Andrey Ukhov

Kelley School of Business
1309 East Tenth St.
Bloomington, IN 47405

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
Institutional Affiliation: Indiana University

NBER Working Papers and Publications

September 2009Risk Aversion and Clientele Effects
with Douglas W. Blackburn, William N. Goetzmann: w15333
We use traded options on growth and value indices to test for clientele differences in risk preferences. Value investors appear to have exhibited a higher average level of risk aversion than growth investors for two different time periods in the late 1990's and early 2000's. We construct a model of time-varying clientele preferences that allows investors with different levels of risk-aversion to switch between investment styles conditional upon the evolution of returns and risk. The model makes predictions about the autocorrelations structure of measured risk parameters and also about the autocorrelation and cross-autocorrelation of fund flows by style. Empirical tests of the model provide evidence consistent with the existence of style switchers--investors who move funds between growth an...
April 2005British Investment Overseas 1870-1913: A Modern Portfolio Theory Approach
with William N. Goetzmann: w11266
Many scholars have asked whether British investors benefited from overseas investment investing in the 19th century and whether this export of capital had negative effects. We re-visit the issue using modern portfolio theory. We examine the set of investment opportunities available to British investors, the developments in information transmission technology, and advances in financial and investment theory at the time. We use mean-variance optimization techniques ot take into account the risk and return characteristics of domestic and international investments available to a British investor, and to quantify the beneifts from international diversification. Evidence suggests that capital export was a consequence of both the opportunity and the understanding of diversification. foreign asset...

Published: Goetzmann, William N. and Andrey D. Ukhov. "British Investment Overseas 1870-1913: A Modern Portfolio Theory Approach," Review of Finance, 2006, v10(2,Jun), 261-300. citation courtesy of

February 2003Modeling and Measuring Russian Corporate Governance: The Case of Russian Preferred and Common Shares
with William N. Goetzmann, Matthew Spiegel: w9469
This paper examines governance explanations for the discount of preferred shares to common shares in the Russian market. conflicts between shareholder classes may help explain the discount. However, for this to be the sole explanation the estimated models suggest that the magnitude of future adverse shareholder events would have to be very high. Nevertheless, evidence of a common factor potentially related to governance seems evident in the date, implying that corporate control issues may at least be partially responsible for the observed preferred share discount
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