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Professor Gregory Connor
Professor of Finance
Date of Birth: February 25th, 1953.
Marital Status: Married, with five children.
Nationality: Dual Irish/USA Citizenship.
- Ph.D. (Economics), Yale University, 1982, under the supervision of Professor Stephen Ross, dissertation title: Asset Pricing Theory in Factor Economies; M.A. (Economics), Yale University
- 1978; B.A. (Economics), Georgetown University, 1975
- 2008- present: Professor of Finance, National University of Ireland, Maynooth.
- 2002-2008: Professor of Finance, London School of Economics, and Director of the Asset Pricing and Portfolio Management Research Programme, Financial Markets Group, London School of Economics.
- 1999-2002: Reader in Finance, Department of Accounting and Finance, London School of Economics.
- 1994-1998: Director of Research, Europe, BARRA Inc., and Visiting Fellow, Department of Accounting and Finance, London School of Economics.
1991-1994: Lecturer in Finance, Reader in Finance, Department of Accounting and Finance, London School of Economics.
- 1985-1991: Assistant Professor of Finance, Haas School of Business, University of California at Berkeley.
1981-1985: Assistant Professor of Finance, Kellogg Graduate School of Management, Northwestern University.
- 1975-1977: Research Assistant, Econometrics and Computer Applications Section, Department of Research and Development, Board of Governors of the Federal Reserve System, Washington, D.C.
Factor modeling of asset returns, multifactor pricing models, portfolio management.
- “Efficient Estimation of a Semiparametric Characteristic-based Factor Model of Security Market Returns,” with Matthias Hagman and Oliver Linton, Econometrica, forthcoming.
- “Sliding Doors Cost Measurement: The Net Economic Cost of Lax Regulation of the Irish Banking Sector,” with Brian O’Kelly, World Economy, forthcoming.
- Portfolio Risk Analysis, with Lisa Goldberg and Robert Korajczyk, Princeton University Press, 2010.
- “Factor Models of Asset Returns,” with Robert Korajczyk, Encycopedia of Quantitative Finance, 2009.
- “How Much Structure is Best: A Comparison of Market Model, Factor Model and Unstructured Equity Covariance Matrices,” with Beat Briner, Journal of Risk, 2008.
- “Semiparametric Estimation of the Characteristic-based Factor Model of Stock Returns,” (with Oliver Linton), Journal of Empirical Finance, 2008.
“Common and Specific Components of Dynamic Volatility,” (with Robert Korajczyk and Oliver Linton), Journal of Econometrics, 2006.
- “New Developments in Portfolio Risk Management,” Investments and Pensions Europe, February, 2004.
- An Introduction to Hedge Fund Strategies, (with Teo Lasarte), pamphlet, International Asset Management, Ltd., October, 2004.
- Hedge Funds: An Introductory Guide, (with Mason Woo), pamphlet, International Asset Management, Ltd., December, 2003.
- “Risk Management in Asset Management,” (with Robert Korajczyk) in The Growth of Risk Management: A History, Risk Publications, 2003.
- “Style Analysis in an Evolving Europe,” Investments and Pensions Europe, October 2003.
- "Sensible Return Forecasting for Portfolio Management," Financial Analysts Journal, 53:5 (1997).
- "A Global Stock and Bond Model," (with Lucie Chaumeton and Ross Curds), Financial Analyst Journal, 52:6 (1996), reprinted in Worldwide Asset and Liability Modeling, William T. Ziemba and John M. Mulvey (eds), Cambridge University Press, 1998.
- "National Versus Global Influences on Equity Returns" (with Stan Beckers and Ross Curds), Financial Analysts Journal, 52:2 (1996), reprinted in Worldwide Asset and Liability Modeling, William T. Ziemba and John M. Mulvey (eds), Cambridge University Press, 1998.
- "The Search for a Global Portfolio Management Model," in Maryann Dupes (editor), Global Portfolio Management, AIMR conference proceedings, published by the Association for Investment Management Research, 1996.
- "Cash Management for Index Tracking" (with Hayne Leland), Financial Analysts Journal, 51:6 (1995).
- "The Three Types of Factor Models: A Comparison of their Explanatory Power," Financial Analysts Journal, 51:3 (1995).
- "The Arbitrage Pricing Theory and Multifactor Models of Asset Returns" (with Robert Korajczyk), in Finance Handbook, Robert Jarrow, Vojislav Maksimovic and William Ziemba, (eds) North-Holland, 1995.
- "A Test for the Number of Factors in an Approximate Factor Model" (with Robert Korajczyk), Journal of Finance, 48:4 (1993); reprinted in Static Asset Pricing Models, edited by Andrew Lo, Edward Elgar Publishing, 2007.
- "The Attributes, Behaviour and Performance of U.S. Mutual Funds" (with Robert Korajczyk), Review of Quantitative Finance and Accounting, 1:1 (1991).
- "An Intertemporal Equilibrium Beta Pricing Model" (with Robert Korajczyk), Review of Financial Studies, 2:3 (1989).
- "Organized Exchanges in Small Economies: The Case of Irish Futures Trading" (with Barry Dillon), Review of Futures Markets, 8:2 (1989).
- "Notes on the Arbitrage Pricing Theory" in George Constantinides and Sudipto Bhattacharya (eds), Theory of Valuation, Rowman and Littlefield, 1988.
- "Risk and Return in an Equilibrium APT: Application of a New Test Methodology" (with Robert Korajczyk), Journal of Financial Economics, 21:2 (1988).
- "Hedging" in John Eatwell, Murray Newgate and Peter Newman (eds), The New Palgrave : A Dictionary of Economics, Stockton Press and Macmillan, U.K., 1988, revised versions in J. Eatwell, M. Newgate and P. Newman (eds) The New Palgrave Dictionary of Money and Finance, 1992, and The New Palgrave : A Dictionary of Economics, second edition, 2007.
- "Performance Measurement with the Arbitrage Pricing Theory: A New Framework for Analysis" (with Robert Korajczyk), Journal of Financial Economics, 15:3 (1986).
- “Intertemporal Analysis with the Arbitrage Pricing Theory,” Australian Management Review, 10:1 (1985).
- "A Unified Beta Pricing Theory," Journal of Economic Theory, 34:1 (1984); reprinted in Stephen A. Ross, Mentor, Influence through Generations, edited by Mark Grinblatt, McGraw-Hill, Inc, 2008.
Mailing Address: Department of Economics, Finance and Accounting, National University of Ireland, Maynooth, County Kildare, Ireland.
Email: Gregory.Connor@nuim.ie; Telephone: 353-01-708-6662.
- Financial Risk Analysis