203.432.6046

Professor of Finance & Deputy Director of the International Center for Finance

Professor Rouwenhorst specializes in international finance and asset pricing. His research interests include business cycle theory, the empirical tradeoff between risk and return in developed and emerging stock markets, and portfolio choice. His recent work examines hedge fund strategies, mutual fund settlement, commodity investments, and the history of financial innovation.

Achievements and Awards
Q-Group Grant on Commodity Research
Award for Outstanding Research, International Investment Forum, 1997
Frederick Frank Grant for research with an international focus

Editorships
Editorial Boards:
Emerging Markets Review
European Financial Management
Financial Economics Network: European Finance
Journal of Asset Management
Journal of Empirical Finance

Selected Books
Origins of Value: The Financial Innovations that created Modern Capital Markets (with W. Goetzmann, ed.), Oxford University Press, 2005

Selected Articles
"Facts and Fantasies about Commodity Futures" (with G. Gorton), Financial Analysts Journal, 2006

"Pairs Trading: Performance of a Relative Arbitrage Rule" (with E. Gatev and W. Goetzmann), Review of Financial Studies, 2006

"Long-term Global Market Correlations" (with W. Goetzmann and L. Li), Journal of Business, 2005

"Day Trading International Mutual Funds: Evidence and Policy Solutions" (with W. Goetzmann and Z. Ivkovic), Journal of Financial and Quantitative Analysis, 2001

"Local Return Factors and Turnover in Emerging Stock Markets," Journal of Finance, August, 1999

"European Equity Markets and EMU: Are the Differences Between Countries Slowly Disappearing?," Financial Analysts Journal, 1999

"International Momentum Strategies," Journal of Finance, 1998

Working Papers
"Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors" (with G. Bhardwaj and G. Gorton)

"The Fundamentals of Commodity Futures Returns" (with G. Gorton and F. Hayashi)

Education
PhD University of Rochester, 1991
MS University of Rochester, 1988
BLaw Erasmus University, Rotterdam, The Netherlands, 1986
MS Erasmus University, Rotterdam, The Netherlands, 1985