Kenneth A. Kavajecz - Wisconsin School of Business - University of ...

Curriculum Vitae
Kenneth A. Kavajecz
January 5, 2010
Office Address: Home Address:
University of Wisconsin - Madison 1129 Waban Hill
Wisconsin School of Business Madison, WI 53711
Department of Finance
4329 Grainger Hall
975 University Avenue
Madison, WI 53706
Phone: (608) 890-2496
Fax: (608) 265-3121
Email: kkavajecz@bus.wisc.edu
Homepage: http://research3.bus.wisc.edu/course/view.php?id=92
Educational Background
Ph.D. Finance, Northwestern University, 1997
M.S. Finance, Northwestern University, 1994
B.S. Economics/Political Science, University of Wisconsin-Madison, 1988
Professional Employment
University of Wisconsin – Madison, Wisconsin School of Business:
Associate Dean for Full-Time Masters Programs, July 2006 to present.
Associate Dean for the Undergraduate Program, August 2008 to present.
Associate Professor, April 2004 to present.
Wisconsin Alumni Professor in Investments, January 2008 to present.
Freytag/Graner Fellow, April 2004 to December 2007.
Assistant Professor, June 2003 to April 2004.
University of Pennsylvania, The Wharton School:
Adjunct Associate Professor, July 2007 to present.
Assistant Professor, February 1997 to June 2003.
Lecturer, July 1996 to February 1997.
Northwestern University, J. L. Kellogg Graduate School of Management, Lecturer, Spring 1996.
Board of Governors of the Federal Reserve System, Division of Monetary Affairs, Assistant Economist, 1988-1992.
Research Interests
Liquidity Provision and the Structure of Financial Markets, Capital Markets, Derivative Securities.

Publications
Refereed
Beber, Alessandro, Michael Brandt and Kenneth A. Kavajecz, 2009, Flight-to-Quality or a Flight-to-Liquidity?
Evidence from the Euro-Area Bond Market, Review of Financial Studies, 22: 925-957. (Lead Article)
Brandt, Michael, Kenneth A. Kavajecz and Shane Underwood, 2007, Price Discovery in the Treasury Futures
Market, Journal of Futures Markets, 27: 1-32.
Caglio, Cecilia, and Kenneth A. Kavajecz, 2006, A Specialist's Quoted Depth as a Strategic Choice Variable: An
Application to Spread Decomposition Models, Journal of Financial Research 29: 383-398.
Clayton, Matthew, Bjorn Jorgensen and Kenneth Kavajecz, 2006, On the Presence and Market-Structure of
Exchanges around the World, Journal of Financial Markets 9: 27-48.
Kavajecz, Kenneth A. and Donald Keim, 2005, Packaging Liquidity: Blind Auctions and Transaction Efficiencies,
Journal of Financial and Quantitative Analysis 40: 465-492.
Kavajecz, Kenneth A. and Elizabeth Odders-White, 2004, Technical Analysis and Liquidity Provision, Review of
Financial Studies 17: 1043-1071.
Brandt, Michael and Kenneth A. Kavajecz, 2004, Price Discovery in the U.S. Treasury Market: The Impact of Order
Flow and Liquidity on the Yield Curve, Journal of Finance 59: 2623-2654.
Nominated for the 2005 Smith Breeden Prize for the Best Paper in the Journal of Finance.
Goldstein, Michael A. and Kenneth A. Kavajecz, 2004, Trading Strategies during Circuit Breakers and Extreme
Market Movements, Journal of Financial Markets 7: 301-333.
Kavajecz, Kenneth A. and Elizabeth Odders-White, 2001, Volatility and Market Structure, Journal of Financial
Markets 4: 359-384.
Kavajecz, Kenneth A. and Elizabeth Odders-White, 2001, An Examination of Changes in Specialists’ Posted Price
Schedules, Review of Financial Studies 14: 681-704.
Goldstein, Michael A. and Kenneth A. Kavajecz, 2000, Eighths, Sixteenths and Market Depth: Changes in Tick Size
and Liquidity Provision on the NYSE, Journal of Financial Economics 56: 125-149.
Kavajecz, Kenneth A., 1999, A Specialist's Quoted Depth and the Limit Order Book, Journal of Finance 54: 747-
771.
Kavajecz, Kenneth A. and Sean S. Collins, 1995, Rationality of the Preliminary Money Stock Estimates, Review of
Economics and Statistics February, 32-41.
Non-refereed
Consolidated Limit Order Book: Future Perfect or Future Shock?, Financial Times, Mastering Investment Series,
May 21, 2001.
Anderson, Richard G. and Kenneth A. Kavajecz, 1994, A Historical Perspective on the Federal Reserve's Monetary
Aggregates: Definition, Construction and Targeting, Federal Reserve Bank of St. Louis Review
(March/April), 1-66.

Working Papers/ Papers in Progress
Beber, Alessandro, Michael Brandt and Kenneth A. Kavajecz, 2009, What does equity sector orderflow tell us
about the economy? Working Paper, University of Wisconsin – Madison.
“Committees and Decision Making,” with Neeraj Arora.
“On the Evolution of Exchanges,” with Bjorn Jorgensen.
Teaching Experience
Business Ethics, Graduate Division, Wisconsin School of Business, Spring 2008-present.
Introduction of Financial Management, Graduate Division, Wisconsin School of Business, Fall 2003-present
Derivatives for Managing Risk, Wharton Executive Education, University of Pennsylvania, Risk Management
Association Program, June 2007, 2008.
Asset Allocation, Wharton Executive Education, University of Pennsylvania, Investment Management Consultant
Association Program, October 2006, 2007.
Derivative Securities, Wharton Executive Education, Wharton West, San Francisco, California, Spring 2003.
Derivative Securities, Wharton Executive Education, University of Pennsylvania; Morgan Stanley Financial Advisor
Program, Spring 2002-2003.
Derivative Securities, Wharton Executive Education, University of Pennsylvania; Merrill Lynch Program, Spring
2001-2003.
Speculative Markets, The Wharton School, University of Pennsylvania; Spring 1997, Fall 1997-2002.
Investments, J. L. Kellogg Graduate School of Management, Northwestern University; Spring 1996.
Awards and Research Grants
Gaumnitz Distinguished Faculty Teaching Award, Wisconsin School of Business, Spring 2008.
MBA Teaching Award, Wisconsin School of Business, 2006-2007.
Graduate Teaching Award, The Wharton School, University of Pennsylvania, 2003.
Financial Management Association Best Microstructure Paper sponsored by the NASD, Seattle, Washington, 2000,
for “Liquidity Provision during Circuit Breakers and Extreme Market Movements,” with Michael A. Goldstein.
David W. Hauck Award for Excellence in Undergraduate Teaching, The Wharton School, University of
Pennsylvania, 1998.
Undergraduate Teaching Award, The Wharton School, University of Pennsylvania, 1998, 2000, 2003.
The Institute for Quantitative Research in Finance Research Grant, November 1996.
Doctoral Teaching Award, J. L. Kellogg Graduate School of Management, Northwestern University, Spring 1996.

Other
Independent Director, Board of Directors, Heartland Funds, February 2008 – present.
Director, Quantitative Masters in Finance Program, University of Wisconsin – Madison, July 2004-July 2006.
Chairman, Economic Advisory Board, Nasdaq, 2004; Member 2002-2004.
Conference Presentations
American Finance Association Annual Meeting, “What does Equity Sector Orderflow Tell Us about the Economy?”
Atlanta, Georgia, 2010.
NBER Microstructure Conference, “What does Equity Sector Orderflow Tell Us about the Economy?” Boston,
Massachusetts, 2008.
Western Finance Association Annual Meetings, “Packaging Liquidity: Blind Auctions and Transaction Cost
Efficiencies,” Park City, Utah, 2002.
The Society for Financial Studies’ Conference on Investments in Imperfect Capital Markets, “Technical Analysis
and Liquidity Provision,” Evanston, Illinois, 2002.
Center of Analytical Finance (CAF) Conference on Market Microstructure and High-Frequency Data in Finance,
“Liquidity in the U.S. Government Treasury Market: Asymmetric Information, Inventory and Supply Shifts.”
Sonderborg, Denmark, 2001.
Western Finance Association Annual Meetings, “Liquidity Provision during Circuit Breakers and Extreme Market
Movements,” Sun Valley, Idaho, 2000.
NYSE Conference on U.S. Equity Markets in Transition, “Liquidity Provision during Circuit Breakers and Extreme
Market Movements,” Phoenix, Arizona, 1999.
NBER Microstructure Conference, “Liquidity Provision during Circuit Breakers and Extreme Market Movements,”
Boston, Massachusetts, 1999.
Georgetown University Conference on Alternative Structures for Securities Markets, “On the Formation and
Structure of International Exchanges,” Washington, D.C., 1999.
Western Finance Association Annual Meetings, “A Specialist’s Quoted Depth and the Limit Order Book,” Sunriver,
Oregon, 1996.
Economic Policy Conference of the Federal Reserve Bank of St. Louis, “A Historical Perspective on the Federal
Reserve’s Monetary Aggregates: Definition, Construction and Targeting,” St. Louis, Missouri, 1993.
Conference Discussions
Western Finance Association Annual Meetings, Portland, Oregon, 2005.
American Finance Association Annual Meetings, Philadelphia, Pennsylvania, 2005.
American Finance Association Annual Meetings, San Diego, California, 2004.
NBER Microstructure Conference, Boston, Massachusetts, 2003.

Rutgers University Whitcomb Conference, Newark, New Jersey, 2002.
Brookings-Wharton Conference: The Future of Securities Markets, Washington, D.C., 2002.
Western Finance Association Annual Meetings, Tucson, Arizona, 2001.
Western Finance Association Annual Meetings, Monterey, California, 1998.
American Finance Association Annual Meetings, Chicago, Illinois, 1998.
Invited Seminars
Babson College, Bank of Canada, Board of Governors of the Federal Reserve System, Columbia University, Cornell
University, Ente per Gli Studi Monetari, Bancari e Finanziari, Federal Reserve Bank of New York, HEC-Lausanne,
Lehman Brothers, Massachusetts Institute of Technology, New York Stock Exchange, New York University,
Northwestern University, Notre Dame University, Renaissance Technologies, Temple University, University of
California - Davis, University of Chicago, University of North Carolina - Chapel Hill, University of Georgia,
University of Pennsylvania, Rutgers University, University of Virginia, University of Washington - Seattle,
University of Wisconsin - Madison, Washington University at St. Louis.
Dissertation Committees
Dan Mingelgrin, Finance Department, The Wharton School, University of Pennsylvania, 2000.
Paul Labys, Economics Department, University of Pennsylvania, 2001.
Shane Underwood, Finance Department, The Wharton School, University of Pennsylvania, 2004.
Hua Lin, Agriculture and Applied Economics, University of Wisconsin – Madison, 2004.
Chen He, Finance Department, School of Business, University of Wisconsin – Madison, 2005.
Ning Jia, Finance Department, School of Business, University of Wisconsin – Madison, 2005.
Professional Activities
Program Committee, Western Finance Association Annual Meetings, Victoria, British Columbia, 2010.
Program Committee, Western Finance Association Annual Meetings, San Diego, California, 2009.
Program Committee, Western Finance Association Annual Meetings, Waikoloa, Hawaii, 2008.
Program Committee, Western Finance Association Annual Meetings, Big Sky, Montana, 2007.
Program Committee and Session Chair, American Finance Association Meetings, Boston, Massachusetts, 2006.
Program Committee, Western Finance Association Annual Meetings, Keystone, Colorado, 2006.

Ad hoc reviewer for: European Finance Review, Finance Research Letters, Financial Management, The
Financial Review, Financial Services Review, Journal of Banking and Finance, Journal of
Business and Economic Statistics, Journal of Business, Journal of Business Finance and
Accounting, Journal of Finance, Journal of Financial Economics, Journal of Financial
Intermediation, Journal of Financial Markets, Journal of Financial and Quantitative
Analysis, Journal of Financial Research, Journal of Futures Markets, Journal of
International Financial Management and Accounting, Journal of International Money and
Finance, Journal of Money, Credit and Banking, Journal of Political Economy,
Quantitative Finance, Review of Economics and Statistics, Review of Finance, Review of
Financial Studies.
Textbook Reviewer for Derivatives, 1 st Edition by Robert McDonald, published by Addison-Wesley.
Member: American Finance Association, Western Finance Association.