RICHARD H.

STANTON

Haas School of Business

University of California, Berkeley
545 Student Services Building #1900
Berkeley, CA 94720-1900
tel. (510) 642-7382
fax. (510) 643-1412
E-mail: stanton@haas.berkeley.edu
Web: http://faculty.haas.berkeley.edu/stanton/

Current HAAS SCHOOL OF BUSINESS, U.C. BERKELEY Berkeley, CA

Professor of Finance
Kingsford Capital Management Chair in Business
Cochair, Finance Group
• Barbara and Gerson Bakar Faculty Fellow, 2007-10.
• Assistant Professor, 1991-98.
• Associate Professor, 1998-08.

Prior Work Experience

1984 - 86 BAIN AND COMPANY London, England
Associate Consultant
• Acquisition target analysis, valuation, purchase and integration for major UK client.
• Development of strategy for financial information provider.

Education
1986 – 91 STANFORD GRADUATE SCHOOL OF BUSINESS Stanford, CA
Ph.D. in Finance (degree awarded 1992)
• Merit Scholar 1987-91.

1981 – 84 CAMBRIDGE UNIVERSITY, JESUS COLLEGE Cambridge, England

B.A. (Honors), M.A. (Honors) in Mathematics
• Scholarship in Mathematics, 1981-84.
• Ware Prize for Part IB Mathematics, 1983.

Research Interests
• Mortgage and lease markets.
• Term structure modeling.
• Mutual funds and risk management.
• Employee stock options.

Awards and Prizes

1986 – 89 Science and Engineering Research Council (SERC) Overseas Studentship.

1989 AACSB Doctoral Fellowship (one awarded in U.S.).
1993 – 94 U.C. Berkeley Junior Faculty Research Grant.
1993 Earl F. Cheit Outstanding Teaching Award (selected by student vote).
1994 Q Group Research Award.
1996 Haas School Schwabacher Fellowship.
1997 Nomination for Journal of Finance Smith-Breeden best paper prize: “A Nonparametric Model
of Term Structure Dynamics and the Market Price of Interest Rate Risk”.
2006 Best Paper award, Utah Winter Finance Conference: “A Liquidity-Based Theory of Closed-
End Funds”.
2007 Earl F. Cheit Outstanding Teaching Award (selected by student vote).
2007 Nomination for Journal of Finance Smith-Breeden best paper prize: “Managerial Ability,
Compensation and the Closed-End Fund Discount”.
Published Research

• “Pricing Continuously Resettled Contingent Claims”, Journal of Economic Dynamics and

Control 16, 561-573, 1992 (with D. Duffie).

• “Rational Prepayment and the Valuation of Mortgage-Backed Securities”, Review of Financial

Studies 8, 677-708, 1995.

• “ARM Wrestling: Valuing Adjustable Rate Mortgages Indexed to the Eleventh District Cost of
Funds”, Real Estate Economics 23, 311-345, 1995 (with N. Wallace).

• “A New Strategy for Dynamically Hedging Mortgage-Backed Securities”, Journal of Derivatives

2, 60-77, 1995 (with J. Boudoukh, M. Richardson and R. Whitelaw).

• “Unobservable Heterogeneity and Rational Learning: Pool Specific vs. Generic Mortgage-Backed
Security Prices”, Journal of Real Estate Finance and Economics 12, 243-263, 1996.

• “Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate

Density Estimation Approach”, Review of Financial Studies 10, 405-446, 1997 (with J.
Boudoukh, M. Richardson and R. Whitelaw).

• “A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate
Risk”, Journal of Finance 52, 1973 – 2002, 1997 (nominated for the Smith-Breeden prize).

• “Mortgage Choice: What's the Point?”, Real Estate Economics 26, 173-205, 1998 (with N.
Wallace).

• “Anatomy of an ARM: The Interest Rate Risk of Adjustable Rate Mortgages”, Journal of Real
Estate Finance and Economics 19, 49-67, 1999 (with N. Wallace).

• “Nonparametric Mortgage-Backed Security Pricing”, in Advanced Fixed Income Valuation

Tools, John Wiley, 2000 (with J. Boudoukh, M. Richardson and R. Whitelaw).
• “From Cradle to Grave: How to Loot a 401(k) Plan”, Journal of Financial Economics 56, 485-
516, 2000.

• “MaxVaR: Long Horizon Value-At-Risk in a Mark-to-Market Environment”, Journal of

Investment Management 2, 1-6, 2004 (with J. Boudoukh, M. Richardson and R. Whitelaw).

• “An Empirical Test of a Two-Factor Mortgage Valuation Model: How Much Do House Prices
Matter?”, Real Estate Economics 33, 681-710, 2005 (with C. Downing and N. Wallace).

• “Managerial Ability, Compensation and the Closed-End Fund Discount”, Journal of Finance 62,
529-556, 2007 (with J. Berk) (nominated for the Smith-Breeden prize).

• “Evidence on Simulation Inference for Near Unit-Root Processes with Implications for Term
Structure Estimation, Journal of Financial Econometrics 6, 108-142, 2008 (with G. Duffee).

• “An Empirical Test of a Contingent Claims Lease Valuation Model”, Journal of Real Estate
Research 31, 1-26, 2008 (with N. Wallace).

• “A Liquidity-Based Theory of Closed-End Funds”, Review of Financial Studies 22, 257-297,

2009 (with M. Cherkes and J. Sagi) (Best Paper, 2006 Utah Winter Finance Conference).
 • “A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility”, forthcoming in
Volatility and Time Series Econometrics: Essays in Honor of Robert F. Engle, Oxford University
Press (with J. Boudoukh, M. Richardson and R. Whitelaw).

• “Human Capital, Bankruptcy and Capital Structure”, forthcoming, Journal of Finance (with J.
Berk and J. Zechner).

• “Optimal Exercise of Executive Stock Options and Implications for Firm Cost”, forthcoming,
Journal of Financial Economics (with J. Carpenter and N. Wallace).

• “Revisiting Asset Pricing Anomalies in an Exchange Economy”, forthcoming, Review of

Financial Studies (with C. Parlour and J. Walden).

Working Papers and Work in Progress

• “Estimation of Employee Stock Option Exercise Rates and Firm Cost”, working paper, 2009
(with J. Carpenter and N. Wallace).

• “Banking and Asset Prices in a Flexible-Tree Economy”, working paper, 2009 (with C. Parlour
and J. Walden).

• “The Bear’s Lair: Indexed Credit Default Swaps and the Subprime Mortgage Crisis”, working
paper, 2009 (with Nancy Wallace).

• "CMBS Subordination, Ratings Inflation, and the Crisis of 2007-2009," working paper, 2010
(with N. Wallace).

• “Volatility, Mortgage Default and CMBS Subordination”, working paper, 2006 (with C.
Downing and N. Wallace).

• “Estimation of Dynamic Term Structure Models”, working paper, 2004 (with G. Duffee).

• “Valuing Mutual Fund Companies”, working paper, 2003 (with J. Boudoukh, M. Richardson and
R. Whitelaw).

• “Accounting for Employee Stock Options”, working paper, 2004 (with M. Rubinstein).

• “An Experimental Test of a Mortgage Choice Model (with S. Kogan and N. Wallace).

Teaching Experience
HAAS SCHOOL OF BUSINESS, U.C. BERKELEY Berkeley, CA
1992 – 93 BA130, “Introduction to Finance” (Undergraduate core).
1993 – 2005 BA203, “Introduction to Finance” (MBA core).
1994, 1999-2000 BA238C, “Empirical Topics in Finance” (Ph.D.)
2006 UGBA103, “Introduction to Finance” (Undergraduate core).
2007 – 2010 MBA203, “Introduction to Finance” (MBA core).
2009 – 2010 MFE230I, “Fixed Income” (MFE).
 EXECUTIVE TEACHING
2006 – 2008 Faculty Director, “Berkeley Financial Engineering Series”
1992 – 2008 Berkeley Financial Engineering Series – courses in options, swaps, fixed income, stochastic
calculus, numerical methods, mortgage-backed securities, exotic options.
2004 – 2010 Investment Management Consultants Association: Certified Investment Management Analyst
courses in asset pricing, term structure.
1996 – 97 Infinity Financial Technology, Mountain View - fixed income.
1996 – 99 J.P. Morgan, New York, markets training program - fixed income.

OTHER
1989 Stanford Law School, class LS285, “Finance Theory”.

Committee Service

1994 Haas School Assistant Professor Representative

1996 – 1997 Member, MBA Policy Committee
1997 – 2000 Member, Computer Policy Committee
1998 – 2000 Chair, Finance group recruiting committee.
1999 – 2001 Member, Haas School Policy and Planning Committee.
2009 – 2010 Chair, Haas School Policy and Planning Committee.
1999 – 2002 Finance PhD student field adviser.
2002 – 2005 Chair, Finance group.
2010 – 2011 Cochair, Finance group.
2006 – 2008 Member, Haas School Hiring Committee (chair, 2008-09).

Other Professional Activities

• Associate Editor, Journal of Finance (2000 – present).
• Associate Editor, Review of Financial Studies (2001 – 2004).
• Editorial board, Journal of Real Estate Finance and Economics (1993 – present).
• Program committee: Western Finance Association annual meeting (1992 – 2003), Utah Winter
Finance Conference, (2005 – present).