- Faculty - Finance
|F2014 - FNCE 745 - Futures And Options|
|W2015 - FNCE 467 - Financial Risk Management|
|W2015 - FNCE 745 - Futures And Options|
|W2015 - FNCE 767 - Financial Risk Management|
Alexander David, PhD, is a professor of finance at the Haskayne School of Business. He has taught classes in financial risk management, advanced corporate finance, options and futures, investments, and asset pricing in the undergraduate, MBA, Executive MBA, and PhD programs.
His research focuses on the modeling of changing investors’ uncertainty about the state of economic fundamentals and their impact on asset prices. He has not only constructed structural models of changing uncertainty, but has also estimated these models structurally providing new methodologies for the joint estimation of the parameters of asset prices, volatilities, and fundamentals of the economy.
Using a learning framework first introduced to the finance literature in his PhD dissertation to provide an economic foundation for the volatility persistence in GARCH models.
Generalizing classic pricing models for the pricing of options and defaultable bonds, replacing volatility as the key state variable by investors' uncertainty. This feature provides an equilibrium analysis of time variation in options implied volatility curves and a resolution of the Credit Spreads Puzzle.
Developing a new methodology for understanding the relation between valuations and volatilities of stocks and Treasury Bonds, forecasting recessions and volatilities at long horizons, and explaining when Treasury bonds are a safe haven for guarding against turbulence in stocks markets.
Understanding the relationship between investors’ uncertainty and Central Banks’ monetary policy
Showing that investors' learning and speculation on the state of economic fundamentals explains why the cost of equity capital is so high for corporations (the Equity Premium Puzzle)
Since moving to Calgary, Alex has developed a research program in the area of energy finance. In particular, he has provided a new modeling framework that shows the strong link between the slope of the futures curve and long run exploration and production decisions of energy companies. His model sheds light on the puzzling change in the slope of the energy futures curve from negative to positive at the turn of the last century and the rapid buildup of new fields and infrastructure for oil and gas production since then.
Alex also studies the systemic implications of derivative contracts that are written between banks and, in particular, discusses why banks choose to be highly interconnected, and the role of renegotiation breakdowns between them in triggering off a chain of financial disruptions. This research is particularly relevant following the recent financial crisis.
Alex has published in leading journals, including the Journal of Political Economy, Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis, and Journal of Risk and Insurance. His research has been supported by the National Science Foundation in the United States, and the Social Science and Humanities Research Council in Canada. He is a member of the American Finance Association and regularly serves as a referee for the Journal of Finance and the Review of Financial Studies.
He has been recognized for his commendable scholarly contributions and excellence in teaching having received the Dean’s teaching award in 2007 and the Killam Resident Fellowship in 2008.
Alex joined the Haskayne School in July 2005. Prior to joining, he worked at the Federal Reserve Board in Washington DC as a staff economist for several years and was a faculty member at the Olin School of Business at Washington University in St. Louis. Alex obtained his BA (Honours) in economics from St. Stephen’s College at the University of Delhi and a PhD in economics from UCLA.
"What Ties Return Volatilities to Price Valuations and Fundamentals", with Pietro Veronesi, Journal of Political Economy, 2013
Investor and Central Bank Uncertainty Measures Embedded in Index Options, with Pietro Veronesi, Review of Financial Studies 2014 (Forthcoming)
Inflation Uncertainty, Asset Valuations, and the Credit Spreads, Puzzle, Review of Financial Studies, 2008.
Heterogeneous Beliefs, Speculation, and the Equity Premium, Journal of Finance, 2008.
Pricing the Strategic Value of Putable Securities in Liquidity Crisis, Journal of Financial Economics, 2001.
Fluctuating Confidence in Stock Markets: Implications for Returns and Volatilities, Journal of Financial and Quantitative Analysis, 1997.
Why are Banks Highly Interconnected?, with Alfred Lehar.
Exploration Activity, Long Run Decisions, and Roll Returns on Energy Futures.