Curriculum Vita

John H. and Mary Lou Dasburg Chair
Professor of Finance

Department of Finance, Insurance and Real Estate
University of Florida
Warrington College of Business
Gainesville, FL 32611
(352) 392-7546 (Office)
(352) 392-0301 (Fax)
Email: mahen.nimalendran@warrington.ufl.edu

AREAS OF INTEREST

  • Market Microstructure
  • Derivatives
  • Investments
  • Hedge Funds
  • Econometrics and empirical methods in finance

EDUCATION

  • Ph.D., Business Administration (Finance), University of Michigan, August 1990.
  • MBA, University of Michigan, May 1986.
  • MS, University of Hawaii, May 1978.
  • B.Sc., University of Sri Lanka, 1973.

HONORS AND OTHER APPOINTMENTS

  • Graduate Coordinator (Ph.D. Program in Finance): 2013-present
  • John H. and Mary Lou Dasburg Chair and Professor, September 2011-Present
  • Visiting Professor – University of New South Wales, Australia, February 2012- April 2012
  • Visiting Professor – University of Auckland, New Zealand, November 2011- February 2012
  • Visiting Professor – Victoria University of Wellington, New Zealand, October 2011 – November 2011
  • Chair, Department of Finance, Insurance, and Real Estate: August 2007- August 2010
  • Visiting Professor, Universidad Panamericana, Guadalajara, Mexico, Summer 2008
  • Visiting Academic Scholar, Securities and Exchange Commission: August 2004 – December 2005
  • Visiting Professor, Bocconi University, Milan, Italy, Summer 2001 & Summer 2002
  • Visiting Associate Professor, The University of Michigan, Ann Arbor, Michigan: Fall 1996 & Fall 1997
  • Graduate Coordinator (Ph.D. Program in Finance): 1998 – 2004, and 2006 to 2007
  • Teacher of the year award – Warrington College of Business, 2002.
  • BankAmerica Professor: August 2000- August 2011
  • Emerson-Merrill Lynch Chair: 1998 -2000
  • Barnett Bank Faculty Fellow: 1993-98
  • Dykstra Fellowship, awarded for demonstrated skills at teaching, University of Michigan, 1989-90
  • Thomas William Leabo Memorial Award, awarded for high academic standing and commitment to the teaching profession, University of Michigan, 1988-89
  • Rodkey Fellowship, University of Michigan, 1986-88
  • Doctoral Consortium Fellow, Financial Management Association, 1989
  • FMA Competitive paper award in investments sponsored by the American Association of Individual Investors, 1994. The award was for the paper titled “Changes in Trading Patterns Following Stock Splits and their Impact on Market Microstructure: Theory and Evidence,” coauthored with A. Desai and S. Venkataraman.
  • The best paper in the Journal of Financial Research award, 1998. “Changes in Trading Patterns Following Stock Splits and their Impact on Market Microstructure: Theory and Evidence,” coauthored with A. Desai and S. Venkataraman.
  • Member Beta Gamma Sigma

GRANTS AND SPONSORED RESEARCH

  • Visiting Academic Scholar at the Securities and Exchange Commission under an IPA agreement. Salary and benefits were reimbursed by the SEC. August 2004 – December 2005.
  • University of Florida, Division of Sponsored Research, Research Support Program for New Faculty (DSR-D) grant for 1990-91.
  • University of Florida, Division of Sponsored Research, Graduate Research Assistantship Program ( DSR-B) grant for 1994-95.
  • The Real Estate Research Institute grant, 1999: “Estimating Returns on Commercial Real Estate: A New Methodology Using Latent Variable Models,” with Andy Naranjo.
  • Summer Research Grant, Warrington College of Business Administration, University of Florida, 1991-2013.

PUBLICATIONS (Refereed)

  • “Informational Linkages between Dark and Lit Trading Venues,” with Sugata Ray. Journal of Financial Markets, March 2013.
  • “The 2007-09 Financial Crisis and Bank Opaqueness,”with Mark Flannery and Simon Kwan and Mark, Journal of Financial Intermediation, January 2013, 22(1), 55-84. Received the Stuart Greenbaum Award for the “Most Significant Paper” Published in JFI during 2013.
  • “Margins and Hedge Fund Contagion,” with Evan Dudley, the Journal of Financial and Quantitative Analysis, Vol. 46, pp. 1227-1257, Oct. 2011.
  • “Are Institutional Investors Really Prudent Investors? The Effect of Fiduciary Standards on Institutional Holdings of (Non-) Dividend-Paying Stocks,” with Kristine Watson Hankins and Mark Flannery. Financial Management, Vol. 37, Issue 4, Winter 2008, pp 647-671.
  • “Do Today’s Trades Affect Tomorrow’s IPO Allocations?” With Jay Ritter and D. H. Zhang, the Journal of Financial Economics, v 84, 87-109, April 2007.
  • “Market Evidence on the Opaqueness of Financial Firms’ Assets,” with Mark Flannery and Simon Kwan, the Journal of Financial Economics, v 71, pp. 419-460, March 2004.
  • “Market Structure and Trader Anonymity: An Analysis of Insider Trading,” with Jon A. Garfinkel, Journal of Financial and Quantitative Analysis, v 38 n 3, pp 591-610, September 2003.
  • “Do Thinly-Traded Stocks Benefit from Specialist Intervention?” With Giovanni Petrella, Presented at the conference on “Future of Stock Exchanges in a Globalizing World” in Toronto, August 2002. The Journal of Banking & Finance, v 27 n 9,pp. 1823-1854, September 2003.
  • “Time Variation of Ex-Dividend Day Stock Returns and Corporate Dividend Capture,” with A. Naranjo and M. Ryngaert, Journal of Finance, v55 n5, pp 2359-2374,October 2000.
  • “Estimating Returns on Commercial Real Estate: A New Methodology Using Latent Variable Models, with D. Ling and A. Naranjo, Real Estate Economics, v28 n2, pp 205-231, summer 2000.
  • “The Impact of Government Intervention on Transactions Costs in Foreign Exchange Markets,” with A. Naranjo, Review of Financial Studies, v 13 n 2, Summer 2000.
  • “Stock Returns, Dividend Yields, and Taxes,” with A. Naranjo and M. Ryngaert, Journal of Finance, v 53 n 6, December 1998.
  • “Changes in Trading Activity Following Stock Splits and Their Effect on Volatility and the Adverse Information Component of the Bid-Ask Spread,” with A. Desai and S. Venkataraman, Journal of Financial Research, v 21 n2, Summer 1998. Best paper published in the Journal of Financial Research award, 1998.
  • “An Unobserved Component Panel Data Model to Study the Effects of Earnings Surprises on Stock Prices, Volume of Trading and Bid-Ask Spreads,” with G. S. Maddala, Journal of Econometrics, v 68 n 1, July 1995.
  • “Estimating the Effects of Information Surprises and Trading on Stock Returns Using a Mixed Jump Diffusion Model,” Review of Financial Studies, v 7 n 3, Fall 1994.
  • “Trading Volume and Transactions Costs in Specialist Markets,” with T. George and G. Kaul, Journal of Finance, v 49 n 4, September 1994.
  • “Estimation of the Bid-Ask Spread and its Components: A New Approach,” with T. George and G. Kaul, Review of Financial Studies, v 4 n 4, November 1991.
  • “Components of Short Horizon Individual Security Returns,” with J. Conrad and G. Kaul, Journal of Financial Economics 29, October 1991.
  • “Price Reversals: Bid-Ask Errors or Market Overreaction?” with G. Kaul, Journal of Financial Economics 28, March 1991.

Conference Proceedings and Other Publications

  • “Market evidence on the opaqueness of financial firms’ assets,” with Mark Flannery and Simon Kwan, 33rd Annual Conference on Bank Structure and Competition Proceedings, May 1997.
  • “Sources of stock return volatility,” with Min Zhu, American Statistical Association Proceedings, 1997.
  • “Errors in variables problems in finance,” with G. S. Maddala, Handbook of Statistics, Vol. 14, Statistical Methods in Finance (Ed. G. S. Maddala and C. R. Rao), Elsevier Science, 1996.
  • “Roll Model,” Encyclopedia of Quantitative Finance, Vol. 4, pp. 1597-1598, February 2010, Wiley

WORKING PAPERS AND WORK IN PROGRESS

  • “Do Hedge Funds Have Target Leverage,” with Evan Dudley.
  • “Volatility and Directional Information-Base Trading in Options,” with Yong Jin and Sugata Ray.
  • “Corporate Bond Market Transparency: Liquidity Concentration, Informational Efficiency, and Competition,” with A. K. Edwards.
  • “Bond Ratings, Private Information, and Declining Credit Quality” with M. Livingston, A. Naranjo, and L. Zhou.
  • “The Evolution of Investor Information: Evidence from Public Securities Offerings,” with C. R. Alexander and L. Walsh.

TEACHING EXPERIENCE

University of Florida, Warrington College of Business Administration

Undergraduate Courses
  • Financial Management – Capstone course for undergraduate finances majors. The topics covered include investment, financing, and payout decisions. The course uses a combination of cases and lectures to link financial theories to practical applications.
  • Equity and Capital Markets – Structure and operation of stock markets, portfolio theory, asset pricing models, stock valuation, and construction, management and performance evaluation of portfolios.
  • Investments -Derivative Securities: Structure and operation of options and futures markets, valuation of options and futures, and the use of options and futures for hedging, speculating and arbitrage.
MBA Courses
  • Securities Trading – The focus of this course is on the operations of securities markets, broker/dealer intermediaries, and managing the transactions costs associated with trading. Trading simulations is an important component of this course and is used to provide in-class demonstrations of relevant concepts and hands-on experience in making trading decisions in different market structures.
  • Derivative Markets – Valuation of derivatives, hedging market risk, applications of derivatives for risk management, and financial engineering.
Ph.D. Course
  • Market Microstructure and Econometrics of Financial Markets – Statistical properties of stock returns, security price performance, tests of market efficiency, tests of asset pricing models, theoretical and empirical research in finance.
Executive and Internet MBA Programs
  • Principles of Finance – Managers MBA
    • Portfolio Theory, Asset Pricing, Valuation of Stocks and Bonds, Derivative Markers, Risk Management, and Financial Engineering.
  • Corporate Finance – Executive MBA and Internet based Executive MBA
    • The topics covered include investment, financing, and payout decisions. The course uses a combination of cases and lectures to link financial theories to practical applications. The course is taught via the Internet.
  • Investments – Professional MBA
    • The main focus of this course is on active investment management and performance evaluation. That is how to construct a portfolio of assets or securities and actively manage the portfolio. The topics covered l include the following: Securities Markets, Portfolio theory, Securities Analysis & valuation (Debt, Equity, & Derivatives), and portfolio management.

The University of Michigan, Ann Arbor, Michigan, Visiting Associate Professor

  • Fall 1996, Corporate Financial Theory (MBA)
  • Fall 1997, Investments (MBA)

Bocconi University, Milan, Italy–Visiting Professor

  • Summer 2001 and 2002, Market Microstructure (Ph.D. Seminar)

Universidad Panamericana, Guadalajara, Mexico, Visiting Professor

  • Summer 2008, Derivative Products (Executive MBA Course)

Victoria University of Wellington, Victoria International Applied Finance Program, Visiting Professor

  • September 2011, Hedge Funds (Graduate Students)

Australian School of Business, University of New South Wales, Sydney, Australia, Visiting Professor

  • February 2012 – April 2012, Ph.D. Workshop , Market Microstructure

EDITORIAL

  • Associate Editor – The Journal of Financial Markets, 1997-.to date
  • 1990 to present – ad hoc reviewer for the following journals
    • The Financial Review, The International Review of Economics and Finance, The Journal of Economics and Business, The Journal of Finance, Journal of Financial and Quantitative Analysis, Journal of Financial Intermediation, The Journal of Financial Research, Journal of Financial Services Research, Journal of Futures Market The Review of Financial Studies.
  • Reviewed Radcliffe’s Investments text (3 rd. ed.) for Harper Collins College Publishing, 1993.
  • Evaluated papers for the Financial Management Association’s Competitive Paper Award, 1993.
  • Reviewed manuscripts submitted for presentation at the Financial Management Association Meetings, 1994.
  • Reviewed manuscripts for the JFI sponsored conference, 1994.
  • Coordinated the review and selection of manuscripts submitted for presentation at the Symposium on Market Microstructure and the Design of Financial Systems. The symposium was organized by the finance group at the University of Amsterdam, in collaboration with the Journal of Financial Intermediation and the Banking Research Center at Northwestern University (responsible for 21 papers), 1995.
  • Reviewed Radcliffe’s Investments text (4 Th. ed.) for Harper Collins College Publishing, 1995.
  • Reviewed three chapters of the manuscript Derivative Securities by Robert Jarrow and Stuart Turnbull for Southwestern College Publishing, 1995.

MEMBERSHIP AND ACTIVITIES IN THE PROFESSION

a) Membership of Professional Organizations

  • American Finance Association
  • Financial Management Association
  • Western Finance Association

b) Conferences Attended/Participated

  • Financial Management Association Meetings, 1991( Discussant),1994, 1999(Discussant)
  • Southern Finance Association, 1991 (Discussant)
  • Western Finance Association Meetings, 1991 and 1996
  • American Finance Association Meetings, 1993, 1994
  • New York Stock Exchange, Academic Day on the Trading Floor Program, New York, 1994
  • Fifth Annual Conference on Financial Economics and Accounting and the Third Mitsui Life Symposium on Global Financial Markets, University of Michigan, 1994
  • National Conference on Finance Ethics, University of Florida,1995(Session Chairman)
  • Symposium on Market Microstructure and the Design of Financial Systems, Sponsored by JFI/BRC and the Finance Group at the University of Amsterdam, Northwestern University, 1995
  • Symposium on the Organization of Financial Trade and Exchange Mechanisms, Indiana University, 1995 (Discussant)
  • Coordinated a session for the FMA meetings, 1996
  • University of Michigan presented a paper, 1996
  • Coordinated a session for the FMA meetings, 1997
  • Attended the WFA meetings (discussant), 1998
  • Attended a 2-day workshop hosted by the TLT Group and Wake Forest University on the applications of information technology to the teaching/learning process, 1998
  • Attended a one-day seminar sponsored by NASD for faculty, 1998
  • Attended the FMA meeting (discussant), 1999
  • Emory University, 1999 (presented a paper)
  • AFA meetings, 2000, presented a paper
  • Journal of Financial Management-Yale International Center for Finance Market Microstructure Conference, April 28, presented a paper
  • FMA 2001, Organized and chaired a session
  • Presented papers at University of Missouri (2005), University of Alabama (2002), Virginia Tech (2002), and University of Houston (2002)
  • Attended AFA meetings (2003, 2004, 2005, 2007)
  • Attended FMA Europe (2005, 2007)
  • Attended WFA (2005)
  • Attended MTS Conference in Rome (2007)
  • Chinese Academy of Finance and Development, Central University of Finance and Economics, Presented a paper, Summer 2008
  • Shanghai University of Finance and Statistics Conference, Discussant, Summer 2008
  • Attended AFA Meetings, 2009 & 2010
  • Discussant at the FIRS meeting in Prague, Summer 2009
  • Presented papers at Victoria University(2011), University of Canterbury (2011), Massey university (2011), University of Auckland (2012), University of New South Wales (2012), Babson University (2014)
  • Presented paper at the United States, Securities and Exchange Commission (2012)

SERVICE

  • Chair, Department of Finance, Insurance, and Real Estate: August 2007- August 2010
  • D. coordinator for the Department of Finance, Insurance, and Real Estate, 1998-2004, & 2006- 2007
  • Member of the University of Florida Student Conduct Committee (1993-96)
  • Minority Mentor Program (1994-95)
  • Coordinator for the Department’s Web Page (1996)
  • Member of the College of Business Information Resources Committee (1996-97)
  • Member of the Business School’s Graduate Studies Committee, 1998-2004 & 2006-2007

PROFESSIONAL EXPERIENCE AND CONSULTING

  • Section Leader, Mining Industry Technical Services, Zambia Consolidated Copper Mines Ltd., Zambia, 1980-84. Managed the mining industry statutory inspection services section.
  • Engineer, Sri Lanka Petroleum Corporation, Sri Lanka, 1974-80.
  • United States Securities and Exchange Commission (SEC), Consulting (IPO litigation)
  • Davis Monk and Co., Consulting (Employee stock options)
  • Freddie Mac, Consulting (Employee Stock Options)
  • United States Securities and Exchange Commission (SEC)/OEA, consulting (Employee Stock Options, Regulation 12(g)), 2006 – 2010.