Photo of Amir Yaron

Amir Yaron

Robert Morris Professor of Banking

Professor of Finance

Research Interests: asset pricing, econometrics, international finance, macroeconomics

Links: Personal Website

Contact Information

Address: 2325 Steinberg-Dietrich Hall, 3620 Locust Walk, Philadelphia, PA 19104
Email: yarona@wharton.upenn.edu
Office: (215) 898-1241

Overview

Education

PhD, University of Chicago, 1994; MA, University of Chicago, 1991; MA, Tel-Aviv University, 1988; BA, Tel-Aviv University, 1985

Career and Recent Professional Awards; Teaching Awards

2004 Smith Breeden Award for Distinguished Papers; Alfred Sloan Dissertation Fellowship, 1994

Academic Positions Held

Wharton: 1997-present (named Robert Morris Professor of Banking, 2009; named Gilbert and Shelly Harrison Term Associate Professor, 2008-2009). Previous appointments: Carnegie Mellon University

Other Positions

Visiting Scholar, Institute for International Economic Studies, Stockholm University, June 1996, 2003; Summer Intern, Research Department, International Monetary Fund, 1993; Unit Head, The Financial Advisor to the Chief of Staff, Israel Defense Foreces, 1985-89

Research


  • Leonid Kogan, Dmitry Livdan, Amir Yaron (Forthcoming), Oil Futures Prices in a Production Economy with Investment Constraints, Journal of Finance, 2009, 64 (3), 1345-1375.
  • Itamar Drechsler, Amir Yaron (2011), What's Vol Got to Do With It, Review of Financial Studies, 24 (1), 1 - 45.  Abstract
  • Kjetil Storesletten, Chris Telmer, Amir Yaron (2007), Asset Prices and Intergenerational Risk Sharing: The Role of Idiosyncratic Earnings Shocks, In Handbook of Investments, 1.  Abstract
  • Kjetil Storesletten, Chris Telmer, Amir Yaron (2007), Asset Pricing with Idiosyncratic Risk and Overlapping Generations, Review of Economic Dynamics, 10 (4), 519 - 548.  Abstract
  • Joao F. Gomes, Amir Yaron, Lu Zhang (2006), Asset Pricing Implications of Firms' Financing Constraints, Review of Financial Studies, Vol. 19 (No. 4), 1321 - 1356.  Abstract  Related Materials
  • Mark Huggett, Gustavo Ventura, Amir Yaron (2006), Human Capital and Earnings Distribution Dynamics, Journal of Monetary Economics, 53 (2), 265 - 290.
  • Ravi Bansal, Varoujan Khatacharian, Amir Yaron (2005), Interpretable Asset Markets?, European Economic Review, 49, 531 - 560.
  • Joao F. Gomes, Amir Yaron, Lu Zhang (2004), Asset Prices and Business Cycles with Costly External Finance, Review of Economic Dynamics, 2004.  Abstract
  • Kjetil Storesletten, Chris Telmer, Amir Yaron (2004), Consumption and Risk Sharing Over the Life Cycle, Journal of Monetary Economics, 51 (3), 609 - 633.
  • Ravi Bansal, Amir Yaron (2004), Risks For the Long Run: A Potential Resolution of Asset Pricing Puzzles, Journal of Finance, 59 (4), 1481 - 1509.

Awards And Honors

  • Best Paper 2009 Utah Winter Finance Conference, 2009
  • First Prize Terker Family Prizes in Investment Research, 2008
  • Winner Smith Breeden Award - Journal of Finance, 2004

In The News

Courses

Current

  • FNCE219 - International Financial Markets

    This course focuses on international financial markets and exchange rates. Topics include pricing in the foreign currency and Eurocurrency markets, use of forward exchange for hedging, short-term returns and market efficiency in the international money markets, foreign currency options, international capital asset pricing, pricing of foreign currency bonds, currency swaps, Eurocurrency syndicated loans, foreign currency financing and exposure management.

    FNCE219001  ( Syllabus

    FNCE219002  ( Syllabus

    FNCE219003  ( Syllabus

  • FNCE921 - Introduction to Empirical Methods in Finance

    This course is an introduction to empirical methods commonly employed in finance. It provides the background for FNCE 934, Empirical Research in Finance. The course is organized around empirical papers with an emphasis on econometric methods. A heavy reliance will be placed on analysis of financial data.

    FNCE921001 

Previous

  • FNCE219 - International Financial Markets

    This course focuses on international financial markets and exchange rates. Topics include pricing in the foreign currency and Eurocurrency markets, use of forward exchange for hedging, short-term returns and market efficiency in the international money markets, foreign currency options, international capital asset pricing, pricing of foreign currency bonds, currency swaps, Eurocurrency syndicated loans, foreign currency financing and exposure management.

  • FNCE399 - Supervised Study in Finance

    Integrates the work of the various courses and familiarizes the student with the tools and techniques of research.

  • FNCE921 - Introduction to Empirical Methods in Finance

    This course is an introduction to empirical methods commonly employed in finance. It provides the background for FNCE 934, Empirical Research in Finance. The course is organized around empirical papers with an emphasis on econometric methods. A heavy reliance will be placed on analysis of financial data.