Russell Wermers Directory Page

Russell Wermers

Russell Wermers

Area Chair

Bank of America Professor of Finance

Director, Center for Financial Policy

Ph.D., University of California, Los Angeles

  • Finance
  • Contact

    4471 Van Munching Hall

    Russ Wermers is Bank of America Professor of Finance and Director, Center for Financial Policy at the Smith School of Business, University of Maryland at College Park, where he won a campus-wide teaching award during 2005 and a Krowe Teaching Award (within the Smith Business School) during 2013.  His main research interests include studies of the efficiency of securities markets, as well as the role of institutional investors in setting stock prices. In addition, he studies and teaches quantitative equity strategies, and is currently researching microfinance institutions in Thailand.  Most notably, his past research has developed new approaches to measuring and attributing the performance of mutual funds, pension funds, and hedge funds, as well as devising winning strategies for investing in these funds. Professor Wermers also studies the investment behavior of these asset managers, as well as the impact of their trades on stock markets.  His papers have been published in leading scholarly journals, such as The American Economic ReviewThe Review of Financial StudiesThe Journal of Financial Economics, and The Journal of Finance.  His article on mutual fund “herding” and stock prices (Journal of Finance, 1999) won the NYSE Award for the Best Paper on Equity Trading in 1995. His coauthored article on mutual fund performance was a finalist for the Smith-Breeden Award for the Best Paper in the Journal of Finance during 2006/2007. Professor Wermers consults for the hedge fund, pension fund, and mutual fund industries. He is coauthor of a book on the latest scientific approaches to performance evaluation and attribution of professional fund managers, written for academics and practitioners (published in December 2012). He received his Ph.D. from the University of California, Los Angeles, in December 1995.

    • Professor of Finance and Director, Center for Financial Policy, August 2013 to present, Robert H. Smith School of Business, The University of Maryland at College Park
    • Associate Professor of Finance, August 2002 to July 2013, Robert H. Smith School of Business, The University of Maryland at College Park
    • Assistant Professor of Finance, August 2000 to July 2002, Robert H. Smith School of Business, The University of Maryland at College Park
    • Assistant Professor of Finance, August 1994 to July 2000, Graduate School of Business Administration, The University of Colorado at Boulder
    • Ph.D. Finance, December 1995, The John E. Anderson Graduate School of Management at UCLA. Dissertation Title: Essays on the Investment Behavior of Institutional Investors (3 essays)
    • M.B.A. Finance, June 1989, The John E. Anderson Graduate School of Management at UCLA
    • International Crude Oil Trading Analyst, 1988-1989, The Unocal Corporation, Los Angeles, California
    • Financial Analyst, 1983-1988, The Unocal Corporation, Los Angeles, California
    • Licensed Chemical Engineer, State of California, 1984-present
    • Refinery Chemical Engineer, 1981-1983, The Unocal Corporation, Los Angeles, California
    • B.S. Chemical Engineering, May 1981, The University of Idaho
    • B.S. Metallurgical Engineering, May 1981, The University of Idaho
    Publication Title Publication Status Last Update
    Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior (with Mark Grinblatt and Sheridan Titman) American Economic Review, December 1995 Published
    >Measuring Mutual Fund Performance with Characteristic Based Benchmarks (with Kent Daniel, Mark Grinblatt, and Sheridan Titman) Journal of Finance, July 1997 Published
    Mutual Fund Herding and the Impact on Stock Prices (formerly "Herding, Trade Reversals, and Cascading by Institutional Investors") Journal of Finance, April 1999 Published
    The Value of Active Mutual Fund Management:
    An Examination of the Stockholdings and Trades of Fund Managers(with Hsiu-Lang Chen and Narasimhan Jegadeesh)
    Journal of Financial and Quantitative Analysis, September 2000 Published
    Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs, and Expenses Journal of Finance, August 2000 Published
    The Potential Effects of More Frequent Portfolio Disclosure on Mutual Fund Performance Perspective, The Investment Company Institute (Supports a Policy Recommendation to the SEC on Fund Disclosure) Published
    Investing in Mutual Funds When Returns Are Predictable (with Doron Avramov) Journal of Financial Economics, August 2006 Published
    Can Mutual Fund "Stars" Really Pick Stocks? New Evidence from a Bootstrap Analysis (with Robert Kosowski, Allan Timmermann, and Hal White) Journal of Finance (Lead Article), December 2006 Published
    Performance Evaluation with Portfolio Holdings Information North American Journal of Economics and Finance, August 2006 Published
    False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas (with Laurent Barras and Olivier Scaillet) Journal of Finance, February 2010 Published
    Active Management in Mostly Efficient Markets (with Robert Jones) Financial Analysts Journal, November/December 2011 Published
    Performance Measurement of Mutual Funds, Hedge Funds, and Institutional Accounts Annual Review of Financial Economics, December 2011 Published
    Forecasting Stock Returns through An Efficient Aggregation of Mutual Fund Holdings (with Tong Yao and Jane Zhao) Review of Financial Studies, December 2012 Published
    Performance Evaluation and Attribution of Security Portfolios (with Bernd Fischer) Elsevier Press (Textbook), December 2012 Published
    Monitoring Daily Hedge Fund Performance with Monthly Data (with Daniel Li and Michael Markov) Journal of Investment Consulting, Spring 2013 Published
    The Performance of European Equity Mutual Funds (with Ayelen Banegas, Ben Gillen, and Allan Timmermann) Journal of Financial Economics, June 2013 Published
    Decentralized Investment Management: Evidence from the Pension Fund Industry (with David Blake, Alberto Rossi, Allan Timmermann, and Ian Tonks) Journal of Finance, June 2013 Published
    Analyst Recommendations, Mutual Fund Herding, and Overreaction in Stock Prices  (with Nerissa Brown and Kelsey Wei) Management Science (Lead Article), January 2014 February 2013
    Mutual Fund Performance Evaluation with Active Peer Benchmarks (link is external)(formerly Endogenous Benchmarks; with David Hunter, Eugene Kandel, and Shmuel Kandel) Journal of Financial Economics (Lead Article), April 2014 August 2013
    Uncommon Value: The Investment Performance of Contrarian Funds (link is external)(with Kelsey Wei and Tong Yao) Management Science, forthcoming April 2012
    Decentralization in Pension Fund Management (with David Blake, Alberto Rossi, Allan Timmermann, and Ian Tonks) Journal of Investment Management, forthcoming  
    Momentum Investment Strategies of Mutual Funds, Performance Persistence, and Survivorship Bias Working Paper March 1997
    Patterns of Coauthorship and Research Productivity in Finance Academia(with J. Chris Leach, Ronald Melicher, and Michael Oswald) Working Paper February 2000
    Is Money Really "Smart"? New Evidence on the Relation Between Mutual Fund Flows, Manager Behavior, and Performance Persistence Working Paper November 2003
    Are Mutual Fund Shareholders Compensated for Active Management "Bets"? Working Paper March 2003
    Portfolio Performance, Discount Dynamics, and the Turnover of Closed-End Fund Managers (with Youchang Wu and Josef Zechner) Working Paper November 2008
    Mutual Fund Performance and Governance Structure:
    The Role of Portfolio Managers and Boards of Directors
     (with Bill Ding)
    Working Paper November 2009
    Share Restrictions and Investor Flows in the Hedge Fund Industry (with Mila Getmansky, Bing Liang, and Chris Schwarz) Working Paper November 2009
    Seasonal Asset Allocation: Evidence from Mutual Fund Flows(with Lisa Kramer, Mark Kamstra, and Maurice Levi) Working Paper December 2012
    A Matter of Style: The Causes and Consequences of Style Drift in Institutional Portfolios Working Paper March 2012
    Runs on Money Market Mutual Funds Working Paper January 2013
    Managerial Rents vs. Shareholder Value in Delegated Portfolio Management: The Case of Closed-End Funds Working Paper February 2013

    News

    SEC Chair Kicks Off Annual Conference on Financial Regulation

    SEC Chairman Gary Gensler is looking to the future – one oriented around the intersection of finance and technology, climate change and…

    Read News Story : SEC Chair Kicks Off Annual Conference on Financial Regulation
    18 Maryland Smith Professors Named Among Top 2% Worldwide

    A study of the world’s top researchers identifies 18 from the University of Maryland’s Robert H. Smith School of Business in the top 2%…

    Read News Story : 18 Maryland Smith Professors Named Among Top 2% Worldwide
    CFP Event Explores Diversity and the Bottom Line

    When it comes to diversity, the investment industry has a ways to go.

    That fact, while well known, was further illuminated this…

    Read News Story : CFP Event Explores Diversity and the Bottom Line

    Research

    How Climate Disasters Impact Investment Decisions

    Money Managers in Hurricane Zones Dump Regional Stocks

    Read the article : How Climate Disasters Impact Investment Decisions
    How Money Market Funds React to Crisis

    Lessons from the Eurozone Debt Crisis

    Read the article : How Money Market Funds React to Crisis
    How to Pick the Best Mutual Funds

    Research Pioneers New Way To Narrow Down Funds

    Read the article : How to Pick the Best Mutual Funds

    Insights

    A Method for Assessing Stock-Picking Wisdom

    What stocks do the smartest fund managers love, and are they worth knowing?

    Read the article : A Method for Assessing Stock-Picking Wisdom
    Is the ETF Boom Stoking Market Volatility?

    New research shows ETFs contribute to market volatility on high-stress trading days.

    Read the article : Is the ETF Boom Stoking Market Volatility?
    Why Active Investors Matter in an ETF Era

    Amid Rise of Passively Managed Funds, Active Managers Are Keeping Volatility in Check

    Read the article : Why Active Investors Matter in an ETF Era
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