: Spillovers to Firm Value." August 2020.
Bao Vinh Nguyen: "Does Market Concentration Impact The Value Of The Firm And Investment Through Tobin’s Q?" May 2020.
Xuan Tao: "The Impact of Tariffs on Asset Returns in the New U.S. Trade Policy Framework," May 2019.
Zhirou Shi: "Effects of Mergers and Acquisitions on Corporation Valuation," May 2018.
Siyuan He: "Inelastic housing supply and inter-regional migration," May 2018.
Xue Wang: "Environmental Concerns and Stock Returns in the Energy Sector," August 2017.
Keshi Shen: "Entry and Exit Decisions in an Equilibrium Model Under Stochastic Shocks," April 2016.
Naijia Zhang: "The Effect of the Target Security Breach on Asset Prices and Performance," August 2015.
Taosha Wang: "Capital Structure, Debt Tax Shield and Firm Value: A Propensity Score Matching Approach," May 2015.
Xiaozhou Ding: "Monetary Policy and Lending Distorions in China," May 2015.
Rohit Gangvani: "Board Interlocks and their Effects on Firm Performance," May 2015 (Co-chair with Sahar Parsa).
Zhe Cai: "Higher Moments Exchange Rate Exposure: Evidence from U.S. Large-cap Firms," May 2014.
Xiaoyu Cao: "The Choice and Effect of Real Time Data," May 2014.
Subhajit Ghosh: "Estimating an Augmented Money Demand Function," May 2014.
Xirong Lin: "Synchronization of Firm Returns across Countries and Sectors," May 2014.
Yuan Wang: "Mergers and Acquisitions and the Valuation of Firms," August 2014.
Kunal Kamra: "Early Warning Determinants of Sovereign Debt Crises: Evidence from a Panel of Emerging Markets." May 2013.
Fan Zhao: "The Transmission of U.S. Subprime Crisis to Emerging Markets." June 2010.
Alexander J. Oliver: "A Model of the Military-Industrial Complex." April 2009 (co-chair with Enrico Spolaore)
Richard Chen: "The Cross-Listing Decision: Analyzing Sarbanes-Oxley's Effect on the U.S. Financial Market." April 2008.
Kaipin Shan: "Essays on Labor Markets." April 2007 (co-chair with Yannis Ioannides).
Liang Tan: "Essays on Firm's Advertising and Financing Strategies." April 2006 (co-chair with Lynne Pepall).
Jeffrey Markowitz: "Contagion and Sovereign Debt: A Case Study of Argentina and Brazil from 1996 to 2004." April 2005.

HONORS THESIS:
Jacob Solomon Ryan: "The Sensitivity of Firms' Proprietary Program Trading to Financial News Article Sentiment About the Volcker Rule," May 2019.
Giorgi Nikolaishivili: "The Dynamics of Noisy Information Acquisition in Financial Markets," May 2019.
Julian Goldhill: "The Effects of Colorado's Recreational Cannabis Industry on Colorado Gambling: An Empirical Approach," May 2019.
Beatriz Nallar Gutierrez: "The Impact of Commodity Prices on Bolivian Employment," May 2016.
Hansen Yang: "An Empirical Estimation of the Cost of Capital for Energy Companies," May 2016.
Marco Sammon: "Does the Market Beat Midas Conditional on Federal Reserve Policy? May 2013 (co-chair with Scott MacLachlan, Mathematics); Winner of the Linda Datcher-Loury Award, 2013.
Groom Dinkneh: "The Prison Boom: Prison Population Growth, Location Decisions and the Effect on Local Economic Development from 1990-2010?" May 2013.
Sean Hirata: "Government Inside Information and Debt Signaling: Evidence from Consumer and Business Confidence." Autumn 2012-Spring 2013 (co-chair with Daniel Richards).
Syed Asad Badruddin: "How Mood Swings Affect Stock Markets: Looking at Footprints in Social Media." May 2012.
Ross Karpman: "Successful Online Dating: Does Size Matter?" May 2007 (co-chair with George Norman).
David Steen: "Using CAPM to Model Sovereign Spreads: A Case Study of Argentine Brady Bonds between 1996 and 2004." May 2005.
JunHo Bae: "Lemon Shaped Diamonds: An Adverse Selection in the Diamond Market." May 2003.
John Tilney: "Noise in the Premium: An Analysis of the Effect of Noise Trading on Models Describing the Equity Premium." May 2001.
Ben Tarlow: "Exchange Rates, Interest Rates, and Velocity: A Multiple Cointegration Study." May 1997.

A full detailed vita is available upon request.

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