Andrew Detzel, PhD, FRM

Publications

1. Model Comparison with Transaction Costs , with Robert Novy-Marx and Mihail Velikov, Journal of Finance, June 2023.

   • Link to replication code 

2. The Cross-Section of Volatility and Returns: Then and Now, with Jefferson Duarte, Avraham Kamara, Stephan Siegel, and Celine Sun, Critical Finance Review, forthcoming.

3. Do Limits to Arbitrage Explain the Benefits of Volatility-Managed Portfolios?, with Pedro Barroso, Journal of Financial Economics, June 2021.

4. Learning and Predictability via Technical Analysis: Evidence from Bitcoin and Stocks with Hard-to-Value Fundamentals, with Hong Liu, Guofu Zhou, Jack Strauss, and Yingzhi Zhu, Financial Management, March 2021.

5. Expected vs Ex-Post Profitability in the Cross-section of Industry Returns, with Philipp Schaberl and Jack Strauss, Financial Management, June 2019.

6. There are Two Very Different Accruals Anomalies, with Philipp Schaberl and Jack Strauss, European Financial Management, September 2018.  

   • Special Issue on Corporate Policies and Asset Prices edited by Lu Zhang. Acceptance rate of 7/150.

7. Combination Return Forecasts and Portfolio Allocation With the Cross-Section of Book-to-Market Ratios, with Jack Strauss, Review of Finance, August 2018.

   • This paper owes a special uncredited thanks to David Rapach for generously sharing code.

8. Monetary Policy Surprises, Investment Opportunities, and Asset Prices, Journal of Financial Research, September 2017.

   • Winner of Shmuel Kandel Award for best PhD Student Paper at Utah Winter Finance Conference.

9. The Asset Pricing Implications of Government Economic Policy Uncertainty, with Jonathan Brogaard, Management Science, January 2015.

Working Papers

1. The Volatility Puzzle of the Low-Risk Anomaly, with Pedro Barroso and Paulo Maio.
   Revise and resubmit, Journal of Financial Economics.

2. Practice what you Preach: Strategy Consistency and Mutual Fund Performance, with C. Thomas Howard.

Awards

1. Daniels College of Business Distinguished Scholar Award (2021)

2. Shmuel Kandel Award for an Outstanding Doctoral Student in Financial Economics at the Utah Winter Finance Conference (2015) 

Presentations

The Volatility Puzzle of the Low-Risk Anomaly

• CICF, Shanghai, July 2022

• Fourteenth Annual Risk Management Conference, July 2021

Model Comparison with Transaction Costs

• SFS Cavalcade, May 2021

• Adam Smith Asset Pricing Workshop, April, 2021 

• Federal Reserve Bank of Richmond*, February, 2021

• Australia National University, Canberra, November, 2020 (cancelled)

• University of Washington, August, 2020 (virtual)

• Financial Intermediation Research Society*, Budapest, May, 2020 (cancelled)

• University of New South Wales, Sydney, May, 2020 (cancelled)

• Midwest Finance Association, Chicago, August, 2020

• Northern Finance Association, Vancouver, BC, September 2019

Do Limits to Arbitrage Explain the Benefits of Volatility-Managed Portfolios

• Sydney Banking and Financial Stability Conference*, Sydney, December 2019

• Nanyang Technological University*, Singapore, July 2019

• Financial Management Association Europe*, Glasgow, June 2019

• Catolica Lisbon Business School*, Lisbon, December 2018

• ISEG*, Lisbon, September 2018

• Cass Business School*, London, July 2018

• Financial Management Association, San Diego, October 2018

• 12th Annual Meeting of the Portuguese Economic Journal*, Lisbon, July 2018

• University of Colorado Denver, Denver, CO, March 2018

Bitcoin: Predictability and Profitability by Technical Analysis

• Colorado State University, Fort Collins, CO, March 2019

• Federal Reserve Board, Washington, D.C., January 2019

• EUROFIDAI December Paris Finance Meetings*, Paris, December 2018

• 2018 Conference on Financial Predictability and Big Data*, Beijing, June 2018

• Shanghai University of Finance and Economics*, Shanghai, June 2018

• Renmin University of China*, Beijing, June 2018

• Beijing University, Beijing*, June 2018

• China Finance Review International Conference*, Shanghai, June 2018

• Washington University*, St. Louis, February 2018

Expected vs Ex Post Profitability in the Cross-section of Industry Returns

• American Accounting Association Western Region Meeting, Vancouver, WA, April, 2018

There are Two Very Different Accruals Anomalies

• Southern Finance Association, Key West, FL, November, 2017

• Financial Management Association, Boston, MA, October, 2017

• University of Colorado Denver Front Range Finance Seminar, Denver, CO, April, 2017

The Dog has Barked for a Long Time: Dividend Growth is Predictable

• 38th Internatial Symposium on Forecasting, Boulder, CO, June 2018

• Financial Management Association, Las Vegas, NV, October, 2016

• World Finance Conference, New York, NY, July, 2016

• University of Colorado Denver Front Range Finance Conference, Denver, CO, April, 2016

Monetary Policy Surprises, Investment Opportunities, and Asset Prices

• Blackrock, San Francisco, CA, January, 2016

• American Finance Association, San Francisco, CA, January, 2016

• EUROFIDAI December Paris Finance Meeting, Paris, France, December, 2015

• Australia National University Research School of Finance, Actuarial Science and Statistics, Summer Research Camp, Murramarang, Australia, December, 2015

• University of Colorado, Denver, CO, November, 2015

• Financial Management Association 2015, Orlando, FL, October, 2015

• Northern Finance Association Annual Meeting, Lake Louise, Alberta, Canada, September, 2015

• Purdue University, West Lafayette, IN, November, 2014

• University of Wyoming, Laramie, WY, November, 2014

• University of Denver, Denver, CO, November, 2014

• Colorado State University, Fort Collins, CO, October, 2014

• University of Missouri, Columbia, Missouri, October, 2014

The Asset Pricing Implications of Government Economic Policy Uncertainty

• 2015 North American Winter Meeting of the Econometric Society (at the ASSA meetings). Boston, January, 2015

• McGill Global Asset Management Conference. Montreal, June, 2013

• WU Gutmann Center Symposium*, June, 2013

• 12th Annual Darden International Finance Conference. Charlottesville, VA, April, 2013

• NETSPAR: International Pension Workshop. Amsterdam, January, 2013

• Becker Friedman Institute: Policy Uncertainty and Its Economic Implications*. University of Chicago, Chicago, IL, December, 2012

• Australia National University Research School of Finance: Actuarial Studies and Applied Statistics Summer Camp*, December, 2012 

(*Done by coauthor)

Select Discussions

1. American Finance Association, Boston, January 2022
   Investor Sentiment and the Pricing of Characteristics-Based Factors, by by Zhuo Chen,
   Bibo Liu, Huijun Wang, Zhengwei Wang, and Jianfeng Yu

2. China International Conference in Finance, Guangzhou, China, July 2019
   Life-Cycle Portfolio Choice with Imperfect Predictors, by Alexander Michaelides and Yuxin Zhang (Slides)

3. Financial Intermediation Research Society, Savannah, GA, May 2019
   Product Market Competition and the Profitability Premium, by Yao Deng (Slides)

4. Front Range Finance Conference, Denver, CO, May 2019
   Deregulation, Market Structure, and the Demise of Old-School Banking, by Emilio Bisetti, Stephen A. Karolyi, and Stefan Lewellen (Slides)

5. UBC Winter Finance Conference, Whistler, BC, March 2018
   What You See Is Not What You Get: The Costs of Trading Market Anomalies, by Andrew J. Patton and Brian M. Weller (Slides)