David A. Hsieh
Professor of Economics
David A. Hsieh is the Bank of America Professor at the Fuqua School of Business, Duke University. He is a member of the finance area. Professor Hsieh received a B.Sc. from Yale University in 1976 for a double major in Economics and Mathematics, and a Ph.D. in Economics from the Massachusetts Institute of Technology in 1981. He taught at the Graduate School of Business, University of Chicago from 1981 to 1989, after which he joined the Fuqua faculty in 1989. He holds a secondary appointment in the Duke Economics Department.
Professor Hsieh’s research interest is in financial risk management. His current research focuses on the risk and return of hedge funds, with articles appearing in the Journal of Finance, Review of Financial Studies, Journal of Portfolio Management, Journal of Fixed Income, and Financial Analyst Journal. He has presented his research on hedge funds to the Federal Reserve, the International Monetary Fund, the Bank for International Settlements, the Commodities Futures Trading Commission, in addition to academic audiences at universities and conferences. He appeared before the Securities and Exchange Commission in the May 2003 Hedge Fund Roundtable. His earlier work was in statistical modeling of high frequency financial data, especially volatility clustering in stocks, bonds, and currencies.
In 1990, Professor Hsieh won the Smith-Breeden First Prize for the best paper in the Journal of Finance with Nobel Laureate Merton Miller. In 1999, he won the Fischer Black Memorial Foundation’s Robert J. Schwartz Memorial Prize for the best paper on hedge funds with William Fung. In 2002, he received Fuqua’s Bank of America Faculty Award, and the Teaching in Excellence Award from the Duke Cross-Continent Executive MBA Class of 2002. In 2004, he received the Graham and Dodd Award of Excellence from the CFA Institute. He has served as the finance editor of Management Science.
- Ph.D., Massachusetts Institute of Technology 1981
- B.S., Yale University 1976
Esquivel, Patricia, Alvaro Orjuela, Marcelo Paes Barros, and Coralia Osorio. “Potential Opportunities and Challenges for Research Collaboration with Latin America in Agriculture and Food Science.” Journal of Agricultural and Food Chemistry 65, no. 37 (September 12, 2017): 8096–98. https://doi.org/10.1021/acs.jafc.7b03572. Full Text
Edelman, D., W. Fung, and D. A. Hsieh. “Exploring uncharted territories of the hedge fund Industry: Empirical characteristics of mega hedge fund firms.” Journal of Financial Economics 109, no. 3 (September 1, 2013): 734–58. https://doi.org/10.1016/j.jfineco.2013.04.003. Full Text
Edelman, D., W. Fung, D. A. Hsieh, and N. Y. Naik. “Funds of hedge funds: Performance, risk and capital formation 2005 to 2010.” Financial Markets and Portfolio Management 26, no. 1 (March 1, 2012): 87–108. https://doi.org/10.1007/s11408-011-0180-z. Full Text
Fung, W., and D. A. Hsieh. “The risk in hedge fund strategies: Theory and evidence from long/short equity hedge funds.” Journal of Empirical Finance 18, no. 4 (September 1, 2011): 547–69. https://doi.org/10.1016/j.jempfin.2011.04.001. Full Text
Fung, William, and David A. Hsieh. “Perspectives: Measurement Biases in Hedge Fund Performance Data: An Update.” Financial Analysts Journal 65, no. 3 (June 4, 2009).
Fung, W., and D. A. Hsieh. “Measurement biases in hedge fund performance data: An update.” Financial Analysts Journal 65, no. 3 (May 1, 2009): 36–38. https://doi.org/10.2469/faj.v65.n3.6. Full Text
Fung, W., D. A. Hsieh, N. Y. Naik, and T. Ramadorai. “Hedge funds: Performance, risk, and capital formation.” Journal of Finance 63, no. 4 (August 1, 2008): 1777–1803. https://doi.org/10.1111/j.1540-6261.2008.01374.x. Full Text
Fung, William, and David A. Hsieh. “Will Hedge Funds Regress Towards Index-Like Products?” Journal of Investment Management 5, no. 2 (2007).
Hsieh, D. A. “Hedge Fund Replication Strategies: Implications for Investors and Regulators.” Financial Stability Review 10 (2007): 55–66.
Hsieh, David A. “The Search for Alpha—Sources of Future Hedge Fund Returns.” Cfa Institute Conference Proceedings Quarterly 23, no. 3 (September 2006): 79–89. https://doi.org/10.2469/cp.v23.n3.4262. Full Text
Brock, William A., David A. Hsieh, and Blake LeBaron. Nonlinear Dynamics, Chaos, and Instability - Unix version. Vol. 1, 1992.
Brock, William A., David Arthur Hsieh, and Blake Dean LeBaron. Nonlinear Dynamics, Chaos, and Instability: Statistical Theory and Economic Evidence Hauptbd. Cambridge University Press, 1991.
Hsieh, D. A., and W. Fung. “The Risks in Hedge Fund Strategies: Alternative Alphas and Alternative Betas.” In Managing the Risks of Alternative Investment Strategies, edited by L. Jaeger. Prentice Hall, 2003.
Hsieh, D. A., W. Fung, and K. Tsatsaronis. “Do Hedge Funds Disrupt Emerging Markets.” In Wharton-Brookings Papers on Financial Services, 377–421, 2000.
Hsieh, D. A., and A. Kleidon. “Bid-Ask Spreads in Foreign Exchange Markets: Implications for Models of Asymmetric Information.” In The Microstructure of Foreign Exchange Markets, edited by G. Galli and A. Giovannini, 41–65. National Bureau of Economic Research, 1996.
Hsieh, D. A., and A. Kleidon. “Bid-Ask Spreads in Foreign Exchange Markets: Implications for Models of Asymmetric Information.” edited by J. Frankel, G. Galli, and A. Giovannini, 41–65. Chicago: University of Chicago Press, 1996.
Hsieh, D. A., W. Fung, and J. Leitner. “Exploiting the Interest Rate Differential in Currency Trading.” In Strategic Currency Investing: Trading and Hedging in the Foreign Exchange Market, edited by A. Gitlin, 260–86. Probus Publishing Company, 1993.
Hsieh, D. A. “Estimating the Dynamics of Volatility.” In Conference on Financial Innovation: 20 Years of Black/Scholes and Merton, 507–21. Fuqua School of Business, 1993.
Hsieh, D. A., R. A. Gallant, and W. Barnett. “On Fitting a Recalcitrant Series: the Pound/Dollar Exchange Rate, 1974-83.” In Nonparametric and Semiparametric Methods in Econometrics and Statistics, Proceedings of the Fifth International Symposium in Economic Theory and Econometrics, edited by William Barnett, James Powell, and George Tauchen, 199–240. Cambridge University Press, 1991.
Hsieh, D. A., A. R. Gallant, and G. Tauchen. “On Fitting a Recalcitrant Series: the Pound/Dollar Exchange Rate.” In Nonparametric and Semiparametric Methods in Econometrics and and Statistics, Proceedings of the Fifth International Symposium in Econmic Theory and Econometrics, edited by W. A. Barnett, J. Powell, and G. Tauchen, 199–240. Cambridge: Cambridge University Press, 1991.
Hsieh, D. A., and J. Huizinga. “Gold in the Optimal Portfolio.” In The Reconstruction of International Monetary Arrangements, edited by R. Aliber, 212–61. London: MacMillan, 1987.
Hsieh, David A. “What Can Central Bankers Learn from Hedge Fund Replication Strategies?,” 331–47, 2009.
Hsieh, D. A. “Hedge funds styles.” In Computational Finance 1999, edited by Y. S. AbuMostafa, B. LeBaron, A. W. Lo, and A. S. Weigend, 359–67. M I T PRESS, 2000.