William N. Goetzmann

Edwin J. Beinecke Professor of Finance and Management Studies
Director, International Center for Finance at the Yale School of Management

William Goetzmannis an expert on a diverse range of investments, including stocks, hedge funds,mutual funds, real estate, and paintings. His research topics include globalinvesting, forecasting stock markets, selecting mutual fund managers, housingas investment, and the risk and return of art. His work has been featured inthe Wall Street Journal, the New York Times, Business Week, the Economist,Forbes, and Art and Auction. Professor Goetzmann has a background in arts andmedia management. As a documentary film-maker, he has written and co-producedprograms for "Nova" and the "American Masters" series,including a profile of the artist Thomas Eakins. A former director of Denver's Museum of Western Art, Professor Goetzmann co-authored the award winning books, The West of the Imagination and The Origins of Value.


	Academic Vitae My current vitae
	International Center For Finance at the Yale School of Management An interdisciplinary research center at Yale for the study of Finance. The ICF sponsors a number of academic conferences during the year on current issues in Finance. It provides data to its fellows for research and fosters intellectual interaction among scholars at Yale and in other schools who work on Financial issues.
	The Equity Risk Premium: Essays and Explorations Roger Ibbotson and I have assembled our separate and co-authored research papers related to the equity risk premium into a volume. We have added additional new work and interpretive material.
	The Origins of Value: the Financial Innovations that Created Modern Capital Markets Geert Rouwenhorst and I have edited a volume of essays for the International Center for Finance called, published by Oxford University Press. It contains chapters by leading historians and economists on key innovations in finance from earliest times to the present. It is based on a series of conferences on financial history at the International Center for Finance at the Yale School of Management. It draws significantly from the new History of Finance Collection, a joint venture between the Yale Beinecke Library and the Yale School of Management’s International Center for Finance. Find the book at Oxford University Press. Buy it on Amazon or Barnes and Noble. Hear the Marketplace Interview about The Origins of Value. Also, here are the reviews: The Times, Time Magazine, Financial Times, Barron’s The Best Books of 2005 Frankfurter Allgemeine, The Times Higher Education Supplement, Financial Innovation
	Financial History at the International Center for Finance The ICF has been constructing databases of individual security prices in global markets over the 19th and 20th centuries._ These data are available for downloading at the ICF website. Now available: Old New York Stock Exchange Project. Monthly individual NYSE stock prices from 1816 to 1926 and annual dividend data for much of the period can be downloaded here. See: A New Historical Database For The NYSE 1815 To 1925: Performance And Predictability. For a data description and some evidence on predictability. London Stock Exchange Project_ The Investors Monthly Manual contains a complete record of The London Exchange for the period from 1869 to 1930. Monthly individual securities data in spreadsheet form may be downloaded here. It iincludes corporate securities, sovereign and municipal debt from all over the world. The IMM is full-text searchable in djvu. St. Petersburg Stock Exchange Project. Monthly data for all equities on the St. Petersburg Exchange, 1865 to 1917. Data may be downloaded here. Pdf files of hard copy in Russian are available. Shanghai Stock Exchange Project. Monthly data for all equities on the St. Petersburg Exchange, 1865 to 1917. Data may be downloaded here. Great Mirror of Folly Data Project: The Global Financial Crisis of 1720 in London, Paris and the Netherlands: 1720. Geert Rouwenhorst, Rik Frehen and I have collected stock price and subscription data for the Dutch global markets in 1720, and additional data for the British markets. It is complementary to Larry Neal's and Francois Velde's data. Our working paper New Evidence on the First Financial Bubble is available on ssrn.
	Current Research Projects My working papers can be downloaded from SSRN . My recent research projects include: Risk Aversion and Clientele Effects, with Douglas Blackburn and Andrey Ukhov. New Evidence on the First Financial Bubble with Geert Rouwenhorst and Rik Frehen The Subprime Crisis and House Price Appreciation, with Liang Peng and Jacqueline Yen. Investor Expectations, Business Conditions, and the Pricing of Beta-Instability Risk with Akiko Watanabe and Masahiro Watanabe.
	The Dow Theory Stephen Brown, Alok Kumar and I have studied the performance of the Dow Theory over the period 1903 to the present. Using the editorials of William Peter Hamilton, we simulated the investment return achieved by someone who followed the theory. In addition, we used neural net methods to "extract" the theory from Hamilton's editorials, and test it out of sample. The working paper may be downloaded, and the published version appeared in the August, 1998 volume of the Journal of Finance. This site is a resource area for information about our analysis and the more recent Dow Theory performance.
	Hedge Funds A course offered at Yale School of Management by myself and (often) Tanya Styblo Beder. An in-depth study on the theory and management of hedge funds. We focus on their strategies, including M&A arbitrage, market neutral investing, statistical arbitrage, fixed income arbitrage, global macro arbitrage and derivatives arbitrage. Topics will include hedge fund compensation, performance evaluation, risk management, including operational risk, and the role of arbitrageurs in the capital market.
	Democracy before Debt My contribution to the Yale School of Management Leaders Forum opinion page. For related links on the issue of debt and democracy, see a synopsis of the doctrine of "Odious Debt" at Probe International . For a current list of outstanding global debt by country, see Joint BIS-IMF-OECD-World Bank statistics on external debt . Try cross-tabulating this with The Freedom House Annual Survey of Political Rights and Civil Liberties . Another useful site for evaluating perceptions of governmental corruption is Transparency International . The Internet Center for Corruption Research provides more details about the sources of information and the scoring methods used to construct the corruption index, and research articles about corruption.
	Mutual Fund Styles A mutual fund database created via a new methodology developed with Stephen J. Brown of the Leonard Stern School of Business at NYU for classifying money managers according to their investment style. Brown and Goetzmann styles for all U.S. equity mutual funds are reported in this alphabetically searchable database.
	Valuation and Investment This is the electronic resource area for the core course Valuation and Investment. The following WWW pages contain: class notes and outline, A dictionary of financial terms, links for career research in finance and much more. For Masters-level job hunters, take a look at Jobs in Finance and Real Estate
	Empirical Methods This is the electronic resource area for Empirical Research in Accounting and Finance Methods and Current Topics, taught by myself and Jake Thomas.
	Mutual Funds This is the electronic resource area for the course Mutual Funds, taught by myself and Joseph Lennon.
	Endowment Management This is the electronic resource area for Endowment Management, a half-semester course that focuses on the special challenges facing the endowment fund manager. These include evaluating the role of the endowment, portfolio choice, manager choice, socially responsible investing, and the use of alternative asset classes.
	Portfolio Management This is the electronic resource area for Portfolio Management -- formerly called "Investments." The following WWW pages contain a hyper-syllabus and links to investment cases.
	An Introduction to Investment Theory A hyper-text book for first-year MBA and MPPM students introducing the basic models of investment theory. Designed to be used in an eight-week first course in investments.
	The History of Finance and Capital Markets A Yale College seminar based on documentary resources at Yale and beyond. The course meets in Yale’s Beinecke Library and makes extensive use of the financial history collection. Overview, People, Readings, On-line Resources, Syllabus, Virtual Museum of Financial History. The virtual museum is a work in progress and contributions and comments are welcome.
	Cases in Investment Management Text for nine cases in investment management designed to teach analytical and quantitative skills. The cases are designed for use with spreadsheet data, and/or Ibbotson Associates EnCorr Optimization software. If you are interested in licensing the backup materials for classroom use, please contact me. If you wish to use the cases for classroom purposes, please link them rather than copying them.
	Real Estate Finance A second level course in real estate economics and finance.
	The West of the Imagination A new edition from Oklahoma University Press, 2009. We have added several new chapters to our book. Additions include chapters on McKinney and Hall, The Land Artists, New Western Photographers and much more. The West as seen through the eyes of artists is the West of the imagination. This book is a comprehensive survey of the iconlogy of the Western Frontier in the popular and high arts in America.
	Henry Lowenfeld’s _Investment and Exact Science published in London in 1909 developed the first complete theory of_ international diversification. It is worth reading to understand how British investors of the last century thought about risk._ Right is the image Lowenfeld used to show the idea of co-movement within a single market. The book_ is out of copyright, so feel free to download it here._ Thanks to Andrey Ukhov for rediscovering Lowenfeld’s pioneering work in Yale’s Mudd Library._ Also by the same author:_ Investment Practically Considered, and All About Investment.
	Will Goetzmann's Learning Curves Graphs, cartoons, book covers, and everything else. This is a collection of graphs and finance-related images that capture the essence of finance and finance pedagogy. An entertaining way to explore!
	The Artists of Fortune (DISABLED) An exhibition of cover art from pre-war Fortune, one of the greatest experiments in business publishing ever undertaken.
	Galileo’s Financial Calculator In 1606, Galileo published this guide to a calculation device of his own design called a geometric and military compass. Among the various uses of the device is the calculation of compound interest. The Institute and Museum of the History of Science in Florence has a full description of the tool. Click on the document at right for the complete text see operation VII.
	Snow Spiral: An Environmental Project.
	Saint-Barthelemy
	Michael Edelstein’s book Overseas Investment in the Age of High Imperialism is the first major study to use modern portfolio theory to examine the question of British overseas investment._ His work is based on the construction of time series indices from the Investors Monthly Manual._ He has generously made the data appendices from his book available for download through the website of the International Center for Finance at the Yale School of Management.
	Bibliography of Literature on Art Museums Carl Willers, MPPM class of 1996 has assembled an in-depth bibliography of books and articles about the management of Art Museums. This is a useful resource for all managers in the arts.
	A Portfolio of Paintings of Egypt Some paintings of classic Egypt views. Feel free to link them, but do not download, since they are copyrighted.
	Clippings From the Financial Press About My Research Last update via Factiva 1-4-2005. A pdf with the clippings from the financial press. The international characters are readable in this version. Broadcasts_ interviews on Faith Middleton’s The Smart Investor program for Connecticut Public Radio. Call in show with questions about finance. Also, A Real Audio interview with Snigdha Prakash on NPR's 9/8/98 Morning Edition about Long-Term Capital Management Followup on NPR's 9/29/98 Morning Edition
	Financing Civilization Chapter 1, Borrowing in Babylon Finance began in the ancient near east. This chapter traces the early evolution of financial contracts, and explores their effect upon the emergence of writing and civilization.
	_Financing Civilization Chapter 2: Paper Finance_ from Shang China to Marco Polo A work in progress on the development of money and financial securities in Ancient China. At the right is an image of a Ming Dynasty paper money note now in the financial history collection at Yale’s Beinecke Rare Book Library. I have been collecting documents relating to the early history of corporations in China. This document is an annual report from the 1870’s from a company. I would like to know more about it. China’s Corporate Code of 1904 was a fascinating attempt at legislating modern corporate governance principles. Read it in Chinese and English. It is strikingly similar to international reform attempts today.
	Finance in the Oxyrhnchus Papyri: An early bank check? Document 2772 in The Oxyrhnchus Papyri volume XXXVI_ is entitled “Instructions to a Banker.” Written in 10 or 11 A.D., it is part of the famous trove of papyri documents discovered in Egypt in the last century and now in the process of preservation and translation at Oxford University – see POxy (Oxyrhynchus Online). Translation:_ “Julius Lepos to Archibius the banker greeting. Pay to my account with Harpochration the banker one thousand nine hundred and fifty three drachmas of silver. Total 1953 dr year 40 of Caesar, Pachon 3.” The text suggests that Julius and Harpochration both have accounts with the banker Archibius and Julius is instructing the transfer from one account to the other. It is one of a number of diagraphs from papyri collections. Hawara Documents
	The Arcadian Landscapes of Edward Sheriff Curtis An essay for a Whitney Museum exhibition, The Perpetual Mirage: Photographic Narratives of the Desert West. The photographs of Edward Curtis helped reshape the image of southwestern tribes in the American imagination. See also "Desolation is the Great Basin: Clarence King's Fortieth Parallel Survey" by my father, historian William H. Goetzmann. This essay, which focuses on the documentary photography of Timothy O'Sullivan, also appears in the Whitney catalogue.