UCSD - The Graduate School of International Relations and Pacific Studies

Alex Kane
Professor of Finance and Economics

UCSD, IR/PS, 9500 Gilman Drive,
La Jolla, CA 92093-0519
Office #1409

Phone: (858) 534-5969
Fax (858) 534-3939
Email: akane@ucsd.edu

CURRICULUM VITAE
Academic Degrees
Stern Graduate School of Business, New York University, Ph.D., Finance and Economics, 1980

Hebrew University, Graduate School of Management, MBA, Finance, 1973

Hebrew University, Faculty of Social Sciences BA, Economics and Statistics, 1970

Academic Appointments
1987-present, Professor, Graduate School of International Relations and Pacific Studies, University of California, San Diego

1998-2000, Visiting Professor, John Anderson Graduate School of Management, University of California, Los Angeles

1994, Visiting Professor, Harvard University, Graduate School of Business and John F. Kennedy School of Government

1991, Yamaichi Visiting Professor of Finance, Tokyo University

1989-1992, Research Associate, National Bureau of Economic Research

1984-1989, Faculty Research Fellow, National Bureau of Economic Research

1983-1987, Associate Professor, Boston University, School of Management

1978-1983, Assistant Professor, Boston University, School of Management

Affiliations
American Economic Association
American Finance Association
Academy of International Business
American Law and Economics Association

Published Papers and Book Chapters
Regularities in Volatility and the Price of Risk Following Large Stock Market Movements in the U.S. and Japan, with Bruce N. Lehmann and Robert E. Trippi, Journal of International Money and Finance , February 2000.

Valuation of Security Analysis, with Alan Marcus and Robert Trippi, Journal of Portfolio Management , Spring 1999

Index-Options Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts, with Robert F. Engle and Jaesun Noh, Review of Derivatives Research , 1,139-157(1997)

The P/E Multiple and Market Volatility(**), with Alan J. Marcus and Jaesun Noh, The Financial Analyst Journal , July-August, 1996

Forecasting Volatility and Option Prices of the S&P500 Index, with Robert F. Engle and Jaesun Noh, Journal of Derivatives , Vol. 2#1,Fall 1994
Reprinted in : ARCH Selected Readings: Advanced Texts in Econometrics, Oxford University Press , 1995
Reprinted in : Economic Forecasting, The International Library of Critical Writings in Economics series, Terence C. Mills, editor, Edward Elgar Publishing, UK , August 1999.

The Trading Cost Premium in Capital Asset Returns--A Closed Form Solution, Journal of Banking and Finance , 18 (1994) 1177-1183.

Arbitrage Valuation of Variance Forecasts with Simulated Options, with R. F. Engle, J. Noh and T. Hong. Advances in Futures and Options Research, Vol.6,1993

Measuring Risk Aversion from Excess Returns on a Stock Index, with Ray Chou and Robert F. Engle, Journal of Econometrics, 52 (1992) 201-224

Active Portfolio Management, New Palgrave , Stockton Press, New York, 1992.

The Delivery of Market Timing Services: Newsletters vs. Market Timing Funds, with S. Marks, Journal of Financial Intermediation 1, 150-166 (1990)

Performance Evaluation of Market Timers, with Stephen G. Marks, Journal of Financial and Quantitative Analysis , December 1988

On the Delivery Option in Forward Contracts: A Note, with Alan J. Marcus, Journal of Financial and Quantitative Analysis , September 1988

The Rocking Horse Analyst: Analysis of Market Timing with an Application to Money Market Funds, with Stephen G. Marks, Journal of Portfolio Management , Spring 1987

Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond Futures Market, with Alan J. Marcus, Journal of Finance , March 1986

The Quality Option in the Treasury Bond Futures Markets: An Empirical Assessment, with Alan J Marcus, Journal of Futures Markets , Summer 1986

Risk and the Required Returns on Debt and Equity, with Zvi Bodie and Robert L. McDonald, in Capital Formation in the U.S. Economy , Benjamin Friedman (ed), University of Chicago Press, 1986

Debt Policy and the Rate of Return Premium to Leverage, with Alan J. Marcus and Robert L. McDonald, Journal of Financial and Quantitative Analysis , December 1985

Inflation and the Role of Bonds in Investors Portfolios, with Zvi Bodie and Robert L. McDonald, in Corporate Capital Structure in the U.S. , Benjamin Friedman (ed), University of Chicago Press, 1985

Earnings and Dividend Announcements: Is There a Corroboration Effect?, with Young Ki Lee and Alan J. Marcus, Journal of Finance , September 1984

How Big Is the Tax Advantage to Debt?, with Alan J. Marcus and Robert L. McDonald, Journal of Finance , July 1984

Conversion Factor Risk and Hedging in the Treasury Bond Futures Market, with Alan J. Marcus, Journal of Futures Markets , Spring 1984

Why Haven't Nominal Rates Declined?(*), with Zvi Bodie and Robert L. McDonald, Financial Analyst Journal , March-April 1984

Coins--Anatomy of a Fad asset, Journal of Portfolio Management , Spring 1984

Tests of the Fisher Hypothesis with International Data, with Leonard Rosenthal and Greta Ljung, Journal of Finance , May 1983

International Interest Rates and Inflationary Expectations, with Leonard Rosenthal, Journal of International Money and Finance , April 1982

Skewness Preference and Portfolio Choice, Journal of Financial and Quantitative Analysis , March 1982

Texts Investments, with Zvi Bodie and Alan J. Marcus, Irwin , 5th edition, 2002

Essentials of Investments, with Zvi Bodie and Alan J. Marcus, Irwin , 4th edition, 2001

(**) Winner of the Grahm-Dodd award for the outstanding feature article in the Financial Analyst Journal , 1996
(*) Winner of the Grahm-Dodd award for the outstanding feature article in the Financial Analyst Journal , 1984