Mark Westerfield's Professional Photograph

Mark M. Westerfield

Assistant Professor
Finance and Business Economics

Email
mwesterf@uw.edu

Office
Paccar Hall 436
206-543-4578

Mailing Address
Foster School of Business
University of Washington
Box 353226
Seattle, WA 98195-3226

SSRN
UW Foster, RePEc, Google Scholar

Curriculum Vitae (PDF)

Published and Forthcoming Papers

The Price Impact and Survival of Irrational Traders
with Leonid Kogan, Stephen Ross, and Jiang Wang
Journal of Finance 61(1), February 2006: 195-229
Winner of the Financial Asset Management and Engineering (FAME) Research Prize for 2004
Winner of the Smith-Breeden Prize, First Place for 2006 (Awarded by the American Finance Association)

Price impact and survival are two independent concepts; neither is sufficient for the other. In a simple GE economy, we demonstrate that irrational traders can survive and/or have price impact.

High Water Marks: High Risk Appetites? Convex Compensation, Long Horizons, and Portfolio Choice
with Stavros Panageas
Journal of Finance 64(1), February 2009: 1-36
Lead Article

With an indefinite horizon, convex compensation (e.g. high-water marks and other "option-like" contracts) do not generate unbounded risk-taking. In a simple portfolio choice model, we show that risk neutral managers act as CRRA investors.

Disagreement and Learning in a Dynamic Contracting Model
with Tobias Adrian
Review of Financial Studies 22(10), October 2009: 3839-3871
Winner of the CRA International Prize for 2007 (Awarded by the Western Finance Association)

We present a dynamic contracting model with disagreement and learning. The interaction between incentive provision and learning creates an intertemporal source of “disagreement risk” that alters optimal risk sharing.

Portfolio Choice with Illiquid Assets
with Andrew Ang and Dimitris Papanikolaou
Management Science, Forthcoming
Winner of the Roger F. Murray Prize, Second Place for 2011 (Awarded by the Q-group)

We present a simple model of illiquidity based on trading restrictions of uncertain duration. Uncertainty over trading opportunities is much more important than the simple inability to trade.

Working Papers

Market Selection
with Leonid Kogan, Stephen Ross, and Jiang Wang
August 2011, Under Review

We establish straightforward necessary and sufficient conditions for agents making inferior forecasts to survive and to affect prices in a general setting with minimal restrictions on endowments, beliefs, or utility functions.

Optimal Dynamic Contracts with Moral Hazard and Costly Monitoring
with Tomasz Piskorski
April 2012, Under Review

We introduce a tractable dynamic monitoring technology into a continuous-time moral-hazard problem. Our results help explain empirical findings on the linkage between termination, performance, pay-performance sensitivity, and monitoring.

Looking for Someone to Blame: Delegation, Cognitive Dissonance, and the Disposition Effect
with David H. Solomon and Tom Chang
April 2013, Under Review

Investors in most assets are more likely to sell gains than losses, but mutual fund investors do the opposite. Using brokerage data and an experiment, we argue that cognitive dissonance can explain these results and the effects of delegation more generally.

Partner Selection in Co-Investment Networks: Evidence from Venture Capital
with Yael Hochberg and Laura Lindsey
An early version was titled "Economic Ties: Evidence from Venture Capital Networks"
January 2012, Under Review

Work in Progress

The Size and Specialization of Direct Investment Portfolios
with Yael Hochberg

Specialization and Project Choice
with Yael Hochberg

On Biases in Tests for Partner Similarity
with Yael Hochberg and Laura Lindsey

Commitment Risk in Private Partnerships
with Ludovic Phalippou
Awarded Netspar Research Grant RG2012.04

Teaching

FIN 460, Investments.
FIN 502, Business Finance.

Updated September 21, 2013