Doctorat d'Etat en Gestion, Université de
Paris-Dauphine, 1986 |
PhD,
Massachusetts Institute of Technology, Finance, 1972 |
Engineer
Degree, Ecole Polytechnique,
1968 |
|
Hong
Kong University of Science and Technology Finance
department LSK,
room 5069 Clear
Water Bay Kowloon,
Hong Kong Email:
solnik@ust.hk |
Webpage: http://solnik.people.ust.hk |
ACADEMIC AND
PROFESSIONAL EXPERIENCE
· 2015 – Present |
Hong
Kong University of Science and Technology, Emeritus Professor, Adjunct
Professor. |
· 2010 – 2015 |
Hong
Kong University of Science and Technology, Professor, academic director of
HKUST-NYU Master in Global Finance. |
· 2006 – 2009 |
Hong
Kong University of Science and Technology, Department of Finance: Visiting
Professor |
· 1974 – Present |
HEC-Paris,
Associate Professor, Professor of Finance (till 2007), Distinguished Emeritus
Professor |
· 1974 – 1986 |
Ecole Polytechnique, Professor of
Economics (part time) |
· 1972 – 1974 |
Stanford
University, Assistant Professor of Finance |
· 1969 – 1970 |
University
of Paris, Lecturer in Economics |
· 2007 – 2008 |
University
of Tokyo (Todai), Visiting Professor |
· 2005 |
University
of New South Wales, Visiting Professor |
· 1988 |
Stanford
University, Visiting Professor |
· 1984, 1992 |
Université de Genève, Professeur invité |
· 1985 |
UCLA,
Visiting Professor |
· 1976 |
University
of California Berkeley, Visiting Professor |
PUBLICATIONS
Books
· Global Investments, Addison Wesley, 1988, 6th
edition 2009 (with Dennis McLeavey,
formerly titled, International Investments ). Translated in
Japanese, Chinese and Spanish. The book was used for all three levels of
the CFA examination. |
|
· Marchés Financiers : Gestion de Portefeuille et des Risques (with B. Jacquillat
and C. Pérignon), Dunod, 1989, 6th edition 2014. |
|
· Gestion Financière, Dunod, 1980, 6th edition 2001,
translated in Korean. |
|
· Système Monétaire International et Risque de Change, (with R. Roll), Economica,
1978. |
|
· Les Marchés Financiers et la Gestion de Portefeuille, (with B. Jacquillat),
Dunod, 1974, third edition 1982, translated in several languages. |
|
· European Capital Markets ; Towards a general theory of international investment,Lexington
– D. C. Heath, 1973. |
|
· La Programmation
Linéaire, Dunod, 1969, seventh edition
1983, translated in several languages. |
Articles
· “Drivers of Economic and Financial Integration: A Machine Learning Approach “, (with Amir Akbari and Lilian Ng), Journal of Empirical Finance 61, 2021, pages 82-102. (Download here) · “Emerging Markets are Catching Up: Economic or Financial Integration”
(with Amir Akbari and Lilian Ng), JFQA, Vol. 55,
7, November 2020, pages 2270-2303. (Download here) · “Does Extreme Correlation Matter in Global Equity
Asset Allocation?” (with Thaisiri
Watewai), Journal of Investment Management,
Vol. 17, No 1, January 2019, pp.4-26. (Download here) · “Relative
Optimism and the Home Bias Puzzle" (with Luo Zuo),
Review of Finance, Volume 21, Issue 5, 1 August 2017,
Pages 2045–2074. (Download here) ·
International Correlation Asymmetries: Frequent-but-Small and
Infrequent-but-Large Equity Returns” (with Thaisiri
Watewai), Review of Asset pricing Studies,
December 2016. (Download here ) (Appendix) · “A Global Equilibrium Asset Pricing Model with Home Preference”,
(with Luo Zuo),Management Science, Vol.
58, No. 2, February 2012, pp. 273-292. (Download here)[Appendix]
· “Applying Regret Theory to Investment
Choices: Currency Hedging Decisions”, (with Sebastien Michenaud), Journal
of International Money and Finance, September 2008.(Download here) · “What Determines Expected International Asset Returns”
(with Cam Harvey and Guofu Zhou), Annals
of Economics and Finance, 3, 2002. (Download here) · “Global Pricing of Equity”, (with Jeff Diermeier), Financial
Analysts Journal, July/August 2001. (Download here) · “On the Term Structure of Default Risk Premia
in the Swap and Libor Markets”, (with P. Collin Dufresne), Journal
of Finance, June 2001. (Download here) [Appendix] · “Extreme Correlation of International Equity Returns “,
(with Francois Longin), Journal of
Finance, April 2001. (Download here) · “Dispersion as Cross-Sectional Correlation”, (with Jacques Roulet), Financial Analysts Journal, January/February
2000. (Download here) · “The Pricing of Domestic and Multinational Firms”, (with
Thierry Lombard and Jacques Roulet), Financial
Analysts Journal, March/April 1999. (Download here) · “Global Asset Management: To Hedge or not to Hedge”, Journal
of Portfolio Management,Summer
1998. (Download here) · “A Multi-country Test of the Fisher Model for Stock
Returns”, (with Vincent Solnik),Journal of International Financial
Markets, Institutions and Money, December 1997. · “The World Price of Foreign Exchange Risk: Some Synthetic
Comments”, European Financial Management, March 1997. · “International Market Correlation and Volatility”, (with C.
Boucrelle and Y. Le Fur),Financial Analysts
Journal, September/October 1996. · “The World Price of Foreign Exchange Risk”, (with B.
Dumas), Journal of Finance, June 1995. · “Is the Correlation in International Equity Returns
Constant: 1960-1990?”, (with Francois Longin), Journal
of International Money and Finance, February 1995. · “Global Optimization for Swiss Pension Funds”, (with
Patrick Odier and Stéphane
Zucchinetti), Finanzmarkt
und Portfolio Management, Nr 2, 1995. · “Why Not Diversify Internationally Rather Than
Domestically?” Financial Analysts Journal,January/February
1995 (reprinted from 1974). · “Currency Hedging and Siegel’s Paradox: On Black’s
Universal Hedging Rule”, Review of International Economics,
1(2), June 1993. · “Lessons for International Diversification”, (with P. Odier), Financial Analysts Journal,March/April 1993. · “I Vantagi di una
Diversificazione Internazionale
nell’Ottica italiana”, Economia & Management, 1993. · “The Performance of International Asset Allocation
Strategies Using Conditioning Information”, Journal of Empirical
Finance, March 1993. · “Optimal Currency Hedge Ratios and Interest rate Risk”
(with E. Briys), Journal of International
Money and Finance, December 1992. ·
“L’ Intéret d’une
Diversification Internationale”, Revue d’Economie Financière, 19,
Winter 1991. · “International Diversification for Swiss Pension
Funds”, Finanzmarkt und Portfolio
Management, (with P. Odier and J.M. Mivelaz), vol 5(1), 1991. · “Finance Theory and
Investment Management”, Swiss Journal of Economics and
Statistics, vol 127(3), 55-79, January
1991. · “El Effecto Dia en la Bolsa de
Paris”, (with L. Bousquet), Revista de Economia, 688,
December 1990. · “The Distribution of Daily Stock Returns and Settlement
Procedures : the Paris Bourse”,Journal
of Finance, December 1990. · “Pacific Basin Stock Markets and International
Diversification”, in Research on Pacific Basin Stock Markets
II, G. Rhee and R. Chang (eds), North
Holland, 1990 (refereed proceedings). · “Swap Pricing and Default Risk”, Journal of
International Financial Management and Accounting, vol 2, 79-91, 1990. · “The Individuality of Universal hedging”, (with M.
Adler), Financial Analysts Journal,May/June 1990. · “Day-of-the-week Effect on the Paris Bourse”, (with L. Bousquet), Journal of Banking and Finance, vol 14, 461-469, 1990. · “Optimal Currency Hedge Ratios: The Influence of the
Interest Rate Differential”, inResearch
on Pacific Basin Stock markets I, G. Rhee and R. Chang (eds), North Holland, 1989 (refereed proceedings). · “International Risk Sharing and Capital Flows”, (with M. J.
Brennan), Journal ofInternational Money
and Finance, September 1989. · “The Application of the Continuous-Time Theory of Finance
to Swap Valuation: A Comment on Robert Merton”, The Geneva Papers on
Risk and Insurance, vol 14, 52, 275-278,
July 1989. · “La Gestion du
Risque dans le Nouveau Contexte Financier”, Cahiers Economiques et
Monétaires de la Banque de France, 30, December
1988. · “International Factors in Security Prices”, (with A. de
Freitas), in Recent Developments in International Finance and
Banking, S. Khoury (ed.), 1988. · “L’Anticipation
d’Inflation et le Taux d’Intéret a Court Terme”, Finance, Winter 1987. · “Using Financial Prices to Test Exchange Rate
Models”, Journal of Finance, March 1987. · “Why Invest in Foreign Currency Bonds” (with K. Cholerton and P. Pieraerts), Journal
of Portfolio Management, Summer 1986. · “The
Financial Analyst and the Computer,
address to the
8th Annual Congress of the European Federation of Financial Analysts, Madrid, October
1985, reprinted in Analyse Financière,
December 1984.
· “Computing Complexities of Foreign Investment”, (with T.
Lombard) Pensions and Investment Age, October 29, 1984. · “Stock Prices and Monetary Variables : the International
Evidence”, Financial Analysts Journal, March-April 1984. · “La
Relation entre les Cours Boursiers et les Anticipations Inflationnistes : une
Etude Statistique Internationale”, Recherches Economiques et
Sociales, 10, 2nd Quarter 1984. · “Properties of the Efficient Frontier With Short Sales
Restriction”, Finance, 1, April 1984. · “International Arbitrage Pricing Model”, Journal
of Finance, May 1983. · “The Relationship Between Stock Returns and Inflationary
Expectations : the International Evidence”, Journal of
Finance, March 1983, Prix de la Fondation
HEC. · “An Empirical Investigation of the Determinants of National
Interest Rates Differences”,Journal of
International Money and Finance, December 1982. · “Optimal International Asset Allocation”, (with B. Noetzlin), Journal of Portfolio
Management, Fall 1982. · “A Semi Analytical Derivation of the Efficient Frontier”
(with A. Saurel) in Geld, Banken and Versicherungen, Goepl and Henn (eds), Athenaum 1981. · “La
Diversification Apportée dans un Portefeuille Obligataire par les Obligations
Indexées françaises” (with
G. Stevenin), Analyse Financière, Fall 1981. · “On Some International Parity Conditions” (with R.
Roll), Journal of Macro-Economics,Summer 1979. · “L’Investissement
en Options dans le cadre de la Gestion Institutionnelle” (with
G. Stevenin), Analyse Financière, Spring 1979. · “Inflation and Optimal Portfolio Choices”, The
Journal of Financial and Quantitative analysis, December 1978. · “International Parity Conditions and Exchange Risk : A
Review”, Journal of Banking and Finance, n° 3, October 1978. ·
“Les taux de Change a Terme
comme Prédicteurs des taux de Change” (with A. Hyafil),Vie et Sciences Economiques, July
1978. · “Multinational Firms : A Poor Tool for International
Diversification” (with B. Jacquillat),Journal
of Portfolio Management, Winter 1978. · “Testing International Asset Pricing : Some Pessimistic
Views”, Journal of Finance, May 1977. · “A Pure Foreign Exchange Asset Pricing Model” (with R.
Roll), Journal of International Economics, May 1977. · “An Empirical Study of Exchange Risk Under Fixed and
Flexible Exchange” (with A. Farber and R. Roll), Journal of Monetary
Economics, Spring 1977. · “Valuation and Strategy for Gold Stocks”, (with J.McDonald), Journal of Portfolio
Management, Spring 1977. · “La Mesure de
Performance des SICAV” (with J. Pogue
and A. Rousselin) in Economie des
Intermédiaires Financiers, J.J. Rosa (Ed.), Economica,
1976. · “La
Valorisation des Entreprises Multinationales sur les Marchés Boursiers” (with B. Jacquillat), Analyse
Financière, 4th Quarter 1976. · “A Global Approach to Money Management” (with F. Garrone), Journal of Portfolio Management, Summer
1976. · “Eurobonds : Determinants of the Demand for Capital and the
Interest Rate Structure”,Journal of
Bank Research, January 1975. · “The Market Model Applied to European Stock Market”, (with
G.A. Pogue), Journal of Financial and Quantitative Analysis, December
1974. · “Les mines
d’Or, l’Or et la Bourse”, (with J.G. McDonald), Analyse
Financière, September 1974. · “An International Market Model of Stock Price
Behavior”, Journal of Financial and Quantitative Analysis, September
1974. · “An Equilibrium Model of the International Capital Market”, Journal
of Economic Theory,August
1974. · “Why not Diversify Internationally rather than Domestically
?”, Financial Analyst Journal,July 1974. · “International Pricing of risk”, Journal of
Finance, May 1974. · “Note on the Validity of the Random Walk for European Stock
Prices”, Journal of Finance,December 1973. ·
“Risque, Diversification et Gestion du
Portefeuille”, Revue d’Analyse Financière, (with G.A. Pogue), September 1972 . · “Efficiency of the European Capital Markets and a
Comparison with the US Market”,Proceedings
of the First International Congress on Stock Exchanges, (with F.
Modigliani, G.A. Pogue et M. Scholes), Milan 1972 . · “Les Marchés
Financiers Efficients”, Revue d’Economie Politique, June 1972. · “Structure et
Evolution du secteur de l’Industrie Automobile”, Revue
Economique, January 1971. |
SELECTED
PROFESSIONAL ACTIVITIES Editorial Boards:
· Journal of Investment Management, Associate
editor (2002-present) |
· Journal of Asset Management, Member of
editorial board (2000-present) |
· Emerging Markets Review, Advisory editor
(1999-present) |
· European Financial management, Advisory
editor (1996-present) |
· Journal of Empirical Finance, Advisory
editor (1991 – present) |
· Journal of Portfolio Management, Advisory
editor (1984 – 2010) |
· Journal of International Financial
Management and Accounting, Member of editorial board (1988 – present) |
· Journal of International Money and Finance,
Member of editorial board (1982 – 2010) |
· Financial Analysts Journal, Member of
editorial board (1988 – 2009) |
· Global Finance Journal (1988 – present) |
· Asia-Pacific Journal of Management
(1990-2003) |
· Review of International Economics (1991
-2000) |
· Journal of Banking and Finance (1977 –
1999) |
· Journal of Finance (1977 – 1995) |
· Investing (1987 – 1995) |
· Revue Finance (1983 – 1995) |
· Annales
d’Economie et de Statistiques (1984 – 1990) |
· Journal of Financial and Quantitative
Analysis (1977 – 1985) |
HONORS
· European Finance Association,
“Scroll to the Founding President” presented in Moscow, 2005. |
· Knight in the Order of the Legion of Honor, 2005. |
· Graham and Dodd Award for Excellence, CFA Institute, 2002. |
· Nicholas Molodovsky
Award, presented by the CFA Institute Board of Governors on May 22,
1999. “This award is given periodically only to those individuals who have
made outstanding contributions of such significance as to change the
direction of the profession and to raise it to higher standards of
accomplishment”. Since 1968, thirteen individuals have been presented with
the award. The past three recipients were Fischer Black, Merton Miller and
Harry Markowitz. Bruno Solnik is the first non-American to receive the award.
|
· Prize Fondation
HEC for the best article in Management, in 1998 for “Global Asset |
· Management: To Hedge or not to
Hedge”, Journal of Portfolio Management, Summer 1998. |
· The Finance Award of the Year, 1998, Finance Symposium
Interlaken, 1998. |
· Silver medal, CNRS, 1995. |
· Knight in the National Order of Merit, 1995. |
· Graham-Dodd Award for Excellence, CFA Institute, 1994. |
· Best French Financial Economist, le Nouvel
Economiste, 1993. |
· First Prize, best article presented, INQUIRE (Europe),
1991. |
· Prize for the best book in Financial Economics, L’Express, 1990. |
· Prize for the best article, First International Conference
on the Pacific Basin Markets, Taipei, 1989. |
· Prize Fondation
HEC for the best article in Management in 1983 for “The Relation Between
Stock |
· Prices and Inflationary Expectations: the International
Evidence”, Journal of Finance. |
· Prize Harvard Business Review-l’Expansion for
the best book in Finance published in 1982(Marchés
Financiers et Gestion de Portefeuille).
|
INVITED
KEYNOTE SPEECHES (2011-2017)
· Risk Premia Conference, UBS Hong Kong, September 2017. |
· EFM Symposium, China, April 2017. |
· Xiamen University, China, Nanqiang lecture, November 2016. |
· Financial Market Conference, Dubrovnik, Croatia, June 2014. |
· CFA Society of Singapore, Singapore, May 2014. |
· Distinguished Talk, University of Macau, Macau, March 2014. |
· The Global Economy, Financial Service Institute of Australia, Sydney, October 2013. |
· The CFA China, Shanghai, China July 2013. |
· The
25th Australasian Finance and Banking Conference, Sydney, Australia, December
2012. |
· The
8th Busan International Finance Conference, Busan, Korea, November
2012. |
· Global
Finance Seminar Series: Financial Markets and the Eurozone Crisis, Hong Kong, September 2012. |
· The 5th Biennial McGill Global
Asset Management Conference, Montreal, Canada, June 2011. |
· L’Essentiel
de la Finance, BCGE, Geneva, Switzerland,
September 2011. |
· CFA Society of Sydney, Australia,
April 2011. |
· Morningstar Investment Conference
Europe, Vienna, Austria, March 2011. |