Batten Institute

Mark P. Kritzman



Bio: Mark Kritzman is president and CEO of Windham Capital Management Boston, which specializes in currency management, global asset allocation, and risk management for institutional investors worldwide. He is also a senior partner of State Street Associates, research director of the AIMR (now called the CFA Institute) Research Foundation. He teaches the proseminar in financial engineering at MIT’s Sloan School. Earlier in his career, Kritzman was a general partner at New Amsterdam Partners, vice president at Bankers Trust Company, and manager of research and development in AT&T’s pension investment department.

Mr. Kritzman serves on the boards of the Institute for Quantitative Research in Finance and the International Securities Exchange, and on the editorial boards of Emerging Markets Review, the Financial Analysts Journal, the Journal of Alternative Investments, the Journal of Asset Management, the Journal of Derivatives, and the Journal of Investment Management. He has written numerous articles for academic and professional journals and is the author of six books, including Puzzles of Finance (John Wiley & Sons, 2000) and The Portable Financial Analyst (McGraw-Hill, 1995).

He has an undergraduate degree in economics from St. John’s University and an M.B.A. from New York University.

Expertise: Required Returns on Equity across Countries and Models 


Fellowship Focus: During his Batten Fellowship, Mark Kritzman will conduct a study with his Faculty Hosts, Bob Bruner and Wei Li, on cross-border equity investing. The proper discount rate for foreign direct investments remains a point of contention among academicians and practitioners. How much do borders matter? How much does the choice among models matter? In a world of capital-market and product-market integration, the required rates denominated in dollars should converge toward industry means. Yet, as the countries-versus-sectors research suggests, differences across countries remain important.

The objective of the study is to assess the materiality of differences among dollar-denominated required rates of return for equities across a range of industries and a range of developed and developing countries. Using a large sample of equities drawn from developed and developing countries, this study will estimate required returns across countries, industries, and time with the objective of documenting the size, cross-sectional variation, and serial stability of disparities in estimates across models. For simplicity, the study will focus on just three estimators: local CAPM, global CAPM, and multifactor model. The null hypothesis to be tested is that the disparity across models, countries, industries, and time is zero.

This study will fill a gap: no large-sample study includes equities from developing countries, where the cross-border and cross-model disparities are likely to be greatest. And the extant research concentrates on observations from the late 1990s, when the TMT bubble may have distorted the findings.

While at Darden, Mr. Kritzman will also give presentations to a faculty seminar on finance and to the finance and international business clubs.

Contact Info


Appointment: 2004–2005

Publications & News


Puzzles of Finance (John Wiley & Sons, 2000)

The Portable Financial Analyst (McGraw-Hill, 1995)

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