Yale School of Management - Faculty

Associate Professor of Finance

Professor Cremers' research focuses on empirical issues in asset pricing and corporate governance. His interests also cover the development of new methodologies in investments and mutual funds, using Bayesian as well as classical statistical analysis.

Selected Articles
"Tiebreaker: Certification and Multiple Ratings" (with D. Bongaerts and W. Goetzmann), Journal of Finance, forthcoming

"CEO Pay Slice and Firm Performance" (with L. Bebchuk and U. Peyer), Journal of Financial Economics, forthcoming

"Internal Capital Markets and Corporate Politics in a Banking Group" (with R. Huang and Z. Sautner), Review of Financial Studies, forthcoming

"Institutional Investors and Proxy Voting: The Impact of the 2003 Mutual Fund Voting Disclosure Regulation" (with R. Romano), American Law and Economics Review, Vol.13, No.1, 220-268 , 2011

"Deviations from Put-Call Parity and Stock Return Predictability" (with D. Weinbaum), Journal of Financial and Quantitative Analysis, 45(2), 335-367, 2010

"How Active is Your Fund Manager? A New Measure that Predicts Performance" (with A. Petajisto), Review of Financial Studies, Vol. 22, No. 9, 3329-3365, 2009

"Does Skin in the Game Matter? Director Incentives and Governance in the Mutual Fund Industry" (with J. Driessen, P. Maenhout, and D. Weinbaum), Journal of Financial and Quantitative Analysis, Vol. 44, No. 6, 1345-1373, 2009

"Takeovers and the Cross-Section of Returns" (with V. Nair and K. John), Review of Financial Studies, Vol. 22, No. 4, 1409-1445, 2009

"Takeover Defenses and Competition" (with V. Nair and U. Peyer), Journal of Empirical Legal Studies, Vol. 5, No. 4, 791-818, 2008

"Individual Stock-Price Implied Volatility and Credit Spreads" (with J. Driessen, P. Maenhout, and D. Weinbaum), Journal of Banking and Finance, Vol. 32, 2706-2715, 2008

"Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model" (with J. Driessen and P. Maenhout), Review of Financial Studies, Vol. 21, No. 5, 2209-2242, 2008

"Turning Over Turnover" (with J.P. Mei), Review of Financial Studies, Vol. 20, No. 6, 1749-1782, 2007

"Governance Mechanisms and Bond Prices" (with V. Nair and J. Wei), Review of Financial Studies, Vol. 20, No. 5, 1359-1388, 2007

"Multifactor Efficiency and Bayesian Inference," Journal of Business, Vol. 79, No. 6, 2006

"Governance Mechanisms and Equity Prices" (with V. Nair), Journal of Finance, Vol. 60, No. 6, 2859-2894, 2005

"Stock Return Predictability: A Bayesian Model Selection Perspective," Review of Financial Studies, Vol. 15, No. 4, 1223-1249, 2002

Working Papers
"Can Large Pension Funds Beat the Market? Asset Allocation, Market Timing, Security Selection and the Limits of Liquidity" (with
A. Andonov and R. Bauer)

"The Mutual Fund Industry Worldwide: Explicit and Closet Indexing, Fees, and Performance" (with M.A. Ferreira, P.P. Matos
and L.T. Starks)

"Tenure and CEO Pay"(with D. Palia)

"Pension Fund Performance and Costs: Small is Beautiful" (with R. Bauer and R. Frehen)

"Institutional Investors’ Holding Durations and Stock Return Anomalies: Momentum, Reversal, Accruals, Share Issuance and R&D Increases" (with A. Pareek)

"In Search of Aggregate Jump and Volatility Risk in the Cross-Section of Stock Returns" (with M. Halling and D. Weinbaum)

"Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation" (with A. Petajisto and E. Zitzewitz)

"Thirty Years of Shareholder Rights and Firm Valuation" (with A. Ferrell)

"Uncertainty and Valuations" (with H. Yan)

"The Market for CEO Talent: Implications for CEO Compensation" (with Y. Grinstein)

Education
PhD New York University, 2002
MS Vrije Universiteit Amsterdam, 1997