Ryan Joseph Davies

Associate Professor

Division Chair
Academic Division: Finance
Tomasso
# 220

Bio

Ryan J. Davies is an Associate Professor of Finance and Chair of the Finance Division at Babson College. He teaches advanced undergraduate and graduate finance electives, including Financial Trading Strategies and Risk Management, Fixed Income and Structured Products, Financial Markets and Institutions, Security Valuation, Options and Futures, and Capital Markets. He is passionate about experiential learning and incorporates trading simulation software and real-time market data into all of his courses. He is the faculty advisor for the Babson trading competition team, which has been very successful at the annual Rotman International Trading Competition. He has also served as faculty advisor for numerous award winning undergraduate business case competition teams. Dr. Davies has been a visiting academic scholar at Paris-Dauphine University, the University of the West Indies, the University of Illinois, and the University of New South Wales. Prior to joining Babson College in 2004, Dr. Davies was a lecturer for three years at the ICMA Centre of the University of Reading in England. He has taught in a Babson executive education course for Siemens, in the International Capital Market Association's International Fixed Income and Derivatives program, and in the HSE Executive MBA program in Seoul, Korea. Dr. Davies is an expert on financial market microstructure. His past research has examined diverse topics such as: the impact of European Union securities markets regulation (particularly MiFID); the role of market preopening sessions on price discovery; the usage of matched sample estimation to test for differences in trade execution costs; the effects of strategic end-of-quarter trading by mutual fund managers; and the response of financial intermediaries to an alleged manipulation of commodity futures settlement prices. He also helped develop a widely cited portfolio optimization method for funds of hedge funds. In recognition of the impact of this research, he won the Babson College Faculty Scholarship Award in 2011. Dr. Davies is an active invited participant at the NBER Market Microstructure Working Group meetings, as well as a frequent presenter and discussant at conferences such as the Western Finance Association meetings and Financial Management Association meetings. His research has been published in peer-reviewed journals such as the Journal of Financial Markets, Journal of Corporate Finance, Journal of Derivatives and Hedge Funds, Canadian Journal of Economics, Journal of Futures Markets, and Economics Letters. Dr. Davies is an affiliated expert at ScottMadden Management Consultants and a business advisor to Volos Portfolio Solutions.

Academic Degrees

  • Ph D, Queen’s University
  • MA, Queen’s University
  • BA, St. Francis Xavier University

Academic Interests

Capital Markets; Design of Security Exchanges and Trading Systems; Financial Markets; Market Structure and Trading Costs; Mutual Funds and Money Management; Securities Law and Finance

Awards & Honors

  • 2011 - Faculty Scholarship Award, Babson College
  • 1998 - E.G. Bauman Fellowship, Queen’s University
  • 1995 - University Silver Medal, Bachelor of Arts, St. Francis Xavier University
  • 1993 - Ellis Charters Award – Outstanding Sophomore of the Year, St. Francis Xavier University
  • 1992 - Meech Memorial Award – Outstanding Freshman of the Year, St. Francis Xavier University

Courses

Degree Courses 2016-2017

  • MFE 7567: MCFE: G51 CAPITAL

Degree Courses 2015-2016

  • FIN 3560: FINANCIAL MARKETS AND INSTRUMENTS
  • FIN 7513: FIXED INCOME
  • FIN 4535: FIXED INCOME AND STRUCTURED PRODUCTS

Publications

Journal Articles

  • Atanasov, V., Davies, R., Merrick, J.J. (2015). Financial intermediaries in the midst of market manipulation: Did they protect the fool or help the knave? Journal of Corporate Finance, 34, 210-234.
  • Davies, R., Kat, H.M., Lu, S. (2009). Fund of hedge funds portfolio selection: A multiple-objective approach. Journal of Derivatives & Hedge Funds, 15(2), 91-115.
  • Bernhardt, D., Davies, R. (2009). Smart Fund Managers? Stupid Money? Canadian Journal of Economics / Revue Canadienne D'Economique, 42(2), 719-748.
  • Davies, R., Kim, S. (2009). Using Matched Samples to Test for Differences in Trade Execution Costs. Journal of Financial Markets, 12(2), 173-202.
  • Davies, R., Brooks, C., Kim, S.S. (2007). Cross Hedging with Single Stock Futures. Assurances et Gestion des Risque, 74(4), 473-504.
  • Davies, R., Bernhardt, D., Spicer, J. (2006). Long-Term Information, Short-Lived Securities. Journal of Futures Markets, 26(5), 465-502.
  • Davies, R., Bernhardt, D. (2005). Painting the Tape: Aggregate Evidence. Economics Letters, 89(3), 306-311.
  • Davies, R. (2003). The Toronto Stock Exchange Preopening Session. Journal of Financial Markets, 6(4), 491-516.

Book Chapters

  • Davies, R., Kat, H., Lu, S. (2015). Fund of Hedge Funds Portfolio Selection: A Multiple-Objective Approach. In Stephen Satchell (Ed.), Derivatives and Hedge Funds.: Palgrave Macmillan
  • Davies, R., Kat, H.M., Lu, S. (2006). Single Strategy Funds of Hedge Funds: How Many Funds?. In Greg Gregoriou, Elsevier (Ed.), Fund of Hedge Funds: Performance, Assessment, Diversification and Statistical Properties.
  • Davies, R., Dufour, A., Scott-Quinn, B. (2006). The MiFID: Competition in a new European equity. In Guido Ferrarini, Eddy Wymeersch (Ed.), Investor Protection in Europe: Corporate Law Making, The MiFID and.: Oxford University Press

Working Papers

  • Davies, R. (2008). MiFID and a changing competitive landscape. Social Sciences Research Network. link

Reports

  • Davies, R., Dufour, A., Scott-Quinn, B. (2003). Building a Competitive and Efficient European Financial Market

Presentations

  • The economics and regulation of secondary trading markets
    Davies, R., Sirri, E. The economics and regulation of secondary trading markets New Special Study of the Securities Markets Conference, New York, NY (2017)
  • Stay-out premiums, penalties, and multi-year regulatory rate plans
    Davies, R., Hevert, K. Stay-out premiums, penalties, and multi-year regulatory rate plans Financial Management Association Annual Meeting, Orlando, Florida (2015)
  • Stay-out premiums, penalties, and multi-year regulatory rate plans
    Davies, R., Hevert, K. Stay-out premiums, penalties, and multi-year regulatory rate plans University of Rhode Island, Kingston, Rhode Island (2015)
  • Financial intermediaries in the midst of market manipulation: Did they protect the fool or help the knave?
    Atanasov, V., Davies, R., Merrick, Jr., J. Financial intermediaries in the midst of market manipulation: Did they protect the fool or help the knave? Joint Conference, 21st Annual Meeting of the German Finance Association and 13th Symposium on Finance, Banking, and Insurance, Karlsruhe, Germany (2014)
  • Trading costs and priced illiquidity in high frequency trading markets
    Barardehi, Y., Bernhardt, D., Davies, R. Trading costs and priced illiquidity in high frequency trading markets Hong Kong University of Science and Technology, Hong Kong (2014)
  • Trading costs and priced illiquidity in high frequency trading markets
    Bernhardt, D., Davies, R., Barardehi, Y. Trading costs and priced illiquidity in high frequency trading markets University of Hong Kong, Pokfulam, Hong Kong (2014)
  • Financial intermediaries in the midst of market manipulation: Did they protect the fool or help the knave?
    Atanasov, V., Davies, R., Merrick, Jr., J. Financial intermediaries in the midst of market manipulation: Did they protect the fool or help the knave? Financial Management Association 2014 Annual Meeting, Nashville, TN (2014)
  • Trading costs and priced illiquidity in high frequency trading markets
    Barardehi, Y., Bernhardt, D., Davies, R. Trading costs and priced illiquidity in high frequency trading markets Financial Management Association 2014 Annual Meeting, Nashville, TN (2014)
  • Financial intermediaries in the midst of market manipulation: Did they protect the fool or help the knave?
    Atanasov, V., Davies, R., Merrick, Jr., J. Financial intermediaries in the midst of market manipulation: Did they protect the fool or help the knave? CFA-JCF-Schulich Conference on Financial Market Misconduct, Toronto, ON (2014)
  • Financial intermediaries in the midst of market manipulation: Did they protect the fool or help the knave?
    Atanasov, V., Davies, R., Merrick, Jr., J. Financial intermediaries in the midst of market manipulation: Did they protect the fool or help the knave? University of Rhode Island, Kingston, RI (2014)
  • Discussant for the paper <The effects of high frequency traders in a simulated market>
    Davies, R. Discussant for the paper <The effects of high frequency traders in a simulated market> Financial Management Association 2013 Annual Meeting, Chicago, IL (2013)
  • Stock price manipulation on option expiration dates
    Davies, R., Pearson, N. Stock price manipulation on option expiration dates University of Paris-Dauphine, Paris, France (2013)
  • The price of liquidity risk in a high frequency trading world
    Bernhardt, D., Davies, R., Heydari, Y. The price of liquidity risk in a high frequency trading world Boston Area Finance Symposium, Wellesley, MA (2013)
  • Intraday Portfolio Return Autocorrelation Dynamics
    Davies, R., Bernhardt, D. Intraday Portfolio Return Autocorrelation Dynamics Massey University, Auckland, New Zealand (2012)
  • Intraday Portfolio Return Autocorrelation Dynamics
    Davies, R., Bernhardt, D. Intraday Portfolio Return Autocorrelation Dynamics Massey University, Palmerston North, New Zealand (2012)
  • Intraday Portfolio Return Autocorrelation Dynamics
    Davies, R., Bernhardt, D. Intraday Portfolio Return Autocorrelation Dynamics Australian National University, Canberra, Australia (2012)
  • Intraday Portfolio Return Autocorrelation Dynamics
    Davies, R., Bernhardt, D. Intraday Portfolio Return Autocorrelation Dynamics University of New South Wales, Sydney, Australia (2012)
  • Intraday Portfolio Return Autocorrelation Dynamics
    Davies, R., Bernhardt, D. Intraday Portfolio Return Autocorrelation Dynamics Baruch College, New York, NY (2012)
  • Intraday Portfolio Return Autocorrelation Dynamics
    Davies, R. Intraday Portfolio Return Autocorrelation Dynamics , Paris, France (2011)
  • Intraday Portfolio Return Autocorrelation Dynamics
    Davies, R. Intraday Portfolio Return Autocorrelation Dynamics , Universite Paris-Dauphine, Paris, France (2011)
  • Pink Pills for Pale People: A Snapshot of Entrepreneruship, Patent Medicine & Finance in 1905
    Davies, R. Pink Pills for Pale People: A Snapshot of Entrepreneruship, Patent Medicine & Finance in 1905 , ICMA Center, University of Reading, Reading, UK (2011)
  • Pink Pills for Pale People: A Snapshot of Entrepreneruship, Patent Medicine & Finance in 1905
    Davies, R. Pink Pills for Pale People: A Snapshot of Entrepreneruship, Patent Medicine & Finance in 1905 Canadian Economics Association, Ottawa, Canada (2011)
  • Tight bounds on the impact of nonsynchronous trading on portfolio cross-autocorrelations
    Davies, R. Tight bounds on the impact of nonsynchronous trading on portfolio cross-autocorrelations Mid-Atlantic Research Conference in Finance, Villanova, PA (2008)
  • Using Matched Samples to Test for Differences in Trade Execution Costs
    Davies, R. Using Matched Samples to Test for Differences in Trade Execution Costs Financial Management Association Meeting, Orlando, Florida (2007)
  • Tight bounds on the impact of nonsynchronous trading on portfolio cross-autocorrelations
    Davies, R. Tight bounds on the impact of nonsynchronous trading on portfolio cross-autocorrelations Northeastern University Seminar, Boston, MA (2007)
  • Using Matched Samples to Test for Differences in Trade Execution Costs
    Davies, R. Using Matched Samples to Test for Differences in Trade Execution Costs Canadian Economics Association Meeting, Halifax, Nova Scotia, Canada (2007)
  • Using Matched Samples to Test for Differences in Trade Execution Costs
    Davies, R. Using Matched Samples to Test for Differences in Trade Execution Costs Western Finance Association Meeting, Big Sky, Montana (2007)
  • Using Matched Samples to Test for Differences in Trade Execution Costs
    Davies, R. Using Matched Samples to Test for Differences in Trade Execution Costs Cass Business School Seminar, London, UK (2007)
  • Using Matched Samples to Test for Differences in Trade Execution Costs
    Davies, R. Using Matched Samples to Test for Differences in Trade Execution Costs Finance and Econometrics Conference, York, UK (2007)
  • Intraday Portfolio Return Autocorrelation Dynamics
    Davies, R. Intraday Portfolio Return Autocorrelation Dynamics ICMA Centre Seminar, Reading, UK (2007)
  • Portfolio Cross-autocorrelation Puzzles
    Davies, R. Portfolio Cross-autocorrelation Puzzles Financial Management Association Meeting, Salt Lake City, Utah (2006)
  • Portfolio cross-autocorrelation puzzles
    Davies, R. Portfolio cross-autocorrelation puzzles European Financial Management Association Meeting, Madrid, Spain (2006)
  • Fund of Hedge Fund Portfolio Selection: A Multiple-Objective Approach
    Davies, R. Fund of Hedge Fund Portfolio Selection: A Multiple-Objective Approach Alternative Investments Conference, Montebello, QC, Canada (2005)
  • Portfolio cross-autocorrelation puzzles
    Davies, R. Portfolio cross-autocorrelation puzzles HEC Montréal Seminar, Montreal, QC, Canada (2005)
  • Cross hedging with single stock futures
    Davies, R. Cross hedging with single stock futures Northern Finance Association Meeting, Vancouver, BC (2005)
  • Funds of Hedge Funds Portfolio Selection: A Multiple-Objective Approach
    Davies, R. Funds of Hedge Funds Portfolio Selection: A Multiple-Objective Approach Gutmann Center Symposium on Hedge Funds , Vienna, Austria (2004)
  • Portfolio cross-autocorrelation puzzles
    Davies, R. Portfolio cross-autocorrelation puzzles Northern Finance Association Meeting, St. John’s, Newfoundland, Canada (2004)
  • Portfolio cross-autocorrelation puzzles
    Davies, R. Portfolio cross-autocorrelation puzzles ISMA Centre Seminar, Reading, UK (2003)
  • Portfolio cross-autocorrelation puzzles
    Davies, R. Portfolio cross-autocorrelation puzzles University of Warwick Seminar, Warwick, UK (2003)
  • Matching and the estimated impact of interlisting
    Davies, R. Matching and the estimated impact of interlisting Multinational Finance Society , Montreal, QC, Canada (2003)
  • Building a Competitive and Efficient European Financial Market
    Davies, R. Building a Competitive and Efficient European Financial Market LSE Financial Markets Group Seminar, London, UK (2003)