Stephen Schaefer
Professor of Finance; Academic Director, AQR Asset Management Institute
MA (Cambridge) PhD (London)
Professor Stephen Schaefer has published widely on fixed income markets, risk management, credit risk and financial regulation. His research includes a study on corporate debt default in the US over the past 150 years, which was awarded first prize in the 2011 Fama/DFA Award for the Best Paper Published in the Journal of Financial Economics in the areas of capital markets and asset pricing. He also received the 2015 Jack Treynor Prize from the Q Group, which recognises academic working papers with potential applications in the fields of investment management and financial markets.
Professor Schaefer was formerly a faculty member of the Graduate School of Business at Stanford University. He has also been a visiting professor at the Universities of British Columbia, California (Berkeley), Cape Town, Chicago and Venice, where he was recently awarded an Honorary Fellowship. Today, he is the lead Academic Director for the London Business School’s AQR Asset Management Institute.
Outside academic life, he has consulted widely for a variety of financial institutions and is a co-author of two major reports for the Norwegian Ministry of Finance on the management of the Norwegian Government Pension Fund (the ‘Oil Fund’).
He has also been an independent board member of the Securities and Futures Authority; a senior research advisor to Moody’s KMV; a non-executive director of Leo Fund Management; a trustee-director of Smith Breeden Mutual Funds and a member of Moody’s Academic Research and Advisory Committee.
- sschaefer@london.edu
- +44 (0)20 7000 8267
- Stephen Schaefer CV
Jack Treynor Prize, Institute for Quantitative Research in Finance, 2015
2012 First Prize, Fama-DFA award for the Best Paper published in the Journal of Financial Economics in the Areas of Capital Markets and Asset Pricing, 2011.
Institute for Quantitative Research in Finance (‘Q-Group’) Award, 2005.
Institute for Quantitative Research in Finance (‘Q-Group’) Award, 1982.
Graham and Dodd Award, 1977.
Entrance Exhibition, Queens' College, Cambridge, 1965.
- Credit risk
- Derivative instruments
- Investment management
- Asset pricing theory
- Portfolio selection
- Capital markets
- Financial regulation
- Term structure of interest rates
2023
Debt Dynamics and Credit Risk
Feldhutter P; Schaefer S
Journal of Financial Economics 2023 Vol 149:3 p 497-535
2018
The myth of the credit spread puzzle
Feldhutter P; Schaefer S
Review of Financial Studies 2018 Vol 31:8 p 2897-2942
2015
Liquidity risk and correlation risk: a clinical study of the General Motors and Ford downgrade of May 2005
Acharya V; Schaefer S; Zhang Y
Quarterly Journal of Finance 2015 Vol 5:2 p 18629
2014
Macroeconomic effects of corporate default crisis: A long-term perspective
Schaefer S M; Giesecke K; Longstaff F A; Strebulaev I
Journal of Financial Economics 2014 Vol 111:2 p 297-310
2011
Corporate bond default risk: A 150-Year perspective
Schaefer S M; Giesecke K; Longstaff A F; Strebulaev I
Journal of Financial Economics 2011 Vol 102:2 p 233-250
The efficient market theory and evidence: Implications for active investment management
Schaefer S M; Ang Al Goetzmann W N
Foundations and Trends in Finance 2011 Vol 5:3 p 157-242
2008
Structural models of credit risk are useful: evidence from hedge ratios on corporate bonds
Schaefer S M; Strebulaev I
Journal of Financial Economics 2008 Vol 90:1 p 1-19
2006
A comparison of alternative non-parametric estimators of the short rate diffusion coefficient
Schaefer S M; Reno R; Roma A
Economic Notes 2006 November Vol 35:3 p 227-252
Pillar 1 versus Pillar 2 under risk management
Schaefer S M; Pelizzon L; Venice U
in Carey M and Stulz R M eds., The risks of financial institutions, p 377-409, University of Chicago Press/NBER, 2006
2005
Understanding and managing correlation risk and liquidity risk
Acharya V; Schaefer S M
International Financial Risk Institute (IFRI) Roundtable, 29-30 September, 2005
2001
Asset pricing: derivative assets
Schaefer S M
in Ashenfelter O ed., International encyclopaedia of social and behavioral sciences: economics section, p 833-840, Elsevier Science, 2001
2000
Duration and immunization: a review of theory, performance and applications
Schaefer S M
in Ross S A ed., The Debt Markets, Edward Elgar, 2000
Tax-induced clientele effects in the market for British government securities: placing bounds on security values in an incomplete market
Schaefer S M
in Ross S A ed., The Debt Markets, Edward Elgar, 2000
Term structure of real interest rates and the Cox, Ingersoll and Ross Model
Brown R H; Schaefer S M
in Ross S A ed., The Debt Markets, Edward Elgar, 2000
1999
Direct and compliance cost of financial regulation
Franks J R; Schaefer S M; Staunton M
in Swann E J ed., Issues in derivative instrument law, Kluwer Law International, 1999
Non-linear value-at-risk
Britten-Jones M; Schaefer S M
European Finance Review 1999 Vol 2:2 p 161-187
Non-linear value-at-risk
Britten-Jones M; Schaefer S M
in Galai D, Ruthenberg D, Sarnat M and Schreiber B eds., Risk Management and Regulation in Banking, Kluwer Academic Publishers, Boston, 1999
1998
Competition between regulated markets in London
Schaefer S M
in Ferrarini G ed., European securities markets, p 205-212, Kluwer Law International, 1998
Robert Merton, Myron Scholes and the development of derivative pricing
Schaefer S M
Scandinavian Journal of Economics 1998 Jun Vol 100:2 p 425-445
1997
Direct and compliance costs of financial regulation
Franks J R; Schaefer S M; Staunton M
Journal of Banking and Finance 1997 Dec Vol 21:11/12 p 1547-1572
1996
Ten years of the real term structure
Brown R H; Schaefer S M
Journal of Fixed Income 1996 Mar Vol 5:4 p 6-22
1995
Equity market transparency on the London Stock Exchange
Franks J R; Schaefer S M
Journal of Applied Corporate Finance 1995 Spring Vol 8:1 p 70-77
Interest rate volatility and the shape of the term structure
Brown R H; Schaefer S M
Philosophical Transactions of the Royal Society 1994 Vol 347 p 563-576
Term structure of real interest rates and the Cox, Ingersoll and Ross model
Brown R H; Schaefer S M
Journal of Financial Economics 1994 Vol 35 p 3-42
1992
Financial regulation: the contribution of the theory of finance
Schaefer S M
in Fingleton J ed., Internationalisation of capital markets and regulatory response, Graham & Trotman, 1992
1991
Equity market transparency
Franks J R; Schaefer S M
Stock Exchange Quarterly 1991 Apr-Jun p 7-11
Exchange risk and international diversification of borrowing by Italian firms
Schaefer S M; Kaplanis E C
Journal of Economics and Business 1991 Nov Vol 43:4 p 287-307
1990
Regulation of banks and securities firms
Schaefer S M
European Economic Review 1990 May Vol 34:2 p 587-597
1989
Liability matching
Schaefer S M
in Ingrams L ed., International bond portfolio management, Euromoney Publications, 1989
1987
The design of bank regulation and supervision: some lessons from the theory of finance
Schaefer S M
in Threats to International Stability, R Portes and A K Swoboda (Eds) Cambridge University Press pp 91 - 104
Time dependent variance and the pricing of bond options
Schaefer S M; Schwartz E S
Journal of Finance 1987 Vol 42:5 p 1113-1128
1984
A two-factor model of the term structure and an approximate analytical solution
Schaefer S M; Schwartz E S
Journal of Financial and Quantitative Analysis 1984 Vol 19:4 p 413-424
Continuous price processes in frictionless markets have infinite variation
Schaefer S M; Harrison J M; Pittbladdo R
Journal of Business 1984 Vol 57:3 p 353-365
Duration and immunization: A review of theory, performance and applications
Schaefer S M
Midland Corporate Finance Journal 1984 Fall Vol 2:2 p 41-59
1983
The dynamics of the term structure and alternative immunization strategies
Schaefer S M; Nelson J
(in) Innovations in Bond Portfolio Management: Duration Analysis and Immunization. G O Bierwag, G G Kaufman and A Toevs (eds.) JAI Press 1983
1982
Taxes and security market equilibrium
Schaefer S M
in Financial Economics: Essays in Honor of Paul H Cootner, W F Sharpe and C M Cootner (Eds). Englewood Cliffs: N.J.: Prentice-Hall (1982), 159-178
Tax-induced clientele effects in the market for British government securities: Placing Bounds on Security Values in an Incomplete Market
Schaefer S M
Journal of Financial Economics 1982 Vol 10:2 p 121-159
1981
Measuring a tax specific term structure of interest rates in the market for British government securities
Schaefer S M
Economic Journal 1981 Vol 91:362 p 415-438
1977
A model for bond portfolio improvement
Schaefer S M; Hodges S D
Journal of Financial and Quantitative Analysis 1977 Vol 12:2 p 243-260
Term structure with uncertain inflation
Schaefer S M; Brealey R A; Myers S C
Journal of Finance 1977 May Vol 32:2 p 277-289
The influence of tax-induced clientele effects on optimal investment in bonds
Schaefer S M
Proceedings of the Seminar on the Analysis of Security Prices. Center for Research in Security Prices, Graduate School of Business, University of Chicago, November 1977
The problem with redemption yields
Schaefer S M
Financial Analysts Journal 1977 July/August Vol 33:4 p 59-67
1975
Alternative models of systematic risk
Schaefer S M; Brealey R A; Hodges S D; Thomas H
in: Elton E J and Gruber M J (Eds) International Capital Markets, North Holland 1975
1974
On the interpretation of the geometric mean
Schaefer S M; Hodges S D
Journal of Financial and Quantitative Analysis 1974 Vol 9:3 p 497-504
2021
Bond Risk Premia: The Information in (Really) Long Term Rates
Berardi A; Brown R; Schaefer S M
Social Sciences Research Network
2014
The credit spread puzzle: myth or reality?
Feldhutter P; Schaefer S
Social Sciences Research Network
2003
Do Risk Managment and Regulation Reduce Risk in Banking?
Pelizzon L; Schaefer S M
IFA Working Paper
2001
Why Long Term Forward Interest Rates (almost) Always Slope Downwards
Schaefer S M; Brown R H
IFA Working Paper
1995
Costs of regulatory compliance for financial firms
Franks J R; Schaefer S M; Staunton M
Corporation of London, 1995
1994
Custodianship and protection against misuse of client property
Franks J R; Schaefer S M
Corporation of London, 1994
1993
Costs and effectiveness of the UK financial regulatory system
Franks J R; Schaefer S M
Corporation of London, 1993
1986
Recent developments in corporate finance
Franks J R; Schaefer S M et al.
Cambridge University Press, 1986
Teaching portfolio
Our teaching offering is updated annually. Faculty and programme material are subject to change.