academic experience educational background - umsl.edu · emphases in finance and quantitative...

Vita (2015) G. D’Anne Hancock Weise

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VITA G. D’ANNE HANCOCK WEISE

ASSOCIATE RESEARCH PROFESSOR OF FINANCE COLLEGE OF BUSINESS ADMINISTRATION

UNIVERSITY OF MISSOURI- ST. LOUIS ST. LOUIS, MO 63121-4499

[email protected] (314) 516-6149

ACADEMIC EXPERIENCE

1994-present Associate Research Professor of Finance, UNIVERSITY OF MISSOURI-ST. LOUIS 1988-94 Assistant Research Professor of Finance, UNIVERSITY OF MISSOURI-ST. LOUIS 1987-88 Visiting Assistant Professor of Finance, LOYOLA UNIVERSITY, New Orleans 1986-87 Instructor of Finance, UNIVERSITY OF NEW ORLEANS

EDUCATIONAL BACKGROUND 1987 Ph.D. in Financial Economics, UNIVERSITY OF NEW ORLEANS

Dissertation: “An Application of Option Pricing Theory to Value Proxy Contests for Control.” 1986 M.A. in Economics, UNIVERSITY OF NEW ORLEANS

Emphases in Finance and Quantitative Methods 1984 M.B.A. UNIVERSITY OF NEW ORLEANS, Emphasis in Finance 1981 B.S. in Business Administration, COLORADO STATE UNIVERSITY

SCHOLARLY RESEARCH

A. REFEREED PUBLICATIONS 1. Hancock, G.D. “Volatility ETNs: Do They Deliver?” Journal of Investing, 2013, Vol. 22, No.

3(Fall 2013).

2. Hancock, G.D. “VIX Futures ETNs: Three Dimensional Losers,” Accounting and Finance Research, Vol. 2, No. 3, (2013), pp. 53-64.


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3. Hancock, G.D. “Inverse VIX Futures ETNs: Caveat Emptor,” Journal of Index Investing (Fall 2013).

4. Hancock, G.D. “Hedging with VIX Futures: What is the Optimal Hedge Ratio?” Review of

Futures Markets (Fall 2013).

5. Hancock, G.D. “Behind the Rejection of Alternate Measures of Implied Volatility,” Journal of Financial Risk Management (Forthcoming Spring 2013).

6. Hancock, G.D. “Global Conversion Factor Irregularities: Can They Be Exploited?” International

Research Journal of Applied Finance, (Spring 2012), vol. III, issue 7, pp. 903-928.

7. Hancock, G.D. “VIX and VIX Futures Pricing Algorithms: Cultivating Understanding,” Modern Economy, (Spring 2012), 3, pp. 284-294.

8. Hancock, G.D. “How Much Is Too Much? The Case of the Anheuser-Busch InBev Takeover,” International Review of Accounting, Banking and Finance, (Fall 2010) pp. 23-31.

9. Hancock, G.D., “A Text Book Treatment of Measuring Returns on Non-Traditional Portfolios,” Review of Financial Economics (Spring 2005), pp. 173-186

10. Hancock, G.D., “German Unification: Implications for European Union,” Global Business and

Finance Review (Spring 1996), pp. 31-38.

11. Hancock, G.D., and P.D. Weise, “Competing Derivative Equity Instruments: Empirical Evidence on Hedged Portfolio Performance,” The Journal of Futures Markets (June 1994), pp. 421-436.

12. Hancock, G.D., “Whatever happened to the Triple Witching Hour?,” Financial Analyst Journal

(May/June 1993), pp. 66-72.

13. Hancock, G.D., “The Use of Stock Index Futures to Forecast the Opening Value of Spot Indices,” American Business Review (January 1993), pp. 51-58.

14. Hancock, G.D., “The Call Option Implicit in Proxy Contested Firms,” Review of Financial

Economics (Summer 1992), pp. 53-67.


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15. Hancock, G.D., and T.K. Mukherjee, “Applying Margrabe’s Exchange Option Model to Pricing Proxy Contests,” Journal of Business Finance and Accounting (November 1992), pp. 889-900. (Adapted from Dissertation).

16. Hancock, G.D., “Battles for Control: An Overview of Proxy Contests,” Managerial Finance

(Vol.18 1992), pp. 59-76.

17. Hancock, G.D., “Futures Options Expiration and Volatility in the Stock Index Futures Market,” Journal of Futures Markets (Vol. 11 1991), pp. 319-330.

18. Hancock, G.D., and Mbodja Mougoue’, “The Impact of Financial Factors on Proxy Contest

Outcomes,” Journal of Business Finance and Accounting (Vol. 18 1991), pp. 541-551.

19. Hancock, G.D., “Proxy Contests: The Evidence,” Journal of Applied Business Research (Vol. 6 1990), pp. 1-9.

20. Hancock, G.D., “Fiscal Policy, Monetary Policy and the Efficiency of Stock Prices,” Economic Letters (Vol. 31 1989), pp. 65-69.

B. PAPERS UNDER REVIEW Hancock, G.D. “Volatility ETNs: Do They Deliver?” Studies in Economics and Finance (6-20-13).

C. WORKING PAPERS 1. Hancock, G.D., “VIX Futures Maturities: Implications for Performance,” 2. Hancock, G.D., “The Predictive Power of Vix” 3. Hancock, G.D., “Inverse Volatility Funds or Short the Long?” 4. Hancock, G.D., “Investing in Long Volatility ETNs: An Act of Irrationality?”

D. TEXT BOOKS-PUBLISHED

1. Hancock-Weise, G.D. Financial Forensics: The Science of Derivatives. (McGraw-Hill, 2011): 500 pages. 2. Hancock, G.D. Basic Derivative Concepts. (McGraw-Hill, 2006): 578 pages.


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E. TEXTBOOK CONTRIBUTIONS Author: Instructor’s Manual-Financial Forensics: The Science of Derivatives (McGraw-Hill,

2011) pp. 109. Instructor’s Manual-Basic Derivative Concepts (McGraw-Hill, 2006) pp. 102. Contributor: International Investments by Bruno Solnik (Addison-Wesley, Spring, 1999). Prepared CFA exam problems for new edition of text. Modern Financial Intermediaries and Markets, by Nasser Arshadi and Gordon Karels (Prentice-Hall, 1997). Reviewer: International Investments by Bruno Solnik (Addison-Wesley, Fall, 1998, 2003 Understanding Futures Markets by Robert W. Kolb (Kolb Publishing, 1994). Derivative Markets by Peter Ritchkin (Harper-Collins, Spring, 1994). Essentials of Investments by Bodie, Kane and Marcus (Irwin, Spring 1993). Basic Financial Management by William March (John Wiley & Sons, Spring 1992).

INSTRUCTIONAL RESPONSIBILITIES

A. UNIVERSITY OF MISSOURI-ST. LOUIS International Investments (Undergraduate) – FIN3582/INTL3582 International Investments (Graduate) – FIN6581/INTL6581

Investments (Undergraduate)- FIN3520 Financial Engineering: Applying Derivatives (Undergraduate)-FIN3521

Financial Forensics: The Science of Derivatives (Graduate)-FIN6521 Corporate Finance (Undergraduate)- FIN3500 Security Analysis (Graduate)- FIN6520

B. LOYOLA UNIVERSITY Financial Institutions (Undergraduate)

Commercial Bank Management (Undergraduate)

C. UNIVERSITY OF NEW ORLEANS Financial Management (Undergraduate)

Security Analysis (Undergraduate) Introduction to Business (Undergraduate)


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COURSE DEVELOPMENTS 1. Financial Engineering: Applying Derivatives, 1988 BA(335/3521)Undergraduate 2. International Finance, 1993 BA(380/3582)Undergraduate

3. International Finance, Investments and Commercial Relations, 1994 BA(416/6580) Graduate 4. Financial Forensics: The Science of Derivatives, 1997 BA (457/6521) Graduate

DIRECTED STUDIES (sample) The Case of Japan’s Stock Market (Nguyen Ngo, Graduate) Is Malaysia Terminally Ill? (Chotirat Roksawin-Graduate) CFA Level I and II targeted studies Ph.D. Candidate Research Director (William Allen-graduate). Multinational Corporate Finance The Economic Health of Asia and Europe: A Comparison

PROFESSIONAL ACTIVITIES A. MEMBER

American Finance Association ( ) AFA Chartered Financial Analyst Institute ( ) CFAI Financial Management Association International ( ) FMA Global Association of Risk Management Professionals ( ) GARP Midwest Finance Association ( ) MFA St. Louis Society of Financial Analysts ( ) SLSFA The Foundation for Economic Education (FEE) Southwestern Finance Association ( ) SWFA Southern Finance Association ( ) SFA Eastern Finance Association ( ) EFA Southwestern Economics Association ( ) SWEA B. PROFESSIONAL DEVELOPMENT Level III , 2016 CFA Level I Financial Risk Manager ( ), 2016. FRM Continuing Education in Derivatives (On-line/GARP, 2012-15). Investments Workshop (On-line/McGraw-Hill, 3/3/09).


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Student Success Workshop (UMSL, 6/19/06). Using Mygateway to Enhance Teaching (UMSL-Wide, Sep. 2006). Teaching & Technology Presentations (UMSL, Nov. 4, 2006). Participant in the Chartered Financial Analyst ( ) program (level I and level II. CFA Classroom Performance System On-line Class Work (Spring 2006). Focus on Teaching and Technology Consortium (November 2005).

Meritorious Award for Continuing Education, (1998, 2000, 2001, AIMR/CFAI2002, 2003, 2004).

C. INVITED ACTIVITIES

1. Guest Educator: “Understanding VIX,” (June 2014/Mar 2014). Edward Jones 2. Recruiting: “College as an Investment,” (2012). Parkway South High School 3. Referee: Journal of Applied Finance, Journal of Futures Markets, Review of

Financial Economics, Financial Analysts Journal, Journal of Public Policy, JOR, Global Business and Finance Review, Journal of Financial Education

4. Fellow: International Business Institute ( , August 26th, 2006). UMSL5. Panelist: “Integrating the program in Collegiate class rooms,” CFA (Chicago, MFA 2006). 6. Collaborator: Don Boudreaux, President, Foundation for Financial Education (2000, 2003). 7. Speaker: “Futures Hedging,” (February 1993). Wayne State University “Futures and Options Markets,” Cleveland State University (Two day lecture, April 1991). 8. Reviewer: Outside reviewer in the tenure decision of Assistant Professor Haigang Zou, CFA, . (June 2011). Cleveland State University Outside reviewer in the promotion decision of Assistant Professor Joseph Onochie, . (Spring 1997). Baruch College9. Tenure Committee Haigang Zou, Ph.D., CFA. Cleveland State University (Fall 2011). 10. Research Board: Research Board (Fall 1994, University of Missouri System Spring 1995, Spring 1996, Fall 1996, Spring 1997, Fall 1998, Spring 1999, Spring 2000, Fall 2001, Spring 2002, Spring 2003).


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D. CONFERENCE RESPONSIBILITIES 1. Track Chair: Special Session Chair, , Minneapolis, 2007) MFA Derivatives Track Chair, , Chicago, 2000) MFA 2. Planning Com.: UMSL Teaching and Technology Conference, , 2006 UMSL 3. Judge: Best Paper Award in Derivatives, , Chicago, 2000. MFA 4. Chairperson: “International Issues,” , Nashville, 1999 MFA

“Investments,” , Chicago, 998 MFA “International Corporate Finance,” , Indianapolis, 1995. MFA “International Finance,” , Toronto, Canada, 1993 FMA “Option Pricing and Option Market Efficiency,” Indianapolis, 1993 MFA, “Market Efficiency: Extending the Tests,” , St. Louis,1991 MFA 5. Program Com.: , Chicago (March 1998, April 1992), Kansas City (March MFA

1997), Indianapolis (March 1995, April 1993). , Toronto, Canada (October, 1993 FMA

E. PAPER PRESENTATIONS 1. , Philadelphia, January 2005. American Finance Association 2. March 2002. Edward Jones, , March 2000. 3. UMSL Interdisciplinary Seminar Series

December 1993. UMSL ISS, September 1997. UMSL ISS,

September 1998 UMSL ISS, March 1993. UMSL ISS,

, September 1990. UMSL ISS March 1990. UMSL ISS,

November 1988. UMSL ISS, St. Louis, February 2000. 4. St. Louis University, Nashville, March 1999. 5. Midwest Finance Association, , Indianapolis, March 1995. MFA Indianapolis, April 1993. MFA, , Chicago, March 1992. MFA , Chicago, March 1990. MFA


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6. April 1992. UM-Columbia Seminar Series, April 1991. 7. Cleveland State University Doctoral Seminar Series, Orlando, October 1990. 8. Financial Management Association, , Washington D.C., November 1987. 9. Southern Finance Association , Dallas, March 1987. 10. Southwest Economics Association F. PAPER DISCUSSANT 1. Midwest Finance Association Chicago, IL, March 2006. 1 Nashville, TN, March 1999.

Chicago, March 1998. Kansas City, March 1997. Chicago, March 1996. Indianapolis, April 1995. Chicago, March 1992. St. Louis, April 1991. Cincinnati, March 1989. St. Louis, MO, March 2003.

November 1992. 2. University of Missouri-Columbia, 3. Financial Management Association New Orleans, October 1988.

Las Vegas, October 1987. Orlando, October 1990. Toronto, October 1993. Chicago, IL, October 2005. Toronto, Canada, October 200 4. American Finance Association Bal Harbor, April 1988.

Houston, March 1985, 1987. 5. Southwest Finance Association


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SERVICE ACTIVITIES

A. UNIVERSITY SERVICE 2014-15 Ad Personam Chair, Michael Costello (COBA/Finance Department) 2011-13 Faculty Advisor, UM-St. Louis Finance Honor Society and FMA-NHS (COBA) International Business Committee (COBA) UMSL Discrimination Grievance Panel for Students (University Wide) 2010-12 Graduate Studies Committee (COBA) UMSL Discrimination Grievance Panel for Students (University Wide) Faculty Advisor, UM-St. Louis Finance Honor Society and FMA-NHS (COBA) Graduate Studies Committee (COBA) Chair-Recruitment Committee, Peter Schick Endowed Chair (COBA) Faculty Liason, CFA Global Investment Research Challenge (COBA) 2009-10 Doctoral Dissertation Committee for Orlando Smith (Adult Education) UMSL Discrimination Grievance Panel for Students (University Wide) Faculty Advisor, UM-St. Louis Finance Honor Society and FMA-NHS (COBA) Graduate Studies Committee (COBA) 2008-09 Chair of Graduate Studies Committee (COBA) UMSL Discrimination Grievance Panel for Students (University Wide) Faculty Advisor, UM-St. Louis Finance Honor Society and FMA-NHS (COBA) Graduate Studies Committee (COBA) 2007-08 Recruiting Committee for Finance Area-Thomas Williams (COBA) UMSL Discrimination Grievance Panel for Students (University Wide) Faculty Advisor, UM-St. Louis Finance Honor Society and FMA-NHS (COBA) Graduate Studies Committee (COBA) 2006-07 UMSL Discrimination Grievance Panel for Students (University Wide) Faculty Advisor, UM-St. Louis Finance Honor Society and FMA-NHS (COBA) Graduate Studies Committee (COBA) Faculty Teaching and Technology Committee (University Wide) 2005-06 Faculty Advisor, UM-St. Louis Finance Honor Society and FMA-NHS (COBA) Undergraduate Studies Committee (COBA) 2004-05 Faculty Advisor, UM-St. Louis Finance Honor Society and FMA-NHS (COBA) Undergraduate Studies Committee (COBA) Recruitment Committee for Finance Area-Hung-Gay Fung (COBA)

Senate Committee on Committee’s (University Wide) Senate Finance Committee (University Wide)

Faculty Grievance Panel (University Wide) 2003-04 Faculty Advisor, UM-St. Louis Finance Honor Society and FMA-NHS (COBA)


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Undergraduate Studies Committee (COBA) Senate Committee on Committee’s (University Wide) Senate Finance Committee (University Wide) Faculty Grievance Panel, Chairperson (University Wide)

Faculty Research and Development Committee (COBA) Faculty Research and Development Committee (COBA) College of Business Dean’s Search Committee (COBA) College of Business Administration representative to the UM Senate (COBA)

Doctoral Faculty Selection Committee (University Wide) 2002-03 Faculty Advisor, UM-St. Louis Finance Honor Society and FMA-NHS (COBA) Undergraduate Studies Committee (COBA) Faculty Grievance Panel (University Wide)

Doctoral Faculty Selection Committee (University Wide) International Emphasis Area Faculty Committee (COBA) Doctoral Faculty (COBA) General Studies Program Committee (University Wide) 2001-02 Faculty Advisor, UM-St. Louis Finance Honor Society and FMA-NHS (COBA) Undergraduate Studies Committee (COBA)

Doctoral Faculty Selection Committee (University Wide) International Emphasis Area Faculty Committee (COBA) Doctoral Faculty (COBA) General Studies Program Committee (University Wide) Doctoral Faculty Review Committee (COBA) Program Development Committee (University Wide) General Studies Degree Committee (Evening College) 2000-01 Faculty Advisor, UM-St. Louis Finance Honor Society and FMA-NHS (COBA) Undergraduate Studies Committee (COBA) International Emphasis Area Faculty Committee (COBA) Doctoral Faculty reviewed: 2001(COBA)

General Studies Program Committee (University Wide) Program Development Committee (University Wide) General Studies Degree Committee (Evening College)

Faculty Teaching and Service Awards Committee (University Wide) Student Disciplinary Panel (University Wide)

1999-00 Faculty Advisor, UM-St. Louis Finance Honor Society and FMA-NHS (COBA) Undergraduate Studies Committee (COBA) International Emphasis Area Faculty Committee (COBA) Doctoral Faculty (COBA) Graduate Council’s Curriculum and Instruction Committee (University Wide) 1998-99 Faculty Advisor, FMA-NHS (COBA)


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Undergraduate Studies Committee (COBA) International Emphasis Area Faculty Committee (COBA) Doctoral Faculty (reviewed: 1996, 2001)(COBA)

Ad Personam Committee for Dr. Hung-Gay Fung (COBA) Graduate Council Program Development Committee (University Wide) Department Representative to Student Fulbright Committee (Area) External Relations Committee (COBA) 1997-98 Faculty Advisor, FMA-NHS (COBA) International Emphasis Area Faculty Committee (COBA) Doctoral Faculty-reviewed: 1996, 2001(COBA) Graduate Council Program Development Committee (University Wide) Department Representative to Student Fulbright Committee (University Wide) External Relations Committee (University Wide) Tenure and Promotion Task Force (University Wide) Chancellor’s Advisory Committee (University Wide) 1996-97 Faculty Advisor, FMA-NHS (COBA) Doctoral Faculty-reviewed: 1996(COBA)

Tenure and Promotion Task Force (COBA) Chancellor’s Advisory Committee (University Wide) Chancellor's Committee on Review (5-Year Self-Study) UM-St. Louis Student Conduct Panel (University Wide) Undergraduate Studies Committee (COBA) Patent, Copyright and Univ-Sponsored Edu Material Committee (University Wide) 1995-96 Faculty Advisor, FMA-NHS (COBA) Doctoral Faculty(COBA) UM-St. Louis Student Conduct Panel (University Wide) Undergraduate Studies Committee (COBA) 1994-95 Faculty Advisor, FMA-NHS (COBA) Doctoral Faculty (COBA) Senate Committee on Student Affairs-Secretary (University Wide) Faculty Council (University Wide)

Faculty Research and Development Committee-Chairperson (COBA) 1993-94 Faculty Advisor, FMA-NHS (COBA) Doctoral Faculty (COBA)

Faculty Research and Development Committee (COBA) 1992-93 Faculty Advisor, FMA-NHS (COBA) Doctoral Faculty(COBA)

Ad Hoc Committee for Student Assessment (COBA) 1991-92 Faculty Advisor, FMA-NHS (COBA) Doctoral Faculty (COBA)


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GPA Prerequisite Committee-Chairperson (COBA) Travel Committee (COBA)

1990-91 Faculty Advisor, FMA-NHS (COBA) Doctoral Faculty (COBA) GPA Prerequisite Committee-Chairperson (COBA) Graduate Studies Committee (COBA)

1989-90 Faculty Advisor, FMA-NHS (COBA) Policy Committee (COBA)

A. GRANTS, AWARDS AND HONORS 2013 25 year Service Award 20 year Service Award, 2008 2004 Continuing Education Awards from AIMR (1998-2004 inclusive) 2003 15 year Service Award 2001 Fellow of the UM- St. Louis Center for International Studies 1996 Meritorious Service Award from UM-System Intl Patent Committee, 1996-98 1998 10 year Service Award 1995 UM-St. Louis School of Business Teaching Release-Funded 1994 UM-St. Louis School of Business Teaching Release-Rejected 1993 Certificate of Recognition for Work with disabled Students 1992 Meritorious Service Award From Students with disabilities 1991 St. Louis School of Business Teaching Release-Funded 1990 FMA Membership Development Silver Club Award 1991 Proposal Submitted to the Study of Futures Markets-Rejected 1989 Proposal Submitted to Gulf Oil Corporation-Rejected 1988 FMA Outstanding Chapter Gold Club Award 1989 Proposal Submitted to the National Science Foundation-Rejected 1987 Omicron Delta Epsilon Outstanding Paper Competition-Funded 1985 Beta Gamma Sigma 1984 Phi Kappa Phi Honor Society Alpha Theta Epsilon Honor Society

B. COMMUNITY OUTREACH 2012 Parkway South High School presentation, “College as an Investment Decision,” (March 14th, 2012). 2010 Dave Otto, Edward Jones, "How to Select a Stock," 1997-2010. 2009 Channel 5 Noon News interview “The decline in the stock market” (March 4th, 2009). 2008 Channel 2 Morning News interview “The Anheuser-Busch Takeover (July 9th, 2008). Channel 2 Evening News interview the Anheuser-Busch Takeover (June 4th, 2008). 2006 Channel 5 Morning News interview “Ameren is at Risk” (December 13th, 2006).


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Annual party for finance honor students. Years: 1988 to 2006 with Ken Locke. 2005 Belleville News interview “Identity Theft Protection Policy” (December 12th, 2005). 2004 Eclipse Capital interview "The Use of Derivatives in Hdg Currency Risk exposure." 2002 Finance Area representative at the Financial Executive Institute Faculty liaison for the St. Louis Women’s Security Group (1997 to 2002) Interview with Arthur Anderson “The Use of Derivatives in Asia.” 2000 Presented Dave Otto with the “FMA-NHS St. Louis Businessman of the Year,” Featured in the UM-St. Louis Advertising Campaign. 1998 College of Business representative for the Institute of Women and Gender Studies. Discussed “Returns on Speculative Positions,” St, Louis Women’s Security Group. Discussed “Domestic and International Stock Markets,” St. Joseph’s Academy. News Bites radio interview “Possible Presidential impeachment and the market” (9/23/98). New Bites “The impact of on-going impeachment trial on the stock market” (10/2/98). 1997 Presentation “Should You Go to College?” Fort Zumwalt SH and McCluren NH. New Bites interview “The Microsoft purchase of non-voting shares of Apple (8/6/97). KMOX radio interview “The Boeing/McDonnell Douglas merger (12/17/97). 1996 New Bites radio interview “The Boeing/McDonnel Douglas merger” (12/17/96). Channel 5 Television interview “The Boeing/McDonnel Douglas merger” (12/16/96). Metro News radio interview “The Boatmen’s/Nation’s Bank merger” (9/5/96). News Bites radio interview “The Boatmen’s/Nation’s Bank merger” (9/5/96). 1995 News Bites radio interview “The value of the dollar vs the U.S. stock market” (5/12/95). News Bites radio interview “The 132 point decline in the DJIAs” (7/21/95). News Bites radio interview “The IBM bid for Lotus (6/13/95). News Bites radio interview “The McDonnel Douglas and Boeing Merger (11/20/95). Solutions magazine interview “The usefulness of the DJIAs as a market Indicator” (6/28/95). 1994 News Bites radio interview “The takeover bid for Chrysler.” News Bites radio interview “ThenOrange County Bankruptcy.” News Bites radio interview “Movements in the stock market.” 1993 St. Louis County News “Dow Imperfect Barometer of Economy,”(10/24/93, 11/3/93, and 11/7/93). Pattonville High School “College Night” 1992 Seminar for Parkway School District’s Early childhood Organization. 1991 Represented COBA at the Financial Executives Institute banquet (1991, 1996, 2000, 2002).

academic experience educational background - umsl.edu · emphases in finance and quantitative...

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