KEYNOTE SPEAKER

Sheridan Titman - University of Texas at Austin, USA

Talk Title:

The Predictability of Characteristic-Sorted Portfolio Returns

Abstract:

Firm sizes and book-to-market ratios are both highly correlated with the average returns of common stocks. Eugene F. Fama and Kenneth R. French (1993) argue that the association between these characteristics and returns arise because the characteristics are proxies for nondiversifiable factor risk. In contrast, the evidence in this article indicates that the return premia on small capitalization and high book-to-market stocks does not arise because of the comovements of these stocks with pervasive factors. It is the characteristics rather than the covariance structure of returns that appear to explain the cross-sectional variation in stock returns.

Short Bio:

Sheridan Dean Titman is a professor of finance at The University of Texas at Austin, where he holds the McAllister Centennial Chair in Financial Services at the McCombs School of Business. Professor Titman holds a B.S. degree from the University of Colorado and an M.S. and Ph.D. from Carnegie Mellon University.

In 1985, professor Titman won the most prestigious award in finance; The Batterymarch Fellowship.

His paper "Evidence on the Characteristics of the Cross-Sectional Variation in Stock Returns" won the coveted Smith Breeden Prize for best publication in the #1 ranked Journal of Finance with co-author Kent Daniel in 1997. Sheridan was the president of the American Finance Association in 2012.

Titman’s most known research is on momentum investing in existing market trends. Robert Shiller who won the Nobel Prize for research in market returns called the 1993 Narasimhan Jegadeesh and Sheridan Titman Journal of Finance publication, Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency "a bombshell." Without this evidence, it would have been difficult for Shiller to formulate the theoretical arguments to countermand efficiency theorist assertions that arbitrage eventually quells persistent positive alpha - and particularly so for such a simple approach as momentum.

Professor Sheridan Titman was one of the shoulders of giants that Shiller stood upon when he accepted the Nobel Prize in economics with Eugene Fama in 2013.

In addition, Dr. Titman was the chair of the department of finance of UCLA from 1992 to 1994. Sheridan is also one of the founding professors of the School of Business and Management at the Hong Kong University of Science and Technology - one the most academically active business schools in Asia. He served as the John J. Collins, S.J. Chair in Finance at Boston College From 1994 to 1997. In 1988 to 89, Titman worked in Washington D.C. as the special assistant to the Treasury Assistant Secretary for Economic Policy.

Titman’s academic publications include articles on asset pricing, corporate finance, and real estate. He has served on the editorial boards of the Journal of Finance and the Review of Financial Studies. Sheridan has co-authored three influential finance textbooks, Financial Markets and Corporate Strategy, Valuation: The Art and Science of Corporate Investment Decisions, and Financial Management: Principles and Applications.

Professor Titman was called in as the President of the American Finance Association when University of Chicago professor Raghuram Rajan stepped down to accept his position as head of the central bank of India in 2012. That year he also served as the President of the Western Finance Association. Dr. Titman has served as Director of the Asia Pacific Finance Association and the Financial Management Association.

The Multi-Finance Society and the University of Puerto Rico are deeply honored to welcome this world renowned financial thought leader as keynote speaker for our January meeting at the Caribe Hilton in San Juan, Puerto Rico. Come join us for this enlightening discussion with professor Sheridan Titman entitled "The Predictability of Characteristic-Sorted Portfolio Returns."