Ryan Joseph Davies

  • Associate Professor
  • Division Chair
Academic Division: Finance

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 formerly 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. His research has been published in peer-reviewed journals such as the Review of Financial Studies, 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 Executive Advisor at ScottMadden Management Consultants. In that capacity, he has testified as an expert witness before the Alberta Utilities Commission. He is an Advisor to the Board of Artisan Industries, Inc. and a Business Advisor to Volos Portfolio Solutions LLC. He is Treasurer and Executive Board member of the Wellesley Community Children's Center.

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
More

Courses

  • Degree Courses 2019

    • FIN 4505 FINANCIAL TRADING STRAT AND RISK MGT
    • FIN 4535 FIXED INCOME AND STRUCTURED PRODUCTS
  • Degree Courses 2018

    • FIN 4505 FINANCIAL TRADING STRAT AND RISK MGT
    • FIN 7545 FINANCIAL TRADING STRATEGIES

Publications

Journal Articles

  • Barardehi, Y.H., Bernhardt, D., Davies, R. (2018). Trade-Time Measures of Liquidity. Review of Financial Studies, The. link
  • 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. Vol: 34, Page: 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. Vol: 15, Issue: 2, Page: 91-115.
  • Bernhardt, D., Davies, R. (2009). Smart Fund Managers? Stupid Money?. Canadian Journal of Economics / Revue Canadienne D'Economique. Vol: 42, Issue: 2, Page: 719-748.
  • Davies, R., Kim, S. (2009). Using Matched Samples to Test for Differences in Trade Execution Costs. Journal of Financial Markets. Vol: 12, Issue: 2, Page: 173-202.
  • Davies, R., Brooks, C., Kim, S.S. (2007). Cross Hedging with Single Stock Futures. Assurances et Gestion des Risque. Vol: 74, Issue: 4, Page: 473-504.
  • Davies, R., Bernhardt, D., Spicer, J. (2006). Long-Term Information, Short-Lived Securities. Journal of Futures Markets. Vol: 26, Issue: 5, Page: 465-502.
  • Davies, R., Bernhardt, D. (2005). Painting the Tape: Aggregate Evidence. Economics Letters. Vol: 89, Issue: 3, Page: 306-311.
  • Davies, R. (2003). The Toronto Stock Exchange Preopening Session. Journal of Financial Markets. Vol: 6, Issue: 4, Page: 491-516.

Book Chapters

  • Davies, R. (in press). The Integrity of Closing Prices: The Handbook of Financial Market Manipulation and Fraud. Wiley.
  • Davies, R., Kat, H.M., Lu, S. (2015). Fund of Hedge Funds Portfolio Selection: A Multiple-Objective Approach: Derivatives and Hedge Funds. Page: 45-71. Palgrave Macmillan.
  • Davies, R., Kat, H.M., Lu, S. (2006). Single Strategy Funds of Hedge Funds: How Many Funds?: Fund of Hedge Funds: Performance, Assessment, Diversification and Statistical Properties. Page: 203-210.
  • Davies, R., Dufour, A., Scott-Quinn, B. (2006). The MiFID: Competition in a new European equity: Investor Protection in Europe: Corporate Law Making, The MiFID and. Oxford University Press.

Reports

  • Davies, R., Dufour, A., Scott-Quinn, B. (2003). Building a Competitive and Efficient European Financial Market. Page: 103.

Working Papers

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

Articles - Circular or newsletter (e.g., Babson Insight)

  • Atanasov, V., Davies, R., Merrick, J.J. (2015). How well do futures markets limit manipulation?: Review of Financial Regulation Studies. Vol: 15, Page: 3-4. Center for the Study of Financial Regulation, University of Notre Dame.

Presentations

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

Additional Links