Dr. Frank Fehle, CFA

Welcome to my homepage. The main purpose of this page is to provide an overview of my past and present academic research. For some of the published papers, working paper versions can be found on my SSRN page.

Affiliations (Past and Present)

• Citadel Investment Group, Statistical Arbitrage, Managing Director.
• Barclays Global Investors, Europe Active Equity, Managing Director, Co-Head of Investments.
• McKinsey & Company, Inc., Banking & Securities Practice, Management Consultant.
• University of South Carolina, Moore School of Business, Department of Finance, Assistant Professor of Finance.
• The University of Texas at Austin, McCombs School of Business, Department of Finance, Ph.D., MBA.
• WHU Koblenz, Diplomkaufmann.
• Combat Engineer Battalion 320, German Army, First Lieutenant

Publications

• Bartram, S. M., G. W. Brown, and F. Fehle, 2009, "International evidence on financial derivatives usage," Financial Management.
• Bartram, S. M., F. Fehle, and D. G. Shrider, 2008, "Does adverse selection affect bid-ask spreads for options?" Journal of Futures Markets.
• Fehle, F., S. M. Fournier, T. J. Madden, and D. G. Shrider, 2008, "Brand value and asset pricing," Quarterly Journal of Finance and Accounting.
• Bartram, S. M., and F. Fehle, 2007, "Competition without fungibility: evidence from alternative market structures for derivatives," Journal of Banking and Finance.
• Josseph de la Vega Prize 2003
• Fehle, F., 2006, "Too many options? Theory and evidence on option exchange design," Journal of Futures Markets.
• Madden, T. J., F. Fehle, and S. M. Fournier, 2006, "Brands matter: an empirical investigation of brand-building activities and the creation of shareholder value," Journal of the Academy of Marketing Science.
• Sheth Foundation 2006 Best Paper Award for the Journal of the Academy of Marketing Science
• Fehle F., and S. Tsyplakov, 2005, "Dynamic risk management: theory and evidence," Journal of Financial Economics.
• Caesarea Award for the Best Paper on Risk Management at the 2003 Western Finance Association Meeting
• Fehle F., S. Tsyplakov, and V. Zdorovtsov, 2005, "Can companies influence investor behavior through advertising?  Super Bowl commercials and stock returns," European Financial Management.
• Fehle, F., 2004, "Bid-ask spreads and institutional ownership," Review of Quantitative Finance and Accounting.
• Fehle, F., 2004, "Transaction costs and the existence of derivatives markets," Journal of Economics and Business.
• Fehle, F., 2003, "Market structure and swap spreads: international evidence," Journal of Futures Markets.
• Fehle, F., 1999, "Panel evidence on corporate risk management," Canadian Journal of Administrative Sciences (Special Issue: Financial Risk Management).
• Fehle, F., 1998, "A recursive algorithm for default risk adjustment in interest rate swaps," Control Engineering Practice (1998 CEFES Proceedings).
• Acosta, A., and F. Fehle, 1997, "A stochastic process for plain vanilla interest rate swap-coupons: theory and empirical tests," Journal of Financial Engineering (1997 IAFE Proceedings).   

Working Papers

• Fehle, F., and V. Zdorovtsov, "Large one-day stock price declines, news, liquidity, and trading strategies: an intraday analysis," (unpublished manuscript).

You can reach me by e-mail at [email protected].