Christopher Geczy

Christopher Geczy
  • Adjunct Professor of Finance
  • Academic Director, Wharton Wealth Management Initiative Academic Director,Jacobs Levy Equity Management Center for Quantitative Financial Research

Contact Information

  • office Address:

    2258 SH-DH
    Philadelphia, PA 19104

Overview

Chris Geczy has been on the Finance Department faculty at the Wharton School of the University of Pennsylvania since 1997. He is Academic Director of the Jacobs Levy Equity Management Center for Quantitative Financial Research. He is also Academic Director of the Wharton Wealth Management Initiative at Wharton Executive Education. He has a B.A. in economics from the University of Pennsylvania and a Ph.D. in finance and econometrics from the Graduate School of Business at the University of Chicago (now the Booth School).

Dr. Geczy regularly teaches investment management and co-created the first full course on hedge funds at The Wharton School. In 2013, he created the school’s first survey course in sustainable/ESG investing, open to undergraduates as well as MBA and Executive Education students. He has created and taught many courses for Wharton Executive Education, and he has taught AIMR/CFA Institute-accredited professional Risk Management courses through the University of Chicago’s Booth School of Business.

He has been the Academic Director of a number of Wharton Executive Education programs including the 2009 Securities Industry Institute in partnership with SIFMA, the Private Wealth Management program in partnership with The CFA Institute, and programs for the Investments and Wealth Institute (formerly IMCA). In addition, he has taught Investment Management in the Penn-Securities Association of China (Penn-SAC) program for a number of years. He received the Best Elective Course Teaching Award in the Wharton Executive MBA Program and the Wharton Teaching Excellence Award for the 2017-2018 academic year.

He currently serves on Intel’s US Retirement Plans’ Investment Policy Committee. He has served on the Economic Advisory Board of NASDAQ, has been an editor of the Journal of Alternative Investments and is on the Editorial Advisory Board of the Journal of Wealth Management. He is Co-Editor of Financial Planning Review, the academic journal of the CFP® Board Center for Financial Planning. He is also a founding board member and past Chairman of the Mid-Atlantic Hedge Fund Association and served on the curriculum and exam committee of the Chartered Alternative Investment Analyst Association (CAIA). He serves on the Advisory Council of the Wharton Social Impact Initiative. Dr. Geczy also serves as a Trustee and member of the Investment Committee of The Episcopal Academy. He is on the Board of Directors of the Alexander Hamilton Friends Foundation.

Dr. Geczy’s current research focuses on various topics including multifactor models, wealth management, risk management, asset allocation, the performance of managed funds including hedge funds, venture capital and private equity as well as other alternatives, ESG incorporation in funds and portfolios, and various aspects of equity lending and short-selling. His work has appeared in numerous books and scholarly journals including the Journal of Finance, Journal of Financial Economics, Journal of Portfolio Management, The Society for Industrial and Organizational Psychology and the Journal of Political Economy. In 2018, Dr. Geczy and co-authors won the Investment for Impact Prize of the Center for Responsible Business at the University of California, Berkeley’s Haas School of Business for their research paper “Contracts With Benefits: The Implementation of Impact Investing.”

His research has been reported in the Wall Street Journal, the New York Times, the Financial Times, Forbes, NPR, SmartMoney magazine, on CNBC’s Squawk Box and in numerous other media.

Continue Reading

Research

  • Christopher Geczy and Mikhail Samonov (2018), Two Centuries of Price-Return Momentum, Financial Analysts Journal, Volume 72 (No. 5).

  • Christopher Geczy, David Musto, Jessica Jeffers, Anne M. Tucker (2017), In Pursuit of Good & Gold: Data Observations of Employee Ownership & Impact Investment, Seattle University Law Review, 40.

  • Christopher Geczy (2016), The New Diversification: Open Your Eyes to Alternatives, The Journal of Portfolio Management, 40:5.

  • Christopher Geczy, David Musto, Jessica Jeffers, Anne M. Tucker (2015), Institutional Investing When Shareholders Are Not Supreme, Harvard Business Law Review , 5:1.

  • Christopher Geczy (2013), Financial Market Assumptions & Models for Pension Plans: A Technical Comment on the PIMS Model Assumptions for Asset Markets, incorporated in report of the Technical Review Panel for the Pension Insurance Modeling System (PIMS) (Olivia S. Mitchell, chair), Pension Benefit Guaranty Corporation.

  • Rich Evans, Christopher Geczy, David Musto, Adam V. Reed (2009), Failure is an Option: Impediments to Short Selling and Options Prices, Review of Financial Studies, Forthcoming.

    Abstract: Regulations allow market makers to short sell without borrowing stock, and the transactions of a major options market maker show that in most hard-to-borrow situations, it chooses not to borrow and instead fails to deliver stock to its buyers. Some of the value of failing passes through to option prices: when failing is cheaper than borrowing, the relation between borrowing costs and option prices is significantly weaker. The remaining value is profit to the market maker, and its ability to profit despite the usual competition between market makers appears to result from a cost advantage of larger market makers at failing.

  • Christopher Geczy, Susan Christoffersen, David Musto, Adam Reed (2007), Vote Trading and Information Aggregation, Journal of Finance.

    Abstract: The standard analysis of corporate governance assumes that shareholders vote in ratios that firms choose, such as one share-one vote. However, if the cost of unbundling and trading votes is sufficiently low, then shareholders choose the ratios. We document an active market for votes within the U.S. equity loan market, where the average vote sells for zero. We hypothesize that asymmetric information motivates the vote trade and find support in the cross section. More trading occurs for higher-spread and worse-performing firms, especially when voting is close. Vote trading corresponds to support for shareholder proposals and opposition to management proposals.

  • Christopher Geczy, Robert F. Stambaugh, David Levin (Working), Investing in Socially Responsible Mutual Funds.

    Abstract: We construct optimal portfolios of mutual funds whose objectives include socially responsible investment (SRI). Comparing portfolios of these funds to those constructed from the broader fund universe reveals the cost of imposing the SRI constraint on investors seeking the highest Sharpe ratio. This SRI cost depends crucially on the investor's views about asset pricing models and stock-picking skill by fund managers. To an investor who believes strongly in the CAPM and rules out managerial skill, i.e. a market-index investor, the cost of the SRI constraint is typically just a few basis points per month, measured in certainly-equivalent loss. To an investor who still disallows skill but instead believes to some degree in pricing models that associate higher returns with exposures to size, value, and momentum factors, the SRI constraint is much costlier, typically by at least 30 basis points per month. The SRI constraint imposes large costs on investors whose beliefs allow a substantial amount of fund-manager skill, i.e., investors who rely heavily on individual funds' track records to predict future performance.

  • Susan Christoffersen, Christopher Geczy, David Musto, Adam Reed (2005), Cross-Border Dividend Taxation and the Preferences of Taxable and Non-Taxable Investors: Evidence from Canada, Journal of Financial Economics, Vol. 78 (Issue 1), pp. 121-144. 10.1016/j.jfineco.2004.08.004

    Abstract: We consider how fund managers respond to the conflicting preferences of their investors. We focus on the conflict between the taxable and retirement accounts of international funds, which face different tradeoffs between dividends and capital gains. In principle, managers could resolve this conflict through dividend arbitrage, but a proprietary database of dividend-arbitrage transactions shows that in practice they cannot. Thus, managers must resolve it through their investment policies. We find robust evidence that managers with more retirement money favor the preferences of retirement investors and further evidence for this view in the difference between U.S. and Canadian funds’ portfolio weights.

  • Christopher Geczy, David Musto, Adam Reed (2002), Stocks are Special Too: An Analysis of the Equity Lending Market, Journal of Financial Economics, 241-269. 10.1016/S0304-405X(02)00225-8

    Abstract: With a year of equity loans by a major lender, we measure the effect of actual short-selling costs and constraints on trading strategies that involve short-selling. We find the loans of initial public offering (IPOs), DotCom, large-cap, growth and low-momentum stocks to be cheap relative to the strategies’ documented profits and that investors who can short only stocks that are cheap and easy to borrow can enjoy at least some of the profits of unconstrained investors. Most IPOs are loaned on their first settlement days and throughout their first months, and the underperformance around lockup expiration is significant even for the IPOs that are cheap and easy to borrow. The effect of short-selling frictions appears strongest in merger arbitrage. Acquirers’ stock is expensive to borrow, especially when the acquirer is small, though the major influence on trading profits is not through expense but availability.

Teaching

Past Courses

  • EAS 499 - SENIOR CAPSTONE

    The Senior Capstone Project is required for all BAS degree students, in lieu of the senior design course. The Capstone Project provides an opportunity for the student to apply the theoretical ideas and tools learned from other courses. The project is usually applied, rather than theoretical, exercise, and should focus on a real world problem related to the career goals of the student. The one-semester project may be completed in either the fall or sprong term of the senior year, and must be done under the supervision of a sponsoring faculty member. To register for this course, the student must submit a detailed proposal, signed by the supervising professor, and the student's faculty advisor, to the Office of Academic Programs two weeks prior to the start of the term.

  • FNCE205 - INVESTMENT MANAGEMENT

    This course studies the concepts and evidence relevant to the management of investment portfolios. Topics include diversification, asset allocation, portfolio optimization, factor models, the relation between risk and return, trading, passive (e.g., index-fund) and active (e.g., hedge-fund, long-short) strategies, mutual funds, performance evaluation, long-horizon investing and simulation. The course deals very little with individual security valuation and discretionary investing (i.e., "equity research" or "stock picking").

  • FNCE254 - IMPACT INVESTING

    This course explores Impact Investing, a discipline that seeks to generate social benefits as well as financial returns. From tiny beginnings, the Impact Investment space has expanded and now commands significant attention from policymakers, wealthy and public-spirited individuals, academia and, not least, the world's largest asset managers and philanthropic foundations. Evangelists believe it may be the key to freeing the world from poverty. Skeptics think it will remain confined to the boutique. Regardless, Impact Investing is becoming a distinct career specialization for finance professionals despite the diverse skillset each must have and the uncertainty of the new field's growth.

  • FNCE399 - INDEPENDENT STUDY

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

  • FNCE720 - INVESTMENT MANAGEMENT

    This course studies the concepts and evidence relevant to the management of investment portfolios. Topics include diversification, asset allocation, portfolio optimization, factor models, the relation between risk and return, trading, passive (e.g., index-fund) and active (e.g., hedge-fund, long-short) strategies, mutual funds, perfermance evaluation, long-horizon investing and simulation. The course deals very little with individual security valuation and discretionary investing (i.e., "equity research" or "stock picking").

  • FNCE754 - IMPACT INVESTING

    This course explores Impact Investing, a discipline that seeks to generate social benefits as well as financial returns. From tiny beginnings, the Impact Investment space has expanded and now commands significant attention from policymakers, wealthy and public-spirited individuals, academia and, not least, the world's largest asset managers and philanthropic foundations. Evangelists believe it may be the key to freeing the world from poverty. Skeptics think it will remain confined to the boutique. Regardless, Impact Investing is becoming a distinct career specialization for finance professionals despite the diverse skillset each must have and the uncertainty of the new field's growth.

  • FNCE899 - INDEPENDENT STUDY

    Independent Study Projects require extensive independent work and a considerable amount of writing. ISP in Finance are intended to give students the opportunity to study a particular topic in Finance in greater depth than is covered in the curriculum. The application for ISP's should outline a plan of study that requires at least as much work as a typical course in the Finance Department that meets twice a week. At a minimum, we need a description of the methodology you intend to employ, a bibliography and description of the data that you will use as well as a list of interim deliverables and dates to ensure that you complete the project within the semester. Applications for FNCE 899 ISP's will not be accepted after the THIRD WEEK OF THE SEMESTER. You must submit your Finance ISP request using the Finance Department's ISP form located at https://fnce.wharton.upenn.edu under the Course ISP section

  • HCMG899 - INDEPENDENT STUDY

    Arranged with members of the Faculty of the Health Care Systems Department. For further information contact the Department office, Room 204, Colonial Penn Center, 3641 Locust Walk, 898-6861.

Awards and Honors

Wharton Teaching Excellence Award (Academic year 2017-2018).

  • Investment for Impact Research Prize, Center for Responsible Business, Haas School of Business, University of California, Berkeley, 2018., 2019
  • Wharton Teaching Excellence Award, 2017-2018
  • Best Paper Award, Annual Conference on Market Structure and Market Integrity, 2006
  • Best Elective Course Teaching Award, Wharton West, Executive MBA Program, 2006
  • Caesarea Prize for the Best Paper on Risk Management, Western Finance Association, for ”Taking a View: On Corporate Speculation and Governance”, 2004
  • Weiss Center for International Financial Research research grant, 2004
  • Moskowitz Prize (Honorable Mention) for ”Investing in Socially Responsible Mutual Funds”, 2003
  • The Bank of Canada Award for ”The Limits to Dividend Arbitrage: Implications for Cross-Border Investment”, 2003
  • Zicklin Center Research Grant for “The Performance of Socially Screened Mutual Funds and the Convictions of Investors”, 2002-2003
  • Q Group Research Grant for ”Stocks are Special, Too”, 2000-2001
  • Nominated for the Smith Breeden Prize for the best paper in the Journal of Finance for “Why Firms Use Currency Derivatives”, 1997
  • Rodney L. White Center (Wharton) research grants, 1997 (1), 1999 (2), 2001(1), 2002(2), 2003, 2004, 1997-2004
  • Center for Research in Security Prices Research Grant, 1993-1994

In the News

Knowledge @ Wharton

Activity

Latest Research

Christopher Geczy and Mikhail Samonov (2018), Two Centuries of Price-Return Momentum, Financial Analysts Journal, Volume 72 (No. 5).
All Research

In the News

Living Longer, Saving Less: What it Will Mean for Retirement

Changes in the economy, the nature of employment benefits and attitudes toward work more generally have made planning for retirement more complicated than ever.

Knowledge @ Wharton - 2019/07/22
All News

Awards and Honors

Investment for Impact Research Prize, Center for Responsible Business, Haas School of Business, University of California, Berkeley, 2018. 2019
All Awards