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William N. Goetzmann

Edwin J. Beinecke Professor of Finance and Management Studies

 Director, International Center for Finance at the Yale School of Management 

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William Goetzmann is the Edwin J. Beinecke Professor of Finance and Management Studies and the Director of the International Center 

 for Finance at the Yale School of Management, where he has been since 1994. He has taught investments, real estate and financial history

among other classes. From 1990 to 1994 he taught investments and real estate at Columbia Business School.

Goetzmann is an expert on a diverse range of assets, including stocks, bonds, mutual funds, hedge funds, real estate and art. His research

topics include asset pricing, the equity risk premium, arbitrage strategies, selecting investment managers, global investing and financial 

history. His work has been featured in most of the major financial news publications and his academic research has been published in all of the major academic finance journals.

 His published books include: The Origins of Value: The Financial Innovations that Created the Modern Financial Markets (Oxford,

2005), The Equity Risk Premium: Essays and Explorations with Roger Ibbotson. (Oxford, 2006), Modern Portfolio Theory and Investment 

 Analysis, with Elton, Gruber & Brown, (John Wiley and Sons, 2006 and following) and The West of the Imagination, with W.H.

Goetzmann, (Oklahoma, 1986 & 2009). His most recent edited volume is The Great Mirror of Folly, Finance, Culture, and the Crash of  

1720 (Yale University Press, forthcoming).

 His current work focuses on endowments, financial history, operational risk, securitization, credit risk and behavioral finance.

 

Academic Vitae 

Outside Activities, Consulting and Director Relationships 

International Center For Finance at the Yale School of Management 

The mission of the ICF is to promote research about, and development

of, financial tools and skills for the benefit of society. It supports

experiential learning and student engagement with current topics in

Finance.

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Money Changes Everything

William N. Goetzmann. Princeton Press

My new book, Money Changes Everything , argues that the development

of finance has made the growth of civilizations possible. Finance is a

 peculiar technology developed by humankind that allows us to move

value forwards and backwards through time. This innovation has

changed the very way we think about and plan for the future. Financewas present at key moments in history: driving the invention of writing

in ancient Mesopotamia, spurring the classical civilazations of Greece

and Rome to become great empires, determining the rise and fall of 

dynasties in imperial China, and underwriting the trade expeditions

which led Europeans to the New World. This book traces the

development of finance from its most ancient origins up through modern

times and links it to the broader evolution of complex societies.

 

The The Great Mirror of Folly: Finance, Culture, and the Crash of 1720

William N. Goetzmann, Catherine Labio, K. Geert Rouwenhorst and

Timothy Young (Editors), Robert Shiller (Foreword). Yale University

Press, Yale Series in Economic and Financial History

My colleagues and I edited a volume about the first global financial

crisis and the book that recorded it. The world's first global stock market

 bubble suddenly burst in 1720, destroying the dreams and fortunes of 

speculators in London, Paris, and Amsterdam virtually overnight. Their folly and misfortune inspired the publication of an extraordinary Dutch

collection of satirical prints, plays, poetry, commentary, and financial

 prospectuses entitled, Het groote Tafereel de Dwaasheid  (The Great

Mirror of Folly), a unique and lavish record of the financial crisis and its

cultural dimensions. The current book adopts the title. It is a book about

the book, a wide-ranging interdisciplinary collaboration that uncovers

the meaning and influence of the Tafereel and the profound, lasting, and

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multifaceted impact of the crash of 1720 on European cultures and

financial markets.

 

The Equity Risk Premium: Essays and Explorations

Roger Ibbotson and I have assembled our separate and co-authoredresearch papers related to the equity risk premium into a volume. We

have added additional new work and interpretive material.

The Origins of Value: the Financial Innovations that Created

Modern Capital Markets Geert Rouwenhorst and I have edited a

volume of essays for the International Center for Finance published byOxford University Press. It contains chapters by leading historians and

economists on key innovations in finance from earliest times to the

 present. It is based on a series of conferences on financial history at the

International Center for Finance at the Yale School of Management. It

draws significantly from the new History of Finance Collection, a joint

venture between the Yale Beinecke Library and the Yale School of 

Management's International Center for Finance. Find the book at Oxford

University Press. Buy it on Amazon or Barnes and Noble. Hear the

Marketplace Interview about The Origins of Value. Also, here are the

reviews: The Times

, Time Magazine

, Financial Times, Barron's The

Best Books of 2005 Frankfurter Allgemeine, The Times Higher 

Education Supplement

, Financial Innovation

Financial History at the International Center for Finance 

The ICF has been constructing databases of individual security prices in

global markets over the 19th and 20th centuries. These data are available

for downloading at the ICF website. Now available:

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Old New York Stock Exchange Project - contains monthly individual

 NYSE stock prices from 1816 to 1926 and annual dividend data for 

much of the same period. See: A New Historical Database For The

 NYSE 1815 To 1925: Performance And Predictability for a data

description and some evidence on predictability.

 

London Stock Exchange Project - The Investors Monthly Manualcontains a complete record of The London Exchange for the period from

1869 to 1930. Monthly individual securities data in spreadsheet form

may be downloaded here. It includes corporate securities, sovereign and

municipal debt from all over the world.

 

St. Petersburg Stock Exchange Project - Monthly data for all equities on

the St. Petersburg Exchange, 1865 to 1917. Pdf files of hard copy in

Russian are available.

 Shanghai Stock Exchange Project - Monthly data for all equities on

the St. Petersburg Exchange, 1865 to 1917.

 Great Mirror of Folly Data Project: The Global Financial Crisis of 1720

in London, Paris and the Netherlands: 1720. Geert Rouwenhorst, Rik 

Frehen and I have collected stock price and subscription data for the

Dutch global markets in 1720, and additional data for the British

markets. It is complementary to Larry Neal's and Francois Velde's data.

Our working paper New Evidence on the First Financial Bubble isavailable on ssrn.

 

Global Stock Markets in the Twentieth Century. Philippe Jorion and I

have collected a database of capital appreciation indexes for 39

markets going back to the 1920s. Readme file.US dollar stock price appreciation indices #1/2

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US dollar stock price appreciation indices #2/2

Real stock price appreciation indices #1/2

Real stock price appreciation indices #2/2

 

Current Research Projects

My working papers can be downloaded from SSRN. My recent

research projects include:

 

Testing Asset pricing theory on six hundred years of stock returns:

Prices and dividends for the Bazacle company from 1372 to 1946, with

David Le Bris, Sebastien Pouget, and William N. Goetzmann.

The Development of Corporate Governance in Toulouse: 1372-1946,

with David Le Bris, Sebastien Pouget, and William N. Goetzmann.

The Role of Hedge Funds in the Security Price Formation Process, withCharles Cao, Yong Chen, William N. Goetzmann and Bing Liang.

Investment Beliefs of Endowments, with Andrew Ang, Andres Ayala

and William N. Goetzmann.

Estimating Private Equity Returns from Limited Partner Cash Flows,

with Andrew Ang, Bingxu Chen, William N. Goetzmann and Ludovic

Phalippou.

The Dow Theory 

Stephen Brown, Alok Kumar and I have studied the performance of the

Dow Theory over the period 1903 to the present. Using the editorials of William Peter Hamilton, we simulated the investment return achieved by

someone who followed the theory. In addition, we used neural net

methods to "extract" the theory from Hamilton's editorials, and test it out

of sample. The working paper may be downloaded, and the published

version appeared in the August, 1998 volume of the Journal of Finance.

This site is a resource area for information about our analysis and the

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more recent Dow Theory performance.

Hedge Funds

A course offered at Yale School of Management by myself and (often)

Tanya Styblo Beder. An in-depth study on the theory and management

of hedge funds. We focus on their strategies, including M&A arbitrage,

market neutral investing, statistical arbitrage, fixed income arbitrage,

global macro arbitrage and derivatives arbitrage. Topics will include

hedge fund compensation, performance evaluation, risk management,

including operational risk, and the role of arbitrageurs in the capital

market.

Democracy before Debt

My contribution to the Yale School of Management Leaders Forum

opinion page. For related links on the issue of debt and democracy, see a

synopsis of the doctrine of "Odious Debt" at Probe International. For a

current list of outstanding global debt by country, see Joint BIS-IMF-

OECD-World Bank statistics on external debt. Try cross-tabulating thiswith The Freedom House Annual Survey of Political Rights and Civil

Liberties. Another useful site for evaluating perceptions of governmental

corruption is Transparency International. The Internet Center for 

Corruption Research provides more details about the sources of 

information and the scoring methods used to construct the corruption

index, and research articles about corruption.

Mutual Fund Styles 

A mutual fund database created via a new methodology developed with

Stephen J. Brown of the Leonard Stern School of Business at NYU for classifying money managers according to their investment style. Brown

and Goetzmann styles for all U.S. equity mutual funds are reported in

this alphabetically searchable database.

Valuation and Investment 

This is the electronic resource area for the core course Valuation and

Investment. The following WWW pages contain: class notes and outline,

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A dictionary of financial terms, links for career research in finance and

much more. For Masters-level job hunters, take a look at Jobs in Finance

and Real Estate

Empirical Methods 

This is the electronic resource area for Empirical Research inAccounting and Finance Methods and Current Topics, taught by myself 

and Jake Thomas.

Mutual Funds 

This is the electronic resource area for the course Mutual Funds, taught

 by myself and Joseph Lennon.

Endowment Management 

This is the electronic resource area for Endowment Management, a half-

semester course that focuses on the special challenges facing the

endowment fund manager. These include evaluating the role of the

endowment, portfolio choice, manager choice, socially responsible

investing, and the use of alternative asset classes.

Portfolio Management

This is the electronic resource area for Portfolio Management -- formerly

called "Investments." The following WWW pages contain a hyper-

syllabus and links to investment cases.

An Introduction to Investment Theory 

A hyper-text book for first-year MBA and MPPM students introducing

the basic models of investment theory. Designed to be used in an eight-

week first course in investments.

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The History of Finance and Capital Markets

 

A Yale College and MBA course based on documentary resources at

Yale and beyond. Often taught with my colleague Valerie Hansen, the

course meets in Yale's Beinecke Library and makes extensive use of the

financial history collection. Overview, People, Readings, On-line

Resources, Syllabus, Virtual Museum of Financial History. The virtual

museum is a work in progress and contributions and comments are welcome. 

Cases in Investment Management 

Text for nine cases in investment management designed to teach

analytical and quantitative skills. The cases are designed for use with

spreadsheet data, and/or Morningstar/Ibbotson Associates EnCorr 

Optimization software. If you are interested in licensing the backup

materials for classroom use, please contact me. If you wish to use the

cases for classroom purposes, please link them rather than copying them.

Real Estate Finance 

A second level course in real estate economics and finance.

The West of the Imagination The latest edition from Oklahoma

University Press, 2009.

We have added several new chapters to our book. Additions include

chapters on McKinney and Hall, The Land Artists, New WesternPhotographers and much more. The West as seen through the eyes of 

artists is the West of the imagination. This book is a comprehensive

survey of the iconlogy of the Western Frontier in the popular and high

arts in America.

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Henry Lowenfeld's Investment and Exact Science published in London

in 1909 developed the first complete theory of international

diversification. It is worth reading to understand how British investors of 

the last century thought about risk. Right is the image Lowenfeld used to

show the idea of co-movement within a single market. The book is out

of copyright, so feel free to download it here. Thanks to Andrey Ukhov

for rediscovering Lowenfeld's pioneering work in Yale's Mudd Library.

Also by the same author: Investment Practically Considered, and All

About Investment.

Will Goetzmann's Learning Curves 

Graphs, cartoons, book covers, and everything else. This is a collection

of graphs and finance-related images that capture the essence of finance

and finance pedagogy. An entertaining way to explore!

The Artists of Fortune (DISABLED)

An exhibition of cover art from pre-war Fortune, one of the greatest

experiments in business publishing ever undertaken.

Galileo.s Financial Calculator

In 1606, Galileo published this guide to a calculation

device of his own design called a geometric and

military compass. Among the various uses of the

device is the calculation of compound interest. TheInstitute and Museum of the History of Science in

Florence has a full description of the tool. Click on the

document at right for the complete text see operation

VII.

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Snow Spiral: An Environmental Project.

Saint-Barthelemy

Michael Edelstein's book Overseas Investment in the Age of High

 Imperialism is the first major study to use modern portfolio theory to

examine the question of British overseas investment. His work is based

on the construction of time series indices from the Investors Monthly

Manual. He has generously made the data appendices from his book available for download through the website of the International Center 

for Finance at the Yale School of Management.

Bibliography of Literature on Art Museums 

Carl Willers, MPPM class of 1996 has assembled an in-depth

 bibliography of books and articles about the management of Art

Museums. This is a useful resource for all managers in the arts.

A Portfolio of Paintings of Egypt 

Some paintings of classic Egypt views. Feel free to link them, but do not

download, since they are copyrighted.

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The Entemena Inscription in the Yale Babylonian Collection

is the oldest know example of compound interest calculation. It dates

from about 2,500 BCE and commemorates the defeat of the city of 

Umma by the city of Lagash. Lagash claims reparations for decades of 

occupation of the agricultural land along the border. The reparations are

calculated by compounding at 33 1/3 percent per year.

Finance in the Oxyrhnchus Papyri: An early bank check?

Document 2772 in The Oxyrhnchus Papyri volume XXXVI is entitled,Instructions to a Banker. Written in 10 or 11 A.D., it is part of the

famous trove of papyri documents discovered in Egypt in the last

century and now in the process of preservation and translation at Oxford

University. See POxy (Oxyrhynchus Online).

Translation: Julius Lepos to Archibius the banker greeting. Pay to my

account with Harpochration the banker one thousand nine hundred and

fifty three drachmas of silver. Total 1953 dr year 40 of Caesar, Pachon 3.

The text suggests that Julius and Harpochration both have accounts with

the banker Archibius and Julius is instructing the transfer from oneaccount to the other. It is one of a number of diagraphs from papyri

collections.

Hawara Documents

The Arcadian Landscapes of Edward Sheriff Curtis 

An essay for a Whitney Museum exhibition, The Perpetual Mirage:

Photographic Narratives of the Desert West. The photographs of Edward

Curtis helped reshape the image of southwestern tribes in the American

imagination. See also "Desolation is the Great Basin: Clarence King'sFortieth Parallel Survey" by my father, historian William H. Goetzmann.

This essay, which focuses on the documentary photography of Timothy

O'Sullivan, also appears in the Whitney catalogue.

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