Courses taught

MFE Asset Pricing.
MBA/MFE International Finance.
Oxford International Investment Programme.

Expertise

Capital markets and asset pricing.
Hedge funds.
International finance.

Overview

Tarun Ramadorai is a Professor in Financial Economics at the Saïd Business School. He is Director of the Oxford-Fidelity Research Alliance, a member of the Executive Committee at the Oxford-Man Institute of Quantitative Finance, and a research affiliate of the Centre for Economic Policy Research (CEPR). He is also a member of a Group of Economic Advisors for the newly created European Securities and Markets Authority (ESMA). During 2011-2012, he will be spending some of his time as Visiting Scholar at the Economic Advisory Council to the Prime Minister of India.

Tarun joined the Saïd Business School in 2003. He has a BA in Mathematics and Economics from Williams College, an MPhil in Economics from Cambridge, and a PhD in Business Economics from Harvard University. He has also spent time as a visiting academic at London Business School.

Tarun's main areas of research interest are capital markets, international finance and hedge funds. He has published papers on these topics in top-rated international journals such as the Journal of Finance, Journal of Financial Economics and the Review of Financial Studies.

He has been regularly quoted in the press, and has been awarded the INQUIRE UK best paper prize and the Viz Risk Management best paper prize of the European Finance Association for his work. He has also been an invited speaker at practitioner conferences such as the Global Alternative Investment Management Forum and the Dow Jones India Investors Summit. He has taught courses on international finance, behavioural finance, hedge funds and investment management in Master of Financial Economics, MBA, Executive MBA, and PhD programs.

Research interests

Tarun's current research deals with three main topics: the impact of international investment flows on equities and foreign currencies in a range of countries; the performance, risks, and capital accumulation of hedge funds; and household finance with a particular emphasis on emerging markets.

Publications:

Please click this link for Tarun's personal webpage, which contains downloadable versions of his research papers and CV.

On the high-frequency dynamics of hedge fund risk exposures (2011) with Andrew Patton.  Journal of Finance, forthcoming. Internet Appendix is available from Tarun's personal webpage.

Asset fire sales and purchases and the international transmission of funding shocks (2011) with Pab Jotikasthira and Christian Lundblad. Journal of Finance, forthcoming. Internet Appendix is available from Tarun's personal webpage.

Capacity constraints, investor information, and hedge fund returns (2011), Journal of Financial Economics, forthcoming. Previously entitled "Investor interest and hedge fund returns."

The secondary market for hedge funds and the closed hedge fund premium (2010), Journal of Finance, forthcoming.

Caught on tape: Institutional trading, stock returns, and earnings announcements (2009) with John Y. Campbell and Allie Schwartz.  Journal of Financial Economics, 92, pp. 66-91. Data from the paper is available on personal webpage.
 
Hedge funds: Performance, risk and capital formation, (2008) with William Fung, David A. Hsieh and Narayan Y. Naik,   Journal of Finance, 63(4), pp. 1777-1803.  Finalist for the Smith-Breeden prize.  

Institutional portfolio flows and international investments, (2008) with Kenneth A. Froot,  Review of Financial Studies, 21(2), pp. 937-972.  
 
What determines transactions costs in foreign exchange markets? (2008) International Journal of Finance and Economics, 13, pp. 14-25.
 
Capacity constraints and hedge fund strategy returns, (2007) with Narayan Y. Naik and Maria Stromqvist,  European Financial Management, 13(2), pp. 239-256. INQUIRE UK best paper prize.

Currency returns, intrinsic value and institutional investor flows, (2005) with Kenneth A. Froot, Journal of Finance, 60(3), pp. 1535-1566.  Finalist for the Smith-Breeden prize.

Working papers:

The reliability of voluntary disclosures: Evidence from hedge funds (2011) with Andrew Patton and Michael Streatfield.

On the high-frequency dynamics of hedge fund risk exposures (2011) with Andrew Patton. Older version: On the dynamics of hedge fund risk exposures (2010) contains different results, including searches across conditioning variables, and performance comparisons with other proposed approaches for modelling the dynamics of hedge fund risk exposures.

Money for nothing? Understanding variation in reported hedge fund fees (2011) with Michael Streatfield.

Trade credit and international return comovement (2011) with Rui Albuquerque and Sumudu Watugala

Limits to arbitrage and hedging: Evidence from commodity markets (2010) with Viral Acharya and Lars Lochstoer. Viz Risk Management best paper prize, European Finance Association.

Does one size fit all? The consequences of switching markets with different regulatory standards, (2010) with Tim Jenkinson.  

Levelling the trading field (2009) with David Easley and Terrence Hendershott.  

Book Chapters:

Institutional Investors, in H. Kent Baker and John Nofsinger (eds.), Behavioral Finance: Investors, Corporations and Markets. Hoboken, NJ: John Wiley & Sons, Inc., October 2010

Personal webpage

Please click this link for Tarun's personal webpage, which he updates frequently; it also contains links to his research papers.

In the media

Columns
Tarun regularly writes a column for The Financial Express newspaper:
Why don't we invest in equity? - Mar 8, 2011
Understand lobbying to regulate it - Jan 14, 2011
Hello, Indian samaritans - Nov 17, 2010
Building Lessons - Sep 20, 2010
There's much room for engagement - Aug 4, 2010
Sorting out short-selling bans - Jul 2, 2010
Why the debt crisis won't just go away - Jun 1, 2010
What Greece has to do with oil prices - May 3, 2010
Sovereign debt: Should we worry? - Apr 2, 2010
Fund creates storm over capital flows - Mar 3, 2010
The big debate on hedge funds - Feb 11, 2010
Does Dubai really end with Dubai? - Dec 26, 2009

Media reports

Investment & Pensions Europe (January 2012), "Dud hedge funds tinker more with historical reported returns - study"

Citations for 'The Reliability of Voluntary disclosures: Evidence from Hedge Funds'

The Telegraph (November 2011), "40pc of hedge funds mislead investors, according to Oxford University study"

The Hindu Business Line (November 2011), "Hedge funds disclosures unreliable, says Oxford study"

Rediff Business (November 2011), "Hedge funds disclosures unreliable: Oxford study"

HedgeCo.net (Novmeber 2011), "Reliability of Hedge Funds Voluntary Disclosure"

Deccan Herald (November 2011), "Hedge funds disclosures unreliable, says Oxford study"

Citations for earlier work
The Economist (September 2011), "All in the same boat" (cites Asset Fire Sales and Purchases and the International Transmission of Funding Shocks)

AllAboutAlpha.com (July 2011), "A Hedge Fund Risk Profile Changes As the Moon Waxes and Wanes" (cites On the High-Frequency Dynamics of Hedge Fund Risk Exposures)

AllAboutAlpha.com (January 2010), “Study Finds Secondary HF Markets Can Predict Future Fund Returns”.(cites Investor Interest and Hedge Fund Returns).

Dow Jones Financial News (October 2009), "Demand wanes for second-hand hedge funds”

Opalesque.com (June 2009), “Dr Ramadorai: secondary market research reveals deep links between hedge fund and closed-end mutual fund industries”

HedgeWeek.com (June 2009), “Secondary market research reveals deep links between hedge fund and closed-end mutual fund industries”

AllAboutAlpha.com (June 2009), “What Really Drives the Closed-End HF Discount?”

AllAboutAlpha.com (May 2008), “Study is First to Examine the Secondary Market for Stakes in Hedge Funds” 

Seekingalpha.com, May 2008.“First Study of Secondary Market Sheds Light on Hedge Fund Buyers”

Hedge Fund Intelligence, May 2008. “Study of secondary hedge fund market finds investors paying up for access”

CNN.com/World business (December 4th 2007) “Peering Over the Hedge”

Institutional Investor Alpha (February 2007, pp. 45-51) “Algo vs. Algo”

The Economist (October 28th-November 3rd 2006, page 102.), “A Cheap Alternative to Hedge Funds”