Keith P. Vorkink
Associate Professor of Business Management
Ford Faculty Fellow
Finance, Department of
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Office: 667 TNRB
Phone: (801) 422-1765
Email: keith_vorkink@byu.edu
Research:
- Conditional Asset Pricing and Return Distributions
- Empirical Asset Pricing
- PHD, ECONOMICS, UNIV OF ROCHESTER, 1999
- MS, ECONOMICS, UNIV OF ROCHESTER, 1996
- BA, ECONOMICS, BRIGHAM YOUNG UNIVERSITY, 1994
- Finance and Economics - Primary
- "Why Do Firms With Diversification Discounts Have Higher Expected Returns?," Journal of Financial and Quantitative Analysis 2009 V I E W A B S T R A C T
- "Forecasting Multivariate Realized Stock Market Volatility," Journal of Econometrics 2009 V I E W A B S T R A C T
- "Expected Idiosyncratic Skewness," Review of Financial Studies 2009 V I E W A B S T R A C T
- "Equilibrium Underdiversification and the Preference for Skewness," Review of Financial Studies Volume 20, Issue 4, Pages 1255-1288, July, 2007 V I E W A B S T R A C T
- "Investor Overconfidence and Trading Volume," Review of Financial Studies Volume 19, Pages 1531-1565, 2006 V I E W A B S T R A C T
- "Constructing Commercial Indices: A Semiparametric Adaptive Estimator Approach," Journal of Real Estate Finance and Economics Volume 32, Pages 151-168, March, 2006 V I E W A B S T R A C T
- "Asset Pricing Theory and the Valuation of Canadian Paintings," Canadian Journal of Economics Volume 37, Issue 3, Pages 629-655, August, 2004 V I E W A B S T R A C T
- "Testing Forward Exchange Rate Unbiasedness Efficiently: A Semiparametric Approach," Journal of Applied Economics Volume 7, Issue 2, Pages 325-354, November, 2004 V I E W A B S T R A C T
- "Whence GARCH? A Preference-Based Explanation for Conditional Volatility," Review of Financial Studies Volume 17, Issue 4, Pages 915-949, October, 2004 V I E W A B S T R A C T
- "Return Distributions and Improved Tests of Asset Pricing Models," Review of Financial Studies Volume 16, Issue 3, Pages 215-244, August, 2003 V I E W A B S T R A C T
- "Efficient Estimation of Conditional Asset Pricing Models," Journal of Business and Economic Statistics Volume 21, Issue 2, Pages 269-283, April, 2003 V I E W A B S T R A C T
- "Testing the capital asset pricing model efficiently under elliptical symmetry: A semiparametric approach," Journal of Applied Econometrics Volume 17, Pages 617-639, December, 2002 V I E W A B S T R A C T
Teaching
- Associate Professor, Marriott School of Management, 2006
- Visiting Professor, Sloan School of Management, MIT, 2005-2006
- Assistant Professor, Marriott School of Management, 2000-2005
- Ad hoc referee, Journal of Applied Econometrics, Journal of Finance, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, Journal of Monetary Economics, Management Science, Review of Financial Studies, Review of Economics and Statistics
- Young Scholar , Brigham Young University , 2007
- Outstanding Researcher , Business Management Department , 2006
- Outstanding Researcher , Marriott School of Management , 2005
- Outstanding Researcher , Business Management Department , 2004
- Outstanding Finance Teacher , Finance Society , 2004
- Richard E. Cook Fellowship , Brigham Young University , 2001
