Joel M. Vanden

Color portrait of Joel M. Vanden

Associate Professor of Finance

Department Finance
Office Address 341 Business Building
Phone Number 814-865-3784
Email Address jmv13@psu.edu

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Joel Vanden is an Associate Professor of Finance in the Smeal College of Business at The Pennsylvania State University. Professor Vanden received his Ph.D. from the University of California at Berkeley, his MBA from the University of California at Los Angeles, and a B.S. in Engineering from the University of Illinois, Urbana-Champaign. Before joining the Smeal College of Business in 2008, Professor Vanden was a finance professor for nine years at the Tuck School of Business at Dartmouth College. At the Tuck School, Professor Vanden taught second-year MBA electives in the areas of derivative markets and debt markets. On the research side, Professor Vanden received the Paul Raether Tuck '73 Fellowship for outstanding scholarly achievements. Prior to getting his Ph.D. and joining the Tuck School, Professor Vanden spent several years working in the private sector for Bank of Boston Corporation, SunAmerica Life Insurance Company, Financial Engineering Associates, Chalke Incorporated (asset liability management), and Westinghouse Electric Corporation.

Expertise

Professor Vanden's research is focused primarily on the area of asset pricing. Professor Vanden has examined the role that non-redundant options play in explaining equity returns; how option coskewness impacts stock prices; the use of structured debt for solving the asset substitution problem; how information quality affects option values; the role of price manipulation for explaining derivative prices; and how portfolio insurance contributes to volatility regime switching. His research on option coskewness was awarded a research grant from the Institute for Quantitative Research in Finance (The Q Group). Currently, Professor Vanden is interested in how imperfect competition affects mutual fund fees and how diversification impacts optimal corporate capital structures.

Education

Ph D, Finance, University of California, Berkeley, 1999

MBA, Finance, University of California, Los Angeles, 1990

BS, Engineering, University of Illinois, Urbana-Champaign, 1986

Courses Taught

FIN 410 – Derivative Markets (3)
Functions, techniques, and impact of speculation conducted through forward markets; the nature of speculative transactions, pricing, and methods of trading.

Selected Publications

Vanden J. M., Grishchenko O., Zhang J., "The Informational Content of the Embedded Deflation Option in TIPS." Journal of Banking and Finance, vol. 65, 2016, pp. 1-26
lead article
Vanden J. M., "Optimal Capital Structures for Private Firms." Annals of Finance, vol. 12, no. 2, 2016, pp. 245-273
Vanden J. M., "Noisy Information and the Size Effect in Stock Returns." Annals of Finance, vol. 11, no. 1, 2015, pp. 77-107
Vanden J. M., "Online supplement to Vanden, J., 2015, "Noisy Information and the Size Effect in Stock Returns," Annals of Finance.." DOI: 10.1007/s10436-014-0250-0, 2015
Vanden J. M., "General Properties of Isoelastic Utility Economies." Mathematical Finance, vol. 25, no. 1, 2015, pp. 187-219
Vanden J. M., Garcia D., "Information Acquisition and Mutual Funds." Journal of Economic Theory, vol. 144, no. 5, 2009, pp. 1965-1995
Vanden J. M., Garcia D., "Online supplement to Garcia, D. and J. Vanden, 2009, "Information Acquisition and Mutual Funds," Journal of Economic Theory.." https://ars.els-cdn.com/content/image/1-s2.0-S0022053109000477-mmc1.pdf, 2009
Vanden J. M., "Asset Substitution and Structured Financing." Journal of Financial and Quantitative Analysis, vol. 44, no. 4, 2009, pp. 911-951
Vanden J. M., "Information Quality and Options." Review of Financial Studies, vol. 21, no. 6, 2008, pp. 2635-2676
Vanden J. M., "Exact Superreplication Strategies for a Class of Derivative Assets." Applied Mathematical Finance, vol. 13, no. 1, 2006, pp. 61-87
Vanden J. M., "Option Coskewness and Capital Asset Pricing." Review of Financial Studies, vol. 19, no. 4, 2006, pp. 1279-1320
Vanden J. M., "Portfolio Insurance and Volatility Regime Switching." Mathematical Finance, vol. 16, no. 2, 2006, pp. 387-417
Vanden J. M., "Equilibrium Analysis of Volatility Clustering." Journal of Empirical Finance, vol. 12, no. 3, 2005, pp. 374-417
Vanden J. M., "Digital Contracts and Price Manipulation." Journal of Business, vol. 78, no. 5, 2005, pp. 1891-1915
Vanden J. M., "Options Trading and the CAPM." Review of Financial Studies, vol. 17, no. 1, 2004, pp. 207-238
Vanden J. M., "Managing Interest Rate Risk Using the Surplus Ratio." Contingencies, 1993

Editorships

The Financial Review, Associate Editor, September 2018 - September 2021
The Financial Review, Associate Editor, September 2015 - September 2018