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My New Textbook (published December 2012)
Daniel, Grinblatt, Titman, and Wermers (DGTW; 1997) Characteristic-Based Benchmarks for U.S. Stocks
Welcome to my home page! I joined the faculty at The University of Maryland in August, 2000. A brief professional biography follows (a more complete background is available through my curriculum vitae).
Russ Wermers is Professor of Finance and Director of the Center for Financial Policy (CFP) at the Smith School of Business, University of Maryland at College Park, where he won a campus-wide teaching award during 2005 and a Krowe Teaching Award (within the Smith Business School) during 2013. As Director, Professor Wermers guides the CFP in its mission of generating research that informs financial policy in the private and public sectors. His main research interests include studies of the efficiency of securities markets, as well as the role of institutional investors in setting stock prices. In addition, he studies and teaches quantitative equity strategies, and is currently researching microfinance institutions in Thailand. Most notably, his past research has developed new approaches to measuring and attributing the performance of mutual funds, pension funds, and hedge funds, which, among other applications, can be used to identify superior active funds. Professor Wermers also studies the investment behavior of these asset managers, as well as the impact of their trades on financial markets. His papers have been published in leading scholarly journals, such as The American Economic Review and The Journal of Finance. His article on mutual fund “herding” and stock prices (Journal of Finance, 1999) won the NYSE Award for the Best Paper on Equity Trading in 1995. His coauthored article on mutual fund performance was a finalist for the Smith-Breeden Award for the Best Paper in the Journal of Finance during 2006/2007. His coauthored article on the use of FOIA requests by hedge funds to buy pharmaceutical stocks won the 2nd Place "Paper of the Year" Award from the Review of Financial Studies in 2017. Professor Wermers consults for the hedge fund, pension fund, and mutual fund industries. He is coauthor of a book on the latest scientific approaches to performance evaluation and attribution of professional fund managers, written for academics and practitioners (published in December 2012). He received his Ph.D. from the University of California, Los Angeles, in December 1995.
Research: My current research interests include studies of money market mutual funds, microfinance, industrial organization of asset management, stock-selection signals, hedge fund flows, hedge fund risk measurement, mutual fund performance measurement, the impact of mutual funds on stock markets, and empirical tests of the efficiency of stock markets.
| Publication Title | Publication Status | Last Update | |
| Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior (with Mark Grinblatt and Sheridan Titman) | American Economic Review, December 1995 | Published | |
| Measuring Mutual Fund Performance with Characteristic Based Benchmarks (with Kent Daniel, Mark Grinblatt, and Sheridan Titman) | Journal of Finance, July 1997 | Published | |
| Mutual Fund Herding and the Impact on Stock Prices (formerly "Herding, Trade Reversals, and Cascading by Institutional Investors") | Journal of Finance, April 1999 | Published | |
| The
Value of Active Mutual Fund Management:
An Examination of the Stockholdings and Trades of Fund Managers (with Hsiu-Lang Chen and Narasimhan Jegadeesh) |
Journal of Financial and Quantitative Analysis, September 2000 | Published | |
| Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs, and Expenses | Journal of Finance, August 2000 | Published | |
| The Potential Effects of More Frequent Portfolio Disclosure on Mutual Fund Performance | Perspective, The Investment Company Institute (Supports a Policy Recommendation to the SEC on Fund Disclosure) | Published | |
| Investing in Mutual Funds When Returns Are Predictable (with Doron Avramov) | Journal of Financial Economics, August 2006 | Published | |
| Can Mutual Fund "Stars" Really Pick Stocks? New Evidence from a Bootstrap Analysis (with Robert Kosowski, Allan Timmermann, and Hal White) | Journal of Finance (Lead Article), December 2006 | Published | |
| Performance Evaluation with Portfolio Holdings Information | North American Journal of Economics and Finance, August 2006 | Published | |
| False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas (with Laurent Barras and Olivier Scaillet) | Journal of Finance, February 2010 | Published | |
| Active Management in Mostly Efficient Markets (with Robert Jones) | Financial Analysts Journal, November/December 2011 | Published | |
| Performance Measurement of Mutual Funds, Hedge Funds, and Institutional Accounts | Annual Review of Financial Economics, December 2011 | Published | |
| Forecasting Stock Returns through An Efficient Aggregation of Mutual Fund Holdings (with Tong Yao and Jane Zhao) | Review of Financial Studies, December 2012 | Published | |
| Performance Evaluation and Attribution of Security Portfolios (with Bernd Fischer) | Elsevier Press (Textbook), December 2012 | Published | |
| Monitoring Daily Hedge Fund Performance with Monthly Data (with Daniel Li and Michael Markov) | Journal of Investment Consulting, Spring 2013 | Published | |
| The Performance of European Equity Mutual Funds (with Ayelen Banegas, Ben Gillen, and Allan Timmermann) | Journal of Financial Economics, June 2013 | Published | |
| Decentralized Investment Management: Evidence from the Pension Fund Industry (with David Blake, Alberto Rossi, Allan Timmermann, and Ian Tonks) | Journal of Finance, June 2013 | Published | |
| Analyst Recommendations, Mutual Fund Herding, and Overreaction in Stock Prices (with Nerissa Brown and Kelsey Wei) | Management Science (Lead Article), January 2014 | Published | |
| Mutual Fund Performance Evaluation with Active Peer Benchmarks (formerly Endogenous Benchmarks; with David Hunter, Eugene Kandel, and Shmuel Kandel) | Journal of Financial Economics (Lead Article), April 2014 | Published | |
| Uncommon Value: The Investment Performance of Contrarian Funds (with Kelsey Wei and Tong Yao) | Management Science, October 2015 | Published | |
| Decentralization in Pension Fund Management (with David Blake, Alberto Rossi, Allan Timmermann, and Ian Tonks) | Journal of Investment Management, 2015 | Published | |
| Runs on Money Market Mutual Funds (with Lawrence Schmidt and Allan Timmermann) | American Economic Review, 2016 | Published | |
| Managerial Rents vs. Shareholder Value in Delegated Portfolio Management: The Case of Closed-End Funds (with Youchang Wu and Josef Zechner) | Review of Financial Studies, 2016 | Published | |
| The Freedom of Information Act and the Race Toward Information Acquisition (with Alberto Rossi and Antonio Gargano) | Review of Financial Studies, 2016 | Published | |
| Seasonal Asset Allocation: Evidence from Mutual Fund Flows (with Mark Kamstra and Lisa Kramer) | Journal of Financial and Quantitative Analysis, 2017 | Published | |
| Network Centrality and Delegated Investment Performance (with David Blake, Alberto Rossi, Allan Timmermann, and Ian Tonks) | Journal of Financial Economics, 2018 | Published | |
| Momentum Investment Strategies of Mutual Funds, Performance Persistence, and Survivorship Bias | Working Paper | March 1997 | |
| Patterns of Coauthorship and Research Productivity in Finance Academia (with J. Chris Leach, Ronald Melicher, and Michael Oswald) | Working Paper | February 2000 | |
| Is Money Really "Smart"? New Evidence on the Relation Between Mutual Fund Flows, Manager Behavior, and Performance Persistence | Working Paper | November 2003 | |
| Are Mutual Fund Shareholders Compensated for Active Management "Bets"? | Working Paper | March 2003 | |
| Mutual Fund Performance and Governance Structure: The Role of Portfolio Managers and Boards of Directors (with Bill Ding) |
Working Paper | November 2009 | |
| Share Restrictions and Investor Flows in the Hedge Fund Industry (with Mila Getmansky, Bing Liang, and Chris Schwarz) | Working Paper | November 2009 | |
| A Matter of Style: The Causes and Consequences of Style Drift in Institutional Portfolios | Working Paper | March 2012 | |
| Managerial Rents vs. Shareholder Value in Delegated Portfolio Management: The Case of Closed-End Funds | Working Paper | February 2013 | |
Teaching: I teach at the undergraduate, MBA, Ph.D., and Executive Education levels as follows. If the course is highlighted in blue, then the syllabus is available for on-line viewing! Please click on the appropriate course to view the course syllabus.
| Course Number | Course Title | Academic Level/Dates Taught |
| FNCE 4030 (Colorado) | Investments | Undergraduate/Fall 1994, Spring 1995-2000 |
| FNCE 4820 (Colorado) | Seminar in Investment Management | Undergraduate/Spring 2000 |
| MBAF 6200 (Colorado) | Advanced Corporate Finance | MBA/Fall 1995, 1996 |
| FNCE 7100 (Colorado) | Finance Theory | Doctoral/Spring 1999 |
| FNCE 7200 (Colorado) | Empirical Research Methods | Doctoral/Spring 1996, Fall 1997 |
| BUFN 702 | Applied Security Analysis and Portfolio Management | MBA/Fall 2000, Spring 2001 |
| BMGT 343 | Investments | Undergraduate/Spring: 2004-2011 |
| BMGT 448C | Advanced Portfolio Management | Undergraduate/Spring: 2010- |
| BUFN 763 (formerly 700) | Investment Management | MBA/Spring: 2002- |
| BUFN 764 (formerly 758Q) | Quantitative Investment Strategy | MBA/Spring: 2010- |
| Executive Education (FAME Institute, Geneva) | Performance Evaluation and Attribution | Executives/Fall: 2001-2006 |
Resource page for "Investments" (FNCE 4030) Undergraduate Students.
Resource page for "Seminar in Investment Management" (FNCE 4820) Undergraduate Students.
Resource page for "Finance Theory" (FNCE 7100) for Finance and Accounting Ph.D. Students.
Bull or Bear: Where Will the Year End? Check the Stock Market Today By Clicking Here!
My MOSAIC of Useful Web Sites!
Media Sources:
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Mutual Fund and Hedge Fund Sites:
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Economic
Information Systems
(free Economic data, such as flow of funds, labor statistics, etc.) |
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| Ticker Symbol Lookup !!! | |||||||||
Academic Sites:
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| THE ULTIMATE WHITE PAGES |  |
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You are visitor number:
Click to send me an e-mail message:
rwermers@rhsmith.umd.edu
