Ryan J. Davies is an Associate Professor of Finance at Babson College, and the Faculty Director of the Stephen D. Cutler Center for Investments and Finance. He teaches advanced undergraduate and MBA finance electives, including Security Valuation, Options and Futures, Fixed Income, and Capital Markets. He serves as faculty advisor for Babson's successful undergraduate business case competition and trading competition teams. Prior to joining Babson College, Dr. Davies taught at the ICMA Centre of the University of Reading in England. He has also taught various modules in the International Capital Market Association's International Fixed Income and Derivatives program and has taught the course Global Financial Management for the HSE Executive MBA program in Seoul, Korea.
Dr. Davies is an expert on financial market microstructure and is available for consulting, expert witness testimony, and media interviews. His past research has examined diverse topics such as: the impact of EU regulation, particularly MiFID, on European securities markets; the role of the market preopening session on price discovery; the usage of matched sample estimation to test for differences in trade execution costs; and the effects of strategic end-of-quarter trading by mutual fund managers. He also helped develop a widely-cited portfolio optimization method for the fund of hedge funds.
Recently, Dr. Davies has been estimating the extent to which various market frictions cause systematic patterns in the delayed incorporation of public information into intraday stock prices. He is also studying how trade in equity options can impact the prices of their underlying stocks, and how to measure the direct and indirect costs of manipulation in futures markets.
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 Derivatives and Hedge Funds, Canadian Journal of Economics, Journal of Futures Markets, and Economics Letters.
Areas of expertise also include Algorithmic and High Frequency Trading; Hedge Funds and Fixed Income.
Faculty Homepage: http://faculty.babson.edu/rdavies/