CURRICULUM VITAE
DAVID CHARLES NACHMAN
September, 2005
Department of Finance Born: 12/14/44, Columbus, Ohio
College of Business Administration Home: 1284 Hedge Rose Drive
Georgia State University Atlanta, Georgia 30324
Atlanta, Georgia 30303-3083 (404) 633-2223
(404) 651-1696
e-mail:
ACADEMIC EXPERIENCE
9/1992 - present: Professor of Finance, Department of Finance, J. Mack Robinson College of Business, Georgia State University, Atlanta, GA.
9/1989 - 9/1992: Professor of Finance, Ivan Allen College of Management, Policy, and International Affairs, Georgia Institute of Technology, Atlanta, GA.
9/1983 - 8/1989: Associate Professor of Finance, College of Management, Georgia Institute of Technology, Atlanta, GA.
9/1981 - 8/1983: Associate Professor of Finance, Graduate School of Business Administration, New York University, New York, NY.
1/1981 - 12/1981: Visiting Associate Professor, Finance Division, Graduate School of Business, Columbia University, New York, NY.
7/1977 - 1/1981: Associate Professor of Management Science (tenured 7/1978), College of Management, Georgia Institute of Technology, Atlanta, GA.
9/1973 - 7/1977: Assistant Professor, College of Industrial Management, Georgia Institute of Technology, Atlanta, GA.
EDUCATION
Ph.D. Graduate School of Management, Northwestern University, Evanston, IL (8/1973).
Major: Managerial Economics and Decision Sciences
Minor: Finance
M. S. Graduate School of Management, Northwestern University, Evanston, IL (8/1971).
Major: Managerial Economics and Decision Sciences
Minor: Finance
Part-time, M.B.A. program, College of Administrative Sciences, Ohio State University, Columbus, OH (1967 - 1969).
B. S. College of Administrative Sciences, Ohio State University, Columbus, OH (6/1967).
Major: Finance
RESEARCH
PUBLICATIONS:
Articles in Books
"Consistency and Continuity of Choice in a Sequence of Spot and Futures Markets," (with R. P. Kertz), in Equilibrium Theory in Infinite Dimensional Spaces, M. A. Kahn and N. C. Yannelis, eds., Springer-Verlag, 1991, 370-415.
"Reputation and Investment Incentives," (with Kose John), as the appendix to "Risky Debt, Investment Incentives, and Reputation in a Sequential Equilibrium," in Frontiers of Finance: The Batterymarch Fellowship Papers, D. H. Miller and S. C. Myers, eds., Basil Blackwell, 1990.
"Risky Debt, Investment Incentives, and Reputation in a Sequential Equilibrium," (with Kose John), reprinted in Frontiers of Finance: The Batterymarch Fellowship Papers, D. H. Miller and S. C. Myers, eds., Basil Blackwell, 1990.
Articles in Refereed Journals
"The Equivalent Loan Principle and the Value of Corporate Promised Cash Flows," Journal of Applied Finance, 13 (Spring/Summer 2003), 5-18.
“Asymmetric Information, Asset Substitution and the Design of Securities,” Advances in Financial Economics, 2 (1996), 151-185, (with Thomas H. Noe).
"Operating Efficiency and Output Insensitive Employment Contracts for Capital Management," Economic Theory, 5 (1995), 315-335 (with Thomas H. Noe).
"Optimal Design of Securities Under Asymmetric Information," Review of Financial Studies , 7 (Spring, 1994), 1-44 (with Thomas H. Noe).
"Spanning and Completeness with Options," Review of Financial Studies, 1 (1989),
311 - 328.
"Stochastic Equilibria," Journal of Mathematical Economics, 17 (1988), 69 - 75.
"Efficient Funds for Meager Asset Spaces," Journal of Economic Theory, 43 (December, 1987), 335 - 247.
"Risky Debt, Investment Incentives, and Reputation in a Sequential Equilibrium," Journal of Finance, 40 (July, 1985), 863 - 878 (with Kose John).
"Preservation of 'More Risk Averse' under Expectations," Journal of Economic Theory, 28 (December, 1982), 361 - 368.
"Optimal Stopping with a Horizon Constraint," Mathematics of Operations Research, 5 (February, 1980), 126 - 134.
"On the Theory of Risk Aversion and the Theory of Risk," Journal of Economic Theory, 21 (October, 1979), 317 - 335.
"Persistently Optimal Plans for Nonstationary Dynamic Programming: The Topology of Weak Convergence Case," Annals of Probability, 7 (October, 1979), 811 - 826 (with Robert P. Kertz).
"Risk Aversion, Impatience, and Optimal Timing Decisions," Journal of Economic Theory, 11 (October, 1975), 196 - 246.
"A Framework for Evaluating Securities Performance Forecasts," Journal of Bank Research, 2 (Summer, 1971), 19 - 29 (with Edwin H. Neave).
BOOK REVIEWS:
“Financial Innovation and Risk Sharing”, by Franklin Allen and Douglas Gale, The MIT Press, Cambridge, Mass., 1994, in the Journal of Finance, 50 (September, 1995), 1331-1335.
WORKING PAPERS:
“Stochastic Majorization: A Characterization,” Working Paper, Department of Finance, J. Mack Robinson College of Business, Georgia State University, Atlanta, GA, 30303-3083, August, 2005.
"Timing Ventures: The Under Investment Problem," Working Paper, Department of Finance, J. Mack Robinson, Georgia State University, Atlanta, GA, 30303-3083, September, 2004.
“Forward Prices, Yields, and the Cost of Carry in Discrete-Time Full-Carry Markets,” Working Paper, Department of Finance, J. Mack Robinson, Georgia State University, Atlanta, GA, 30303-3083, September, 2003 (with Stephen D. Smith).
“On the Optimality of Private Production and Public Liquidity,” Working Paper, Department of Finance, J. Mack Robinson College of Business, Georgia State University, Atlanta, GA, 30303-3083, March, 2001 (with Stephen D. Smith).
"Economic and Financial Applications of Conditional Stochastic Orders," Working Paper, Department of Finance, College of Business Administration, Georgia State University, Atlanta, GA 30303-3083, May, 1997 (with Thomas H. Noe and Michael J. Rebello).
"The Structure of Attainable Claims," Working Paper, College of Management, Georgia Institute of Technology, Atlanta, GA 30332, March, 1991.
"Design of Securities under Asymmetric Information," Working Paper, College of Management, Georgia Institute of Technology, Atlanta, GA 30332, March, 1990, (with Thomas H. Noe).
"On the Optimality of Intertemporal Smoothing of Dividends," Working Paper, College of Management, Georgia Institute of Technology, Atlanta, GA 30332, July, 1987, (with Kose John).
“Arbitrage Operations and Market Expansion,” Working Paper, College of Management, Georgia Institute of Technology, Atlanta, GA 30332, November, 1985.
"Temporary Competitive Equilibrium in a Sequence of Spot and Futures Markets," Working Paper, Graduate School of Business Administration, New York University, New York, NY 10006, September, 1982.
"Risk Aversion and Voter Participation," Working Paper, Graduate School of Business Administration, New York University, New York, NY 10006, August, 1981.
WORK IN PROCESS:
“Notes on Uncertain Asset Substitution.” The purpose of these notes is to formulate a simple model of a firm with independent and identically distributed cash flows where the distribution of cash flows may shift (asset substitution), but where the timing of this shift is uncertain. Consequences of the shift for the dynamic behavior of firm value, equity value, and debt value are examined.
“Liquidity and Efficiency in a Model of Production under Uncertainty.” Joint work with Stephen D. Smith. Firms with private information about the outcomes of production under uncertainty may face capital (liquidity) constraints that prevent them from attaining efficient levels of investment. The private information precludes raising capital in public capital markets. A simple pooling scheme designed to provide a public (cooperative) supply of liquidity is examined. A sufficient condition on returns to scale of the private production technology is identified that allows implementation of efficient levels of investment. This condition is satisfied if the elasticity of scale of the production technology is sufficiently small.
“Leverage, Maturity Structure, and the Value of Growth Opportunities in Regulated Industries.” Joint work with Roger Morin on the effect of regulation on reducing the investment incentive problems in firms with debt outstanding.
“Wholesale vs. Retail Markets: A Rationale for Separating Secondary Markets for Trading Securities.” Joint work with Jason Greene on the welfare analysis of separate markets for trading securities.
"The Effect of Adverse Selection Risks in Secondary Markets on Capital Raising in Primary Markets.” Joint work with Thomas H. Noe on the role of informed trading in secondary asset markets on the design of and pricing of securities offered in primary capital markets.
"The Pricing of Default Risk." A planned study with Stephen D. Smith to develop a theory of asset pricing that accommodates both residual claims and securities that are subject to default risk, i. e., both equity and debt securities.
"Quantity Contingent Claims and the Structure of Attainable Claims." A study of the spanning properties and pricing issues of claims that are single contracts for a portfolio of primitive securities, where the quantities of each primitive security is allowed to vary with the prices of other primitive securities. This work has produced the working paper "The Structure of Attainable Claims" listed above, and is ongoing.
"Dividend Policy and Financing Decisions under Asymmetric Information." Joint work with Kose John on the effects of optimal financing choices on the dividend policy of the firm. The working paper "On the Optimality of Intertemporal Smoothing of Dividends," listed above is part of this work.
"Pricing Assets by Arbitrage." This study is concerned with the description of the set of assets that can be priced by arbitrage from a given set of traded assets, the so-called arbitrage closure of the traded assets. This study gave rise to the papers "Efficient Funds for Meager Asset Spaces," "Spanning and Completeness with Options," and "Arbitrage Operations and Market Expansion," on related issues listed above.
"Reputation and Asset Substitution." A planned study with Kose John on the effects of repeated investment decisions on the incentives of shareholders to shift to risky investments in the presence of risky debt.
"Dividend Policy in a Dynamic Setting." Joint work with Kose John on the effects of repeated investment on the determinants of corporate dividend policy. The working paper "On the Optimality of Intertemporal Smoothing of Dividends" listed above is part of this work.
"Valuation under Asymmetric Information." This work examines the idiosyncratic nature of risk in cases characterized by an asymmetry of information between firm managers and suppliers of capital to the firm. The objective is to understand the extent to which this risk can be priced in a manner consistent with the treatments in the extant literature and the extent to which this risk is important as a determinant of the firm's financial policy.
RECENT PRESENTATIONS:
"Timing Ventures: The Under Investment Problem"
Atlanta Finance Workshop, Georgia State University, September, 2003.
Southern Finance Association 2004 Annual Meeting, Naples, November 2004.
“Forward Prices, Yields, and the Cost of Carry in Discrete-Time Full-Carry Markets”
Georgia Association of Economics and Finance, 31st Annual Spring Conference,
Savannah, February, 2003.
Southern Finance Association 2003 Annual Meeting, Charleston, December 2003.
“Liquidity and Efficiency in a Model of Production under Uncertainty”
Southern Finance Association 1999 Annual Meeting, Key West, November, 1999.
"Asymmetric Information, Asset Substitution and the Design of Securities"
Atlanta Finance Workshop, Georgia State University, December, 1994.
Financial Contracting segment, Stanford Institute for Theoretical Economics,
July, 1996.
Southern Finance Association 1996 annual Meeting. Key West, November, 1996.
"Economic and Financial Applications of Conditional Stochastic Orders"
Econometric Society Winter Meeting, Washington D. C., January, 1995.
"Optimal Design of Securities Under Asymmetric Information"
Finance Workshop, Northwestern University, Evanston, IL, November, 1990.
Finance Workshop, Tulane University, New Orleans, LA, September 1991.
Finance Workshop, University of Arizona, Tucson, AR, November, 1991.
Finance Workshop, University of Illinois at Chicago, February, 1992.
"Design of Securities under Asymmetric Information"
Finance Workshop, University of British Columbia, Vancouver, Canada, September, 1989.
Finance Workshop, McGill University, Montreal, Canada, October, 1989.
Finance Workshop, New York University, New York, NY, December, 1989.
Finance Workshop, University of Pittsburgh, Pittsburgh, PA, March, 1990.
Finance Workshop, Washington University, St. Louis, MO, April, 1990.
Finance Workshop, Columbia University, New York, NY, April, 1990.
Western Finance Association Annual Meeting, Santa Barbara, CA, June, 1990.
International Conference on Game Theory, Stony Brook, NY, July, 1990.
"The Structure of Attainable Claims"
American Finance Association 1988 Annual Meeting, New York, December, 1988.
Finance Seminar, College of Business, Ohio State University, March, 1989.
European Finance Association Meeting, Stockholm, Sweden, September, 1989.
Finance Seminar, School of Business, Georgia State University, March, 1991.
"On the Optimality of Intertemporal Smoothing of Dividends"
American Finance Association 1986 Annual Meeting, New Orleans, Louisiana, December, 1986.
Finance Seminar, School of Management, University of Minnesota, Minneapolis, Minnesota, April, 1987.
Western Finance Association Meeting, San Diego, California, June, 1987.
Symposium on Strategic Issues in Financial Contracting, School of Business, Indiana University, Bloomington, Indiana, August, 1987.
Financial Management Association Meeting, Las Vegas, Nevada, October, 1987.
Merrill Lynch Finance Seminar, School of Organization and Management, Yale University, New Haven, Connecticut, November, 1987.
Finance Seminar, Graduate School of Management, Rutgers University, Newark, New Jersey, December, 1987.
European Finance Association Meeting, Istanbul, Turkey, September, 1988.
Finance Seminar, Neeley School of Business, Texas Christian University, December, 1988.
"Options, Spanning, and Completeness." A talk covering the three papers "Spanning and Completeness with Options," "Efficient Funds for Meager Asset Spaces," and "Arbitrage Operations and Market Expansion" given at:
College of Business Administration, University of Houston, Houston, Texas, July, 1986.
Graduate School of Business, University of Southern California, Los Angeles, California, April, 1986.
College of Business, University of Florida, Gainesville, Florida, April, 1986.
"Reputation and Investment Incentives," Western Finance Association Meeting, Scottsdale, Arizona, June, 1985.
"Risky Debt, Investment Incentives, and Reputation in a Sequential Equilibrium," American Finance Association Meeting, Dallas, Texas, December, 1984.
Presentations at various society and professional meetings and work shops from 1973 to 1983.
GRANTS APPLIED FOR AND RECEIVED
"Market Expectations and Asset Valuation," New York University, Graduate School of Business Administration, Summer Research Grant, 1983.
"Portfolio Selection, Diversification, and Models of Dependence in Asset Returns," New York University, Graduate School of Business Administration, Summer Research Grant, 1982.
"Expectations and Equilibrium Over Time."
National Science Foundation Grant SOC 7820169, February, 1979 to July, 1981.
National Science Foundation Grant SOC 75-14663 (With R. P. Kertz and F. B. Shipley), June, 1975 to November, 1977.
These two grants provided funding for the work with R. P. Kertz on dynamic programming and for my work on temporary equilibrium in futures markets, on optimality and equilibrium, and on merging of opinions.
PROFESSIONAL AFFILIATIONS AND ACTIVITY
AFFILIATIONS:
American Finance Association, Western Finance Association, Financial Management Association, The Society for Financial Studies, The Econometric Society, The Society for the Promotion of Economic Theory, The Institute of Mathematical Statistics, International Association of Financial Engineers, Southern Finance Association, American Mathematical Society.