Michael W. Brandt | Scholars@Duke

Michael W. Brandt
Kalman J. Cohen Distinguished Professor of Business Administration

Professor Brandt conducts empirical and theoretical research in finance. His current work focuses on real-time processing of macroeconomic data by financial markets. He also works on quantitative portfolio management, risk management, currency and fixed income markets, and financial econometrics. Professor Brandt's research has appeared in leading academic journals, including the American Economic Review, Journal of Business, Journal or Finance, Journal of Financial Economics, Journal of Monetary Economics, and Review of Financial Studies. He served as co-editor of the Review of Finance, the official journal of the European Finance Association, and as associate editor of the Journal of Finance, the official journal of the American Finance Association. He is a Faculty Research Associate of the National Bureau of Economic Research (NBER). Prior to joining Fuqua in 2003, Professor Brandt was at the Wharton School of the University of Pennsylvania for six years.

Current Appointments & Affiliations

Kalman J. Cohen Distinguished Professor of Business Administration, Fuqua School of Business, Duke University 2011
Professor of Business Administration, Fuqua School of Business, Duke University 2007

Contact Information

Background
Education, Training, & Certifications
- Ph.D., The University of Chicago 1998
- M.B.A., The University of Chicago 1997
- M.S., London School of Economics (United Kingdom) 1993
- B.A., Westminster College of Salt Lake City 1992
Previous Appointments & Affiliations
- Associate Professor of Business Administration, Fuqua School of Business, Duke University 2003 - 2007
Recognition
In the News
- NOV 26, 2013 The Wall Street Journal
  
  Michael Brandt, co-authors propose new economic data-tracking model
Awards & Honors
- Researcher (NBER Family Members). National Bureau of Economic Research. 1999
Expertise
Global Scholarship
- Expertise
  - Europe (Continent)
Research
External Relationships
- QMS Capital Management LP
Publications & Artistic Works
Selected Publications
- Academic Articles
  - Beber, A., M. W. Brandt, J. Cen, and K. A. Kavajecz. “Mutual fund performance: Using bespoke benchmarks to disentangle mandates, constraints and skill.” Journal of Empirical Finance 60 (January 1, 2021): 74–93. https://doi.org/10.1016/j.jempfin.2020.12.001.
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  - Brandt, M. W., F. Nucera, and G. Valente. “Can Hedge Funds Time the Market?” International Review of Finance 19, no. 2 (June 1, 2019): 459–69. https://doi.org/10.1111/irfi.12171.
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  - Brandt, M. W., and L. Gao. “Macro fundamentals or geopolitical events? A textual analysis of news events for crude oil.” Journal of Empirical Finance 51 (March 1, 2019): 64–94. https://doi.org/10.1016/j.jempfin.2019.01.007.
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  - Brandt, M. W., and D. A. Chapman. “Linear approximations and tests of conditional pricing models.” Review of Finance 22, no. 2 (March 1, 2018): 455–89. https://doi.org/10.1093/rof/rfy003.
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  - Beber, A., M. W. Brandt, and M. Luisi. “Distilling the macroeconomic news flow.” Journal of Financial Economics 117, no. 3 (September 1, 2015): 489–507. https://doi.org/10.1016/j.jfineco.2015.05.005.
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  - Van Binsbergen, J., M. Brandt, and R. Koijen. “On the timing and pricing of dividends.” American Economic Review 102, no. 4 (June 1, 2012): 1596–1618. https://doi.org/10.1257/aer.102.4.1596.
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  - Beber, A., M. W. Brandt, and K. A. Kavajecz. “What does equity sector orderflow tell us about the economy?” Review of Financial Studies 24, no. 11 (November 1, 2011): 3688–3730. https://doi.org/10.1093/rfs/hhr067.
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  - Brandt, M. W. “Portfolio Choice Problems,” December 1, 2010, 269–336. https://doi.org/10.1016/B978-0-444-50897-3.50008-0.
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  - Brandt, M. W., A. Brav, J. R. Graham, and A. Kumar. “The idiosyncratic volatility puzzle: Time trend or speculative episodes.” Review of Financial Studies 23, no. 2 (February 1, 2010): 863–99. https://doi.org/10.1093/rfs/hhp087.
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  - Beber, A., and M. W. Brandt. “When it cannot get better or worse: The asymmetric impact of good and bad news on bond returns in expansions and recessions.” Review of Finance 14, no. 1 (January 1, 2010): 119–55. https://doi.org/10.1093/rof/rfp006.
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  - Brandt, M. W., P. Santa-Clara, and R. Valkanov. “Parametric portfolio policies: Exploiting characteristics in the cross-section of equity returns.” Review of Financial Studies 22, no. 9 (September 1, 2009): 3411–47. https://doi.org/10.1093/rfs/hhp003.
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  - Beber, A., M. W. Brandt, and K. A. Kavajecz. “Flight-to-quality or flight-to-liquidity? Evidence from the euro-area bond market.” Review of Financial Studies 22, no. 3 (March 1, 2009): 925–57. https://doi.org/10.1093/rfs/hhm088.
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  - Beber, A., and M. W. Brandt. “Resolving macroeconomic uncertainty in stock and bond markets.” Review of Finance 13, no. 1 (January 1, 2009): 1–45. https://doi.org/10.1093/rof/rfn025.
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  - Van Binsbergen, J. H., M. W. Brandt, and R. S. J. Koijen. “Optimal decentralized investment management.” Journal of Finance 63, no. 4 (August 1, 2008): 1849–95. https://doi.org/10.1111/j.1540-6261.2008.01376.x.
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  - Brandt, M. W., K. A. Kavajecz, and S. E. Underwood. “Price discovery in the treasury futures market.” Journal of Futures Markets 27, no. 11 (November 1, 2007): 1021–51. https://doi.org/10.1002/fut.20275.
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  - Binsbergen, J. H. van, and M. W. Brandt. “Solving dynamic portfolio choice problems by recursing on optimized portfolio weights or on the value function?” Computational Economics 29, no. 3–4 (May 1, 2007): 355–67. https://doi.org/10.1007/s10614-006-9073-z.
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  - Beber, A., and M. W. Brandt. “The effect of macroeconomic news on beliefs and preferences: Evidence from the options market.” Journal of Monetary Economics 53, no. 8 (November 1, 2006): 1997–2039. https://doi.org/10.1016/j.jmoneco.2006.05.013.
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  - Brandt, M. W., and C. S. Jones. “Volatility forecasting with range-based EGARCH models.” Journal of Business and Economic Statistics 24, no. 4 (October 1, 2006): 470–86. https://doi.org/10.1198/073500106000000206.
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  - Brandt, M. W., and P. Santa-Clara. “Dynamic portfolio selection by augmenting the asset space.” Journal of Finance 61, no. 5 (October 1, 2006): 2187–2217. https://doi.org/10.1111/j.1540-6261.2006.01055.x.
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  - Brandt, M. W., J. H. Cochrane, and P. Santa-Clara. “International risk sharing is better than you think, or exchange rates are too smooth.” Journal of Monetary Economics 53, no. 4 (May 1, 2006): 671–98. https://doi.org/10.1016/j.jmoneco.2005.02.004.
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  - Brandt, M. W., and F. X. Diebold. “A no-arbitrage approach to range-based estimation of return covariances and correlations.” Journal of Business 79, no. 1 (January 1, 2006): 61–73. https://doi.org/10.1086/497405.
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  - Brandt, M. W., and C. S. Jones. “Bayesian range-based estimation of stochastic volatility models.” Finance Research Letters 2, no. 4 (December 1, 2005): 201–9. https://doi.org/10.1016/j.frl.2005.09.001.
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  - Brandt, M. W., A. Goyal, P. Santa-Clara, and J. R. Stroud. “A simulation approach to dynamic portfolio choice with an application to learning about return predictability.” Review of Financial Studies 18, no. 3 (September 1, 2005): 831–73. https://doi.org/10.1093/rfs/hhi019.
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  - Andersen, T. G., T. Bollerslev, F. X. Diebold, J. Wu, and M. Brandt. “A framework for exploring the macroeconomic determinants of systematic risk.” American Economic Review 95, no. 2 (May 1, 2005): 398–404. https://doi.org/10.1257/000282805774669574.
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  - Brandt, M. W., Q. Zeng, and L. Zhang. “Equilibrium stock return dynamics under alternative rules of learning about hidden states.” Journal of Economic Dynamics and Control 28, no. 10 (September 1, 2004): 1925–54. https://doi.org/10.1016/j.jedc.2003.09.003.
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  - Brandt, M. W., and Q. Kang. “On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach.” Journal of Financial Economics 72, no. 2 (May 1, 2004): 217–57. https://doi.org/10.1016/j.jfineco.2002.06.001.
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  - Brandt, M. W., and K. A. Kavajecz. “Price discovery in the U.S. treasury market: The impact of orderflow and liquidity on the yield curve.” Journal of Finance 59, no. 6 (January 1, 2004): 2623–54. https://doi.org/10.1111/j.1540-6261.2004.00711.x.
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  - Brandt, M. W., and K. Q. Wang. “Time-varying risk aversion and unexpected inflation.” Journal of Monetary Economics 50, no. 7 (October 1, 2003): 1457–98. https://doi.org/10.1016/j.jmoneco.2003.08.001.
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  - Brandt, M. W. “Hedging demands in hedging contingent claims.” Review of Economics and Statistics 85, no. 1 (February 1, 2003): 119–40. https://doi.org/10.1162/003465303762687758.
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  - Brandt, M. W., and T. Wu. “Cross-sectional tests of deterministic volatility functions.” Journal of Empirical Finance 9, no. 5 (December 1, 2002): 525–50. https://doi.org/10.1016/S0927-5398(02)00009-9.
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  - Brandt, M. W., and P. Santa-Clara. “Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets.” Journal of Financial Economics 63, no. 2 (January 30, 2002): 161–210. https://doi.org/10.1016/S0304-405X(01)00093-9.
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  - Alizadeh, S., M. W. Brandt, and F. X. Diebold. “Range-based estimation of stochastic volatility models.” Journal of Finance 57, no. 3 (January 1, 2002): 1047–91. https://doi.org/10.1111/1540-6261.00454.
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  - Brandt, M. W., P. Santa-Clara, G. B. Durhama, and A. R. Gallant. “Comment [2] (multiple letters).” Journal of Business and Economic Statistics 20, no. 3 (January 1, 2002): 321-324+335.
  - Aït-Sahalia, Y., and M. W. Brandt. “Variable selection for portfolio choice.” Journal of Finance 56, no. 4 (January 1, 2001): 1297–1351. https://doi.org/10.1111/0022-1082.00369.
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  - Brandt, M. W. “Estimating portfolio and consumption choice: A conditional Euler equations approach.” Journal of Finance 54, no. 5 (October 1, 1999): 1609–45. https://doi.org/10.1111/0022-1082.00162.
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- Book Sections
  - Brandt, M. W., J. H. van Binsbergen, and R. Koijen. “Decentralized Decision Making in Investment Management.” In The Oxford Handbook of Quantitative Asset Management. Oxford University Press, 2012.
  - Brandt, M. W. “Portfolio Choice Problems.” In Handbook of Financial Econometrics, Volume 1: Tools and Technique, edited by Y. A¨ıt-Sahalia and L. P. Hansen. North Holland, 2010.
  - Brandt, M. W., and D. A. Chapman. “Affine Term Structure Models.” In The New Palgrave Dictionary of Economics, Second Edition, edited by S. Durlauf and L. Blume. Palgrave Macmillan, 2008.
  - Brandt, M. W., and J. H. van Binsbergen. “Optimal Asset Allocation in Asset Liablity Management (In preparation).” In Handbook of Fixed Income Securities, edited by P. Veronesi. John Wiley and Sons, n.d.

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Education, Training, & Certifications

Previous Appointments & Affiliations

In the News

Awards & Honors

Global Scholarship

Expertise

External Relationships

Selected Publications

Academic Articles

Book Sections