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Faculty & Staff - Agrrawal

Pankaj “Pank” Agrrawal, Ph.D. (Finance)

hey that is mePhone:
(207) 581-1983

E-mail/Web:
pankaj.agrrawal /replace with @/ maine.edu
View website

Address:
305 DPC Business Building
University of Maine
Orono, ME 04469

Prof. Agrrawal joined UMaine in 2005 with over eight years of executive experience in quantitative research and portfolio management in the investment management industry, earlier he was portfolio manager and director of research at leading global asset management firms based in San Francisco, Boston, London, Philadelphia. Over that period he also designed and taught graduate finance courses at Golden Gate Univ.- San Francisco, Harvard Extn. – Cambridge and Drexel Univ.- Philadelphia. He has more than twenty five papers at refereed conferences and has published 11 papers (peer-reviewed), including one each in the Financial Analysts Journal and the Journal of Behavioral Finance as well as two in the Journal of Investing. His research has been referenced in German, Swiss and Taiwanese Journals and on the Frankfurt-DAX stock exchange website. His biographical profile is included in Marquis Who’s Who in Finance and Industry. In 2006 he was elected to the membership of the CQA (Chicago Quantitative Alliance). A faculty spotlight on Prof. Agrrawal can be seen on page 12 of this MBS Connects link.  He values interactions with his undergraduate and graduate students and strives to inspire them with the workings of the capital markets. He enjoys tennis, cricket, lawn care and photography. He lives with his family nearby the main campus and tries to bike, weather permitting.

Awards

His paper on trigonometric testing for portfolio efficiency received the Best Doctoral Paper Award at the 1996 South Western Finance Conference in San Antonio, Texas. In 2007 he was the recipient of the Salgo summer research grant as well as UMaine’s SGA Outstanding Faculty Advisor award.  In 2009, his proposal for ETF Betas on Financial Websites was selected for the Summer Faculty Research award by the University Faculty Research Funds Committee (later published in the JOI). He is also one of the recipients of the 2009 UMaine Faculty Technology Stipend, that was utilized to develop a browser-free live portfolio tracker. In April, 2010 he was the recipient of the MBS Dean’s Faculty Research paper award for his ‘web-algorithm’ paper and the Dean’s summer research grant.  In April, 2011 he was jointly awarded the Faculty Research Excellence award for the ‘what is wrong with this picture…’ paper;  he was subsequently interviewed by the Wall Street Journal and quoted in the July 9, 2011 print and online edition. In April, 2011 he was SigEp’s Faculty Member of the Year finalist. Two of  his papers have been on the ‘most read’ lists of the published journals.

Education

Ph.D. (Finance), University of Alabama (1996), MA (Finance), MA (Economics), BA Economics (Hons.) – University of Delhi.

Research interests

A central theme of his research is developing multi-constraint optimized long-short market-neutral hedged portfolios using ETF’s as primary assets and harvesting financial information on the web. Other research interests include the role of cognitive biases and heuristics in the decision making process as applied to the capital markets, stable covariance and correlation matrices on ETFs and devising alpha-return techniques that utilize portfolio risk exposures to drive returns. Some of this research can be seen on his website at AdvancedPortfolioSolutions.com

Based on his research, he has been tracking since 2004 a multi-asset class ETF portfolio that he discusses with his undergrad and MBA students – it continues to outperform the broad market equity and bond indices on both the dimensions in the risk-return space.

Some selected publications:

  • “What is Wrong with this Picture? A Problem with Comparative Return Plots on Finance Websites and a Bias against Income Generating Assets”, Pankaj Agrrawal * and Richard Borgman, Journal of Behavioral Finance, Vol. 11, No. 4, Winter 2010, pp. 195-210.
  • “Using the Price-to-Earnings Harmonic Mean to Improve Firm Valuation Estimates” with Richard Borgman*, John Clark, and Robert Strong.  Journal of Financial Education, Vol. 37, Fall/Winter 2010, pp. 98-110.
  • “The Dispersion of ETF Betas on Financial Websites”, with Doug Waggle, Journal of Investing, Vol. 19, No. 1: pp. 13-24, Spring 2010.
  • “Determinants of ETF Liquidity in the Secondary Market: A Five Factor Ranking Algorithm”, with John M. Clark, Institutional Investor Journals, ETF and Indexing, Vol. 43 (No. 7), pp. 59-66, Fall 2009.
  • “An Automation Algorithm for Harvesting Capital Market Information from the Web”, Pankaj Agrrawal*, Managerial Finance, 35(5): pp. 427-438, Spring 2009.

* Lead author / PI

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  • “Interaction Between Value Line’s Timeliness and Safety Ranks,” with Doug Waggle* and Don Johnson, Journal of Investing, Vol. 10, No. 1, Spring 2001.
  • “The Effects of Blending Primary and Diluted EPS Data,” with Ralph Goldsticker,*Financial Analysts Journal, Vol. 55, No. 2, March/April 1999.
  • “The Product Life Cycle: A Paradigm for Understanding Financial Management,” with Dr. Benton Gup*, Journal of Financial Practice and Education, Fall/Winter, 1996.


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