Keith Vorkink

Keith Vorkink

Associate Dean,
Deans Office
Douglas & Effie Driggs Professor of Finance,
Finance, Department of
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Biography

Keith Vorkink is an Associate Dean in the Marriott School of Management and current holder of the Driggs Professorship in Finance. He earned his undergraduate BA in economics from BYU and his PhD in economics from the University of Rochester. In addition his work at BYU he was an assistant professor in the finance department at Bryant College and also held a position in the finance department at the Sloan School of Management at MIT. Keith’s research has focused in the field of behavioral economics and asset pricing. Keith has published articles in the top finance and econometric journals including Journal of Finance, Review of Financial Studies, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, and the Journal of Econometrics. He has presented his work at the top conferences (American Finance Association, Western Finance Association, and National Bureau of Economic Research) as well as many at other conferences and universities. He is the principal organizer of the BYU Red Rock Finance conference held annually in September in Springdale Utah.

Selected Publications

  • "The Liquidity Cost of Private Equity Investments: Evidence from Secondary Market Transactions", Journal of Financial Economics, Volume Forthcoming.    
  • "Stock options as lotteries", Journal of Finance, Volume 69, Pages 1485-1528, 2014.    
  • "Forecasting Multivariate Realized Stock Market Volatility", Journal of Econometrics, Edition 1, Volume 160, Issue 1, Pages 93-101, Elsevier, Nour Meddehi, Per Mykland, and Neil Sheppard, 2011.    
  • "Why do firms with diversification discounts have higher expected returns?", (with K. Vorkink), Journal of Financial and Quantitative Analysis, Volume 45, Pages 1367-1390, 2010.    
  • "Expected idiosyncratic skewness", (with B. Boyer and K. Vorkink), Review of Financial Studies, Volume 23, Pages 169-202, 2010.    
  • "Equilibrium underdiversification and the preference for skewness", (with K. Vorkink), Review of Financial Studies, Volume 20, Pages 1255-1288, 2007.    
  • "Investor Overconfidence and Trading Volume", Review of Financial Studies, Volume 19, Pages 1531-1565, 2006.    
  • "Constructing Commercial Indices: A Semiparametric Adaptive Estimator Approach", Journal of Real Estate Finance & Economics, Volume 32, Pages 151-168, Springer, 2006.    
  • "Whence GARCH? A Preference-Based Explanation for Conditional Volatility", The Review of Financial Studies, Edition 4, Volume 17, Issue 4, Pages 915-950, 2004.    
  • "Testing Forward Exchange Rate Unbiasedness Efficiently: A Semiparametric Approach", Journal of Applied Economics, Volume 7, Pages 325-354, 2004.    
  • "Efficient Estimation of Conditional Asset Pricing Models", Journal of Business and Economic Statistics, Volume 21, Pages 269-283, 2003.    
  • "Return Distributions and Improved Tests of Asset Pricing Models", Review of Financial Studies, Volume 16, Pages 215-244, 2003.