Andrew L. Detzel

Professional Summary

Andrew L. Detzel an Associate Professor in the Department of Finance, Insurance and Real Estate in the Hankamer School of Business at Baylor University. He holds a PhD in Finance from University of Washington Seattle, a MS in Mathematics from the University of Oregon, and a BS in Mathematics from California State University.

Detzel is a member of the American Finance Association and the Macro Finance Society. His research covers several areas in Asset Pricing, including macro-finance, return forecasting, capital market frictions, and volatility. Detzel’s papers can be found in leading finance and business journals such as Journal of Finance, Journal of Financial Economics, Review of Finance, and Management Science.

Education

• 2015 – PhD, Finance, University of Washington, Seattle, Washington
• 2009 – MS, Mathematics, University of Oregon, Eugene, Oregon
• 2007 – BS, Mathematics, California State University, San Marcos, California

Courses

• FIN 4365 – Investment Analysis

Research Interests

• Asset Pricing
• Macro-finance
• Return forecasting
• Capital market frictions
• Volatility

Selected Publications

• Model Comparison with Transaction Costs, with Robert Novy-Marx and Mihail Velikov, Journal of Finance, June 2023.
• The Cross-Section of Volatility and Returns: Then and Now, with Jefferson Duarte, Avraham Kamara, Stephan Siegel, and Celine Sun, Critical Finance Review, August 2023.
• Do Limits to Arbitrage Explain the Benefits of Volatility-Managed Portfolios?, with Pedro Barroso, Journal of Financial Economics, June 2021.
• Combination Return Forecasts and Portfolio Allocation With the Cross-Section of Book-to-Market Ratios, with Jack Strauss, Review of Finance, August 2018.
• Monetary Policy Surprises, Investment Opportunities, and Asset Prices, Journal of Financial Research, September 2017.
  • Winner of Shmuel Kandel Award for best PhD Student Paper at Utah Winter Finance Conference.
• The Asset Pricing Implications of Government Economic Policy Uncertainty, with Jonathan Brogaard, Management Science, January 2015.