Kenneth B. Dunn

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Dean, Professor of Financial Economics

Teaching and Research Interests:

• Corporation finance, investments, mortgage and capital markets, and option pricing; testing models of the term structure of interest rates and asset pricing and on understanding the role of various provisions frequently observed in financial contracts.

Published Papers: 

• The Effect of Refinancing Costs and Market Imperfections on the Optimal Call Strategy and the Pricing of Debt Contracts
  Real Estate Economics, 2005; 595-617.
  (With: Chester Spatt)
  
  
• Call Options, Points and Dominance Restrictions on Debt Contracts
  Journal of Finance 54, 1999; 2317-2337.
  (With: Chester Spatt)
  
  
• The Relative Pricing of High-Yield Debt: The Case of RJR Nabisco Holdings Capital Corporation
  American Economic Review 83, 1993; 1090-1111.
  (With: Chester Spatt, Robert Dammon)
  
  
• A Reexamination of the Value of Tax Options
  The Review of Financial Studies 2, 1989; 341-372.
  (With: Robert Dammon, Chester Spatt)
  
  
• Voluntary Conversion of Convertible Securities and the Optimal Call Strategy
  Journal of Financial Economics 23, 1989; 273-301.
  (With: K Eades)
  
  
• Private Information and Incentives: Implications for Mortgage Contract Terms and Pricing
  Journal of Real Estate Finance and Economics 1, 1988; 47-60.
  (With: Chester Spatt)
  
  
• Modeling the Term Structure of Interest Rates Under Nonseparable Utility and Durability of Goods
  Journal of Financial Economics 17, 1986.
  (With: K Singleton)
  
  
• An Analysis of Mortgage Contracting: Prepayment Penalties and the Due-on-Sale Clause
  Journal of Finance 40, 1985; 293-308.
  (With: Chester Spatt)
  
  
• A Strategic Analysis of Sinking Fund Bonds
  Journal of Financial Economics 13, 1984; 399-423.
  (With: Chester Spatt)
  
  
• An Empirical Analysis of the Pricing of Mortgage-Backed Securities
  Journal of Finance 38, 1983.
  (With: K Singleton)
  
  
• A Comparison of Alternative Models for Pricing GNMA Mortgage-Backed Securities
  Journal of Finance 36, 1981.
  (With: J McConnell)
  
  
• Valuation of GNMA Mortgage-Backed Securities
  Journal of Finance 36, 1981.
  (With: J McConnell)
  
  

Awards:

• Recipient of the 1982 GSIA Excellence in Teaching Award

Boards:

• Friends Central School, Trustee and Chair of Investment Committee, 1999-