Andrew Detzel, PhD, FRM
Associate Professor of Finance
Baylor University - Hankamer School of Business
Ph.D. Finance, University of Washington Seattle, 2015
Research Interests: Empirical asset pricing, limits to arbitrage,
volatility, macro finance, out-of-sample forecasting
Model Comparison with Transaction Costs , with Robert Novy-Marx and Mihail Velikov, Journal of Finance, June 2023.
The Cross-Section of Volatility and Returns: Then and Now, with Jefferson Duarte, Avraham Kamara, Stephan Siegel, and Celine Sun, Critical Finance Review, forthcoming.
Do Limits to Arbitrage Explain the Benefits of Volatility-Managed Portfolios?, with Pedro Barroso, Journal of Financial Economics, June 2021.
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.
Expected vs Ex-Post Profitability in the Cross-section of Industry Returns, with Philipp Schaberl and Jack Strauss, Financial Management, June 2019.
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.
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.
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.
The Asset Pricing Implications of Government Economic Policy Uncertainty, with Jonathan Brogaard, Management Science, January 2015.
The Volatility Puzzle of the Low-Risk Anomaly, with Pedro Barroso and Paulo Maio.
Revise and resubmit, Journal of Financial Economics.
Practice what you Preach: Strategy Consistency and Mutual Fund Performance, with C. Thomas Howard.
Daniels College of Business Distinguished Scholar Award (2021)
Shmuel Kandel Award for an Outstanding Doctoral Student in Financial Economics at the Utah Winter Finance Conference (2015)
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)
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
China International Conference in Finance, Guangzhou, China, July 2019
Life-Cycle Portfolio Choice with Imperfect Predictors, by Alexander Michaelides and Yuxin Zhang (Slides)
Financial Intermediation Research Society, Savannah, GA, May 2019
Product Market Competition and the Profitability Premium, by Yao Deng (Slides)
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)
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)