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Kenneth J. Singleton

Professor, Finance
KennethJ.Singleton
Adams Distinguished Professor of Management
Professor of Economics (by courtesy), School of Humanities and Sciences
Spence Faculty Fellow for 2014-2015
Academic Area: 
Finance

Research Statement

Kenneth Singleton’s research focuses on econometric methods for estimation and testing of dynamic asset pricing models; modeling of term structures of government and defaultable bond yields; pricing credit derivatives; measuring and managing market, credit, and liquidity risks; and debt financing in emerging economies.

Bio

Kenneth Singleton is the Adams Distinguished Professor of Finance, and a former Senior Associate Dean at the Graduate School of Business, Stanford University.

He previously taught in the Economics Department at the University of Virginia and the Graduate School of Industrial Administration at Carnegie Mellon, and held short-term visiting positions at the University of Chicago and University of Tokyo. While on leave from Stanford, in 1991-92, he was a vice president in the Fixed Income Research Department of Goldman Sachs and Co.

Singleton’s research interests are in econometric methods for estimation and testing of dynamic asset pricing models; modeling of term structures of government and defaultable bond yields; measuring and managing market, credit and liquidity risks; and debt financing in emerging economies. His papers have appeared in the leading journals in finance and economics, he is coauthor of the book Credit Risk, and author of the book Empirical Dynamic Asset Pricing Models.

Singleton is a fellow of the Econometric Society and the Journal of Econometrics, and is a Research Associate of the NBER. He is the recipient of the Frisch Prize from the Econometric Society and two Smith-Breeden Distinguished Paper Awards from the Journal of Finance. He was an Editor of the Review of Financial Studies and an Associate Editor of the Econometrica, the Journal of Econometrics, and the Journal of Finance; is a past president of the Western Finance Association; and has served on the Board of Directors of the American Finance Association.

Singleton received his bachelor’s degree from Reed College, and his master’s degree and doctorate in economics from the University of Wisconsin.

Academic Degrees

  • PhD, University of Wisconsin, Madison, 1977
  • MS, University of Wisconsin, Madison, 1975
  • BA, Reed College, 1973

Academic Appointments

  • At Stanford University since 1987
  • CRSP Visiting Professor of Finance, University of Chicago, 1986
  • Assistant Professor-Professor, Carnegie Mellon University, 1980-1987
  • Assistant Professor, University of Virginia, 1977-1980

Professional Experience

  • Vice-President, Goldman Sachs & Co., 1991-1993 (on leave from Stanford)

Publications

Journal Articles

Darrell Duffie, Lasse Heje Pedersen, Kenneth J. Singleton. Journal of Finance. 2003, Vol. 58, Issue 1, Pages 119-159.
Qiang Dai, Kenneth J. Singleton. Journal of Finance. 2000, Vol. 55, Issue 5, Pages 1943-1978.
Darrell Duffie, Jun Pan, Kenneth J. Singleton. Econometrica. 2000, Vol. 68, Issue 6 , Pages 1343 - 1376.
Darrell Duffie, Kenneth J. Singleton. Review of Financial Studies. 1999, Vol. 12, Issue 4, Pages 687-720.
Darrell Duffie, Kenneth J. Singleton. Journal of Finance. 1997, Vol. 52, Issue 4, Pages 1287-1321.
Darrell Duffie, Kenneth J. Singleton. Econometrica. 1993, Vol. 61, Issue 4, Pages 929-952.
Lars Peter Hansen, Kenneth J. Singleton. Econometrica. 1982, Vol. 50, Issue 5, Pages 1269-1286.

Books

Kenneth J. Singleton Princeton: Princeton University Press, 2006.

Working Papers

Liberalization in the Japanese Financial Markets | PDF
Kenneth J. Singleton, Allan Kleidon1989

Courses Taught

Degree Courses

2014-15

This course is an introduction to empirical research in asset pricing. The focus of the course is on the interplay between financial economic theory, econometric method, and that analysis of financial market data. Topics include tests of asset...

Doctoral Practicum in Teaching

Doctoral Practicum in Research

2013-14

This course is an introduction to empirical research in asset pricing. The focus of the nncourse is on the interplay between financial economic theory, econometric method, andnnthat analysis of financial market data. Topics include tests of asset...

Service to the Profession

  • Fellow, The Econometric Society
  • Research Associate, Natl. Bureau of Economic Research

Insights by Stanford Business

September 15, 2011
Research says there was an "economically and statistically significant effect of investor flows on futures prices."
November 1, 2001
Research suggests that companies are issuing these newly popular securities with more than raising capital in mind.

School News

September 5, 2011
"Finance is becoming increasingly integrated with economics, and is drawing more widely from other disciplines," observes Singleton.