Theodore Day

Professor - Management
theodore.day@utdallas.edu
972-883-2743
SOM14330
Tags: Financial & Managerial Economics

Professional Preparation

Ph.D. - Business
Stanford University - 1981
M.A. - Economics
Stanford University - 1979
M.B.A. - Finance
University of Oklahoma - 1976
B.A. - Accounting
University of Oklahoma - 1974

Publications

Margin Adequacy in Futures Markets, with Craig M. Lewis. Journal of Business 77 (2004), 101-135. 2004 - Publication
Dividends, Nonsynchronous Prices, and Returns from Trading the Dow Jones Industrial Average, with Pingying Wang. Journal of Empirical Finance 9 (2002),431-455. 2002 - Publication
Following the Leader: An Analysis of Analyst's Earnings Forecasts, with Rick Cooper and Craig M. Lewis. Journal of Financial Economics 61 (2001),383-416. Awarded the 2001 FamaJDF A Prize as the best paper on Capital Markets and Asset Pricing published in the Journal of Financial Economics. 2001 - Publication
Transfer Pricing, Incentive Compensation, and Tax Avoidance in a Multi-Division Firm, with Yoon Choi. Review of Quantitative Finance and Accounting 11 (1998), 139-164. 1998 - Publication
Initial Margin Policy and Stochastic Volatility in the Crude Oil Futures Market, with Craig M. Lewis. Review of Financial Studies 10 (1997), 303-332. 1997 - Publication
Mortgages, Minorities and Discrimination, with S.J. Liebowitz. Economic Inquiry 36 (1998), 3-28. 1997 - Publication
Marginal Influence, with Craig M. Lewis. Energy and Power Risk Management 1 (1997),27-29. 1993 - Publication
Forecasting Futures Market Volatility, with Craig M. Lewis. Journal of Derivatives 1 (1993), 33-50. Reprinted in Volatility: New Estimation Techniques for Pricing Derivatives, edited by Robert Jarrow, Risk Publications, 1998. 1992 - Publication
Stock Market Volatility and the Information Content of Stock Index Options, with Craig M. Lewis. Journal of Econometrics 55 (1992), 267-287. Reprinted in ARCH: Selected Readings, edited by Robert Engle, Oxford University Press, 1995. 1990 - Publication
The Behavior of the Volatility Implicit in the Prices of Stock Index Options, with Craig M. Lewis. Journal of Financial Economics 22 (October 1988), 103-122. 1988 - Publication

Appointments

Professor of Finance
University of Texas at Dallas [1999–2007]
Associate Professor of Finance (tenure)
University of Texas at Dallas [1992–1999]
Associate Professor of Finance
University of Texas at Dallas [1990–1992]
Visiting Associate Professor of Finance
University of North Carolin [1988–1990]
Assistant Professor of Finance
Vanderbilt University [1981–1988]

Additional Information

Memberships in Professional Organizations
  • American Finance Association
  • Western Finance Association
  • Oklahoma Society of Certified Public Accountants
Dissertation Committees Chaired
  • Zhengzheng Li (Co-Chairman)
  • Yi Wang (Co-Chairman/Completed 2000)
  • Ping Ying Wang (Chainnan/Comp1eted 1998)
  • Sarathi Roy (Co-Chairman/Completed 1996)
  • Robert T. Maurer (Chairman/Completed 1995)
  • Richard Held (Chainnan/Completed 1995)
  • ZuKang Hua (Chairman/Completed 1993)
Research in Progress
  • "The Impact of Mutual Fund Diversification on the Returns to Active Management", with YexiaoXu.
  • "The Impact of Changes in Resale Restrictions on the Discounts for Unregistered Private Placements", with Jess Cornaggia.
  • "On the Determinants of the Marketability Discount", with William Barnard.
  • "Earnings Management and Informed Trading in the Stock and Options Markets", with Robert Kieschnick and Volkan Muslu.