June 2017

ALAN J. MARCUS
Gabelli Professor of Finance
Carroll School of Management, Boston College

Address

Boston College
School of Management, Fulton 360
Chestnut Hill, MA 02467
Phone: (617) 552-2767
fax: (617) 552-0431
alan.marcus@bc.edu

Education

Massachusetts Institute of Technology, Ph.D., Economics, 1981.

Wesleyan University, B.A., with High Honors in Economics, Summa cum laude,
Phi Beta Kappa, May 1976.

Academic Appointments

Boston College, 1991 - present

Visiting Professor, Sloan School of Management, M.I.T., 1996, 1997
Visiting Professor, Athens Laboratory of Business Administration, Summer 1994
Boston University, 1981 - 1990

Other Appointments

CFA Institute: Research Foundation Advisory Board

Courses Taught

Introduction to Corporate Finance (undergraduate and MBA)

Investments (Undergraduate and MBA/MSF)
Options and Futures Markets (MBA and doctoral)
Asset Pricing Theory and Capital Markets (doctoral)
Derivatives and Risk Management (MBA/MSF)
Alan J. Marcus page 2

Articles

"Information, Motivation and Control in Decentralized Planning: The Case of

Discretionary Managerial Behavior," Journal of Comparative Economics 3
(1979), 235-253, with John P. Bonin.

"Money Demand During Hyperinflation," Journal of Monetary Economics 5

(1979), 97-104, with Andrew Abel, et al.

"Risk Sharing and the Theory of the Firm," Bell Journal of Economics 14
(Autumn 1982), 369-378.

"The Bank Capital Decision: A Time Series-Cross Section Analysis," Journal of

Finance 38 (September 1983), 1217-1232.

"Efficient Asset Portfolios and the Theory of Normal Backwardation: A

Comment," Journal of Political Economy 92 (February 1984), 162-164.

"The Relationship Between Accounting Measures and Prospective Probabilities

of Insolvency," Financial Review 19 (March 1984), 67-83, with Israel Shaked.

"Conversion Factor Risk and Hedging in the Treasury Bond Futures Market,"
Journal of Futures Markets 4 (Spring 1984), 55-64, with Alex Kane.

"Futures Markets and Production Decisions," Journal of Political Economy 92

(June 1984), 409-426, with David Modest.

"How Big is the Tax Advantage to Debt?" Journal of Finance 39 (July 1984),
841-853, with Alex Kane and Robert McDonald.

"Earnings and Dividend Announcements: Is There a Corroboration Effect?"

Journal of Finance 39 (September 1984), 1091-1100, with Alex Kane and Young
Ki Lee.

"The Valuation of FDIC Deposit Insurance Using Options-Pricing Estimates,"

Journal of Money, Credit and Banking 16 (November 1984), 446-460, with Israel
Shaked.

"Deregulation and Bank Financial Policy," Journal of Banking and Finance 8

(1984), 557-565.

"Efficient Risk Sharing, Nonmarketable Labor Income, and Fixed Wage

Contracts," European Economic Review 25 (1984), 373-385.
Alan J. Marcus page 3

"Spinoff/Terminations and the Value of Pension Insurance," Journal of Finance

40 (July 1985), 911-924.

"Debt Policy and the Rate of Return Premium to Leverage," Journal of Financial
and Quantitative Analysis 20 (December 1985), 479-499, with Alex Kane and
Robert McDonald.

"Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond
Futures Market," Journal of Finance 41 (March 1986), 195-208, with Alex Kane.

"The Valuation of a Random Number of Put Options: An Application to

Agricultural Price Supports, " Journal of Financial and Quantitative Analysis 21
(March 1986), 73-86, with David Modest.

"The Quality Option in the Treasury Bond Futures Market: An Empirical

Assessment," Journal of Futures Markets 6 (Summer 1986), 231-248, with Alex
Kane.

"Depreciation Rules and Rate Shock in Rate of Return Regulation," Financial

Management 15 (Winter 1986), 61-68.

"A Model of Strategic Default of Sovereign Debt," Journal of Economic

Dynamics and Control 11 (December 1987), 483-498, with Nalin Kulatilaka.

"Quotas as Options: Valuation and Equilibrium Implications," Journal of

International Economics 24 (1988), 255-274, with Rafael Eldor.

"The Delivery Option on Forward Contracts," Journal of Financial and

Quantitative Analysis 23 (September 1988), 337-341, with Alex Kane.

"The Magellan Fund and Market Efficiency," Journal of Portfolio Management

17 (Fall 1990), 85-88.

"Riding the Yield Curve: Reprise," Journal of Portfolio Management 19 (Spring

1992), with Robin Grieves.

"Surveying the Literature: Economists' Perspectives on Dividend Policy and Stock

Issues," Secondary Mortgage Markets 9 (Spring/Summer 1992), 11-15.

"What's Special about the Specialist?" Journal of Financial Economics 32

(August 1992), 61-86, with Larry Benveniste and William Wilhelm.

"Project Valuation under Uncertainty: When does DCF Fail?" Journal of Applied
Corporate Finance 5 (Fall 1992), 92-100, with Nalin Kulatilaka
Alan J. Marcus page 4

Does Sentiment Explain Closed-end Fund Discounts? Evidence from Bond

Funds, Financial Review 28 (November 1993), 607-616, with Abraham
Abraham and Don Elan

Valuing Employee Stock Options, Financial Analysts Journal 50 (November-

December 1994), 46-56, with Nalin Kulatilaka [winner of a 1994 Graham and
Dodd Scroll for outstanding publication in the FAJ]

"Hedging Corporate Bond Portfolios Across the Business Cycle," Journal of Fixed
Income 5 (March 1996), 56-60, with Evren Ors.

The P/E Multiple and Market Volatility, Financial Analysts Journal 52 (July-
August 1996), 16-24, with Alex Kane and Jaesun Noh. [winner of a 1996 Graham
and Dodd Award of Excellence for an outstanding feature article in the FAJ]

The Valuation of Security Analysis, Journal of Portfolio Management 25

(Spring 1999), 25-38, with Alex Kane and Robert R. Trippi.

Riding the Bill Curve, Journal of Portfolio Management 25 (Spring 1999), 74-
82, with Robin Grieves, Steven V. Mann, and Pradipkumar Ramanlal.

Asset Allocation Models and Market Volatility, Financial Analysts Journal 57

(March/April 2001), 16-30, with Eric Jacquier.

Economic Analysis of the Reasonable Royalty: Simplification and Extension of

the Georgia-Pacific Factors, Journal of the Patent and Trademark Office Society
85 (July 2003), with Roy Epstein.

Geometric or Arithmetic Mean? A Reconsideration, Financial Analysts Journal

59 (Nov/Dec 2003), 46-53, with Eric Jacquier and Alex Kane.

Optimal Estimation of the Risk Premium for the Long Run and Asset Allocation:
A Case of Compounded Estimation Risk, Journal of Financial Econometrics 3
(2005), 37-55, with Eric Jacquier and Alex Kane.

Delivery Options and Treasury-Bond Futures Hedge Ratios, Journal of

Derivatives 13 (Winter 2005), 70-76, with Robin Grieves.

The Impact of Institutional Ownership on Corporate Operating Performance,

Journal of Banking and Finance 31 (June 2007), 1771-1794, with Marcia Cornett,
Anthony Saunders, and Hassan Tehranian.
Alan J. Marcus page 5

Corporate Governance and Pay-for-Performance: The Impact of Earnings

Management, Journal of Financial Economics 87 (February 2008), 357-373,
with Marcia Cornett and Hassan Tehranian.

Opaque Financial Reports, R-square, and Crash Risk, Journal of Financial

Economics 94 (October 2009), with Amy Hutton and Hassan Tehranian, 67-86.

Delivery Options and T-bond Futures Hedge Ratios: An Empirical Analysis,

Review of Financial Economics 19 (January 2010), with Robin Grieves and Adrian
Woodhams, 1-7.

Relative Sentiment and Stock Returns, Financial Analysts Journal 66

(July/August 2010), with Roger M. Edelen and Hassan Tehranian.

Dividends, Maturity, and Acquisitions: Evidence from a Sample of Bank IPOs,

Review of Financial Economics, 20 (2011) 11-21, with Marcia Cornett, Alex
Fayman and Hassan Tehranian.

Bank Earnings Management and Tail Risk during the Financial Crisis, Journal
of Money, Credit and Banking 46 (2014), with Lee Cohen, Marcia Cornett, and
Hassan Tehranian.

Sector Dominance Ratio Analysis of Financial Markets. Physica A, 421 (2015),

488-509, with Lisa Uechi, T. Akutsu, H. Eugene Stanley, and Dror Y. Kennett.

Excess Pay and Deficient Performance, Review of Financial Economics, 30

(2016), 1-10, with Mary Ellen Carter, Lei Li, and Hassan Tehranian.

Book Chapters

"Corporate Pension Policy and the Value of PBGC Insurance." in Issues in

Pension Economics, edited by Zvi Bodie and John Shoven. Chicago: University
of Chicago Press, 1987.

"Pension Plan Integration as Insurance Against Social Security Risk." in Issues in

Pension Economics, edited by Zvi Bodie and John Shoven. Chicago: University
of Chicago Press, 1987, with Robert Merton and Zvi Bodie.

"Defined Benefit versus Defined Contribution Plans: What Are the Real
Tradeoffs?" in Pensions in the U.S. Economy, edited by David Wise. Chicago:
University of Chicago Press, 1988, with Robert Merton and Zvi Bodie.
Alan J. Marcus page 6

"A General Formulation of Corporate Real Options." In Research in Finance,

edited by Andrew H. Chen. JAI Press, 1988, with Nalin Kulatilaka.

"Hedging Conventional Mortgages with Chicago Board of Trade Mortgage-Backed

Options," in Mortgage-Backed Futures and Options Risk Management Perspectives,
Chicago Board of Trade, 1989.

The Use and Misuse of Options and Futures in Hedging Foreign Project Risk,
forthcoming, Financial Engineering and Risk Management, Osaka Foundation for
International Exchange, 1992, with Nalin Kulatilaka.

Valuing Government Guarantees: Fannie and Freddie Revisited: Comment, in

Measuring and Managing Federal Financial, ed. Deborah Lucas, (NBER
conference volume), Chicago: University of Chicago Press, 2010.

Working Papers

Bias, noise, verification, and the market response to management earnings

forecasts, with Lee Cohen, Zabihollah Rezaee, and Hassan Tehranian.
Submitted to Review of Finance.

Peer Effects in Corporate Governance Practices: from Universal Demand Laws,

with Pouyan Foroughi, Vinh Nguyen, and Hassan Tehranian.

Board Independence and Liquidity: Evidence from East Asia Bazrafsham, E.,
Marcus, A., Tehranian, H.

Textbooks

Investments, McGraw-Hill/Irwin, 1988, with Alex Kane and Zvi Bodie.

11th edition, 2017.

Translations
Bulgarian Korean
Canadian edition Macedonian
Chinese long form Polish
Chinese short form Russian
Hungarian Spanish
Indonesian Thai
Japanese
Alan J. Marcus page 7

Essentials of Investments, McGraw-Hill/Irwin, 1992, with Alex Kane and Zvi

Bodie. Tenth edition, 2016.

Translations
Bulgarian Korean
Chinese long form Portuguese
Chinese short form Russian
Croatian Serbian
Indonesian Spanish

Fundamentals of Corporate Finance, McGraw-Hill/Irwin, 1995, with Richard A.

Brealey and Stewart C. Myers. Tenth edition, 2017.

Translations
Canadian edition
Chinese long form
Chinese short form
Russian
Spanish

Conference Presentations

Designing Incentive Structures to Increase Performance and Quality of

Information in Uncertain Decentralized Planning Environments, Econometric
Society Meetings, September 1976 (with John Bonin).

Incentives for Private Petroleum Stockpiling: Issues, Options, and Modeling,

Western Economic Association, July 1981 (with Ellen Burton and Steven Beggs).

The Valuation of FDIC Deposit Insurance, American Finance Association

Meetings, December 1982 (with Israel Shaked).

How Big is the Tax Advantage to Debt? American Finance Association

Meetings, December 1983 (with Alex Kane and Robert McDonald).

Corporate Pension Policy and the Value of PBGC Insurance, National Bureau
of Economic Research conference on Pensions and Retirement in the United
States, April 1984.
Alan J. Marcus page 8

"Pension Plan Integration as Insurance Against Social Security Risk." National

Bureau of Economic Research conference on Pensions and Retirement in the
United States, April 1984 (with Robert Merton and Zvi Bodie).

"An Assessment of Delivery Risk in the Treasury Bond Futures Market," seminar
on Fixed Income Security Management, sponsored by Capital Management
Sciences, San Diego, July 1984.

Spinoff/Terminations and the Value of Pension Insurance, American Finance

Association Meetings, December 1984.

Defined Benefit versus Defined Contribution Pension Plans: What are the Real
Tradeoffs? National Bureau of Economic Research conference on Pension
Policy, April 1985 (with Zvi Bodie).

The Quality Option in the Treasury Bond Futures Market: An Empirical

Assessment, Western Finance Association Meetings, June 1985 (with Alex
Kane).

The Valuation of Security Analysis, National Bureau of Economic Research,

meeting of Financial Markets and Monetary Economics program, March 1986
(with Alex Kane).

Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond
Futures Market, Western Finance Association Meetings, June 1986 (with Alex
Kane).

"Riding the Yield Curve: Reprise," Eastern Finance Association Meetings, Spring
1990 (with Robin Grieves).

"The Use and Misuse of Options and Futures in Hedging Foreign Project Risk,"
OFIX conference on Financial Engineering and Risk Management, Osaka, Japan,
1992 (with Nalin Kulatilaka).

"What's Special about the Specialist?" (with Lawrence Benveniste and William
Wilhelm)
Financial Management Association meetings, October 1991
Western Finance Association meeting, June 1992

"Investor Sentiment and Discounts on Closed-end Mutual Funds," Financial

Management Association meetings, October 1991 (with Abraham Abraham and
Don Elan).
Alan J. Marcus page 9

"Valuing Employee Stock Options," FASB Conference on Accounting for Employee

Stock Options, April 1993, with Nalin Kulatilaka.

Market Volatility and Asset Correlation Structure, French Finance Association,

June 2003, with Eric Jacquier.

Economic Analysis of the Reasonable Royalty: Simplification and Extension of

the Georgia-Pacific Factors, American Intellectual Property Law Association
October 2003, with Roy Epstein.

Optimal Forecasts of Long-Term Returns: Geometric, Arithmetic, or Other

Means? Center for Financial Studies conference on New Directions in
Financial Risk Management November 2003 (Frankfurt, Germany) with Eric
Jacquier and Alex Kane.

Valuing Government Guarantees: Fannie and Freddie Revisited: Discussant,

NBER conference on Measuring and Managing Federal Financial 2008.

"Crash Risk, Sentiment, and the Option Smirk Curve," OptionMetrics Research
Conference, New York. (October 20, 2014), with Mark Bradshaw, Amy Hutton,
and Hassan Tehranian.

Peer Effects in Corporate Governance Practices: from Universal Demand Laws,

Financial Management Association, 2017, with Pouyan Foroughi, Vinh Nguyen,
and Hassan Tehranian.