LBS logo London experience. World impact.

Search for faculty

Stephen Schaefer

Professor of Finance; Deputy Dean (Faculty)


MA (Cambridge), PhD (London)

Stephen Schaefer has published widely on fixed income markets, risk management, credit risk and financial regulation. His recent research includes a study of corporate 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, which recognises superior academic working papers with potential applications in the fields of investment management and financial markets.

Professor Schaefer was formerly on the faculty of the Graduate School of Business at Stanford University and has also been a visiting professor at the universities of: British Columbia, California (Berkeley), Cape Town, Chicago and Venice. He is currently the Lead Academic Director and Chair for the AQR Asset Management Institute at London Business School.

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.

2015

Liquidity Risk and Correlation Risk: A Clinical Study of the General Motors and Ford Downgrade of May 2005

Schaefer S; Acharya V; Zhang Y

Quarterly Journal of Finance 2015 Vol 5:1 Forthcoming

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 p 297-310

2011

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

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 p 233-250

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 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

Corporate bonds and other debt instruments

Schaefer S M

Financial Times 2001 May 21

Principles of bond portfolio management

Schaefer S M

Financial Times 2001 May 14

Foundations of continuous time finance

Schaefer S M; Elgar E

Edward Elgar, 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

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

Duration and immunization: a review of theory, performance and applications

Schaefer S M

in Ross S A ed., The Debt Markets, Edward Elgar, 2000

1999

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

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

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

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

Custodianship and investor protection

Franks J R; Schaefer S M

Financial Times 1994 Feb 24

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

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

Beyond the zero

Brown R H; Schaefer S M

Futures and Options World 1994 Dec Vol 283 p 51-53

1993

Costs and effectiveness of the UK financial regulatory system

Franks J R; Schaefer S M

Corporation of London, 1993

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

1986

Recent developments in corporate finance

Franks J R; Schaefer S M et al.

Cambridge University Press, 1986

E490 Elective Course in Credit Risk  


Executive Education Courses in Investment Management Programme and Strategic Investment Management

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.

Research Interests

Credit risk, derivative instruments, investment management, asset pricing theory, portfolio selection, capital markets, financial regulation and term structure of interest rates.