Photo of Michael R. Gibbons

Michael R. Gibbons

I.W. Burnham II Professor of Investment Banking

Deputy Dean, The Wharton School

Research Interests: asset pricing, econometrics, portfolio theory

Contact Information

Address: 2336 Steinberg-Dietrich Hall, Philadelphia, PA 19104
Email: gibbons@wharton.upenn.edu
Office: (215) 898-3681

Overview

Education

PhD, University of Chicago, 1980; MS, University of Chicago, 1979; BS, Butler University, 1975

Recent Consulting

Consulting ranges from expert testimony (involving valuation of assets) to issues which arise in professional investment management

Career and Recent Professional Awards; Teaching Awards

Batterymarch Fellow, 1983-84; Graduate Division Excellence in Teaching Award, 1996, 2001

Academic Positions Held

Wharton: 1989-present (Deputy Dean, 2007-present; Chairperson, Finance Department,1994-2006; named I.W. Burnham II Professor of Investment Banking, 1989). Previous appointments: Stanford University; University of Chicago. Visiting appointment: University of Chicago

Research


  • Michael R. Gibbons (1993), A Test of the Cox, Ingersoll, and Ross Model of the Term Structure, Review of Financial Studies, 6.  Abstract
  • Michael R. Gibbons (1989), A Test of the Efficiency of a Given Portfolio, Econometrics, 57.
  • Michael R. Gibbons (1989), Empirical Tests of the Consumption-Oriented CAPM, Journal of Finance, 44.  Abstract

In The News

Courses

Current

  • FNCE717 - Financial Derivatives

    The purpose of this course is to provide the student with the necessary skills to value and to employ options, futures, and related financial contracts. In order to provide a useful treatment of these topics in an environment that is changing rather rapidly, it is necessary to stress the fundamentals and to explore the topics at a technical level. The topics that will be covered include the valuation of futures contracts on stock indices, on commodities and Treasury instruments; the valuation of options, empirical evidence, strategies with respect to these assets, dynamic asset allocation strategies, or which portfolio insurance is an example, swaps, and the use (and misuse) of derivatives in the context of corporate applications. One-third of the course will be devoted to futures, a third to options, and a third to their applications. Many of the applications will be sprinkled along with the coverage of futures and options.

    FNCE717701 

    FNCE717751 

Previous

  • FNCE717 - Financial Derivatives

    The purpose of this course is to provide the student with the necessary skills to value and to employ options, futures, and related financial contracts. In order to provide a useful treatment of these topics in an environment that is changing rather rapidly, it is necessary to stress the fundamentals and to explore the topics at a technical level. The topics that will be covered include the valuation of futures contracts on stock indices, on commodities and Treasury instruments; the valuation of options, empirical evidence, strategies with respect to these assets, dynamic asset allocation strategies, or which portfolio insurance is an example, swaps, and the use (and misuse) of derivatives in the context of corporate applications. One-third of the course will be devoted to futures, a third to options, and a third to their applications. Many of the applications will be sprinkled along with the coverage of futures and options.