Ivan F. Julio

Ivan Julio

Assistant Professor of Administrative Sciences

PhD, University of New Orleans
MSc, Arizona State University
Licentiate in Economics, National University of Córdoba

Dr. Julio’s research focuses mainly on empirical asset pricing and macroeconomics, concentrating specifically on the analysis of several predictive financial models and their flaws. In his dissertation, he used the Campbell and Cochrane stochastic discount factor to construct a “recession risk factor,” which he tested in the cross-section of asset returns. He has also worked in the area of derivatives, testing for the presence of short-term continuation and long-term reversal in futures markets prices. In the area of banking and financial institutions, he wrote an original theoretical essay entitled “Banking Sharing Information Networks,” which explains the origin of the credit bureaus and the optimal level of information sharing among financial institutions.

Professor Julio has served as a financial researcher in the private sector, where he performed corporate executive compensation valuation. Prior to that, he was an economic consultant for MKT Consulting, helping to construct a “Business Confidence Index” that measures the business sector’s perception of the current economic situation in Argentina.

Prior to Boston University, Julio was a visiting assistant professor at Southeastern Louisiana University. During his time there he also served as a board member of the Investment Committee for the University Advancement, recommending investment policies and managing the university’s endowment. He has also taught graduate courses at Loyola University and the University of New Orleans. At Boston University, Julio teaches courses in finance, multinational finance, and investments.

  • Primary: Empirical Asset Pricing, Portfolio Theory
  • Secondary: Real Estate Finance and Banking and Financial Institutions Theory

  • MET AD 632 Financial Concepts
  • MET AD 685 Quantitative Methods for Finance
  • MET AD 717 Investment Analysis and Portfolio Management
  • MET AD 731 Corporate Finance

Publications and Articles

Geoffrey M. Ngene, M. Kabir Hassan, William J. Hippler, III, and Ivan Julio. “Determinants of Mortgage Default Rates: Pre-Crisis and Crisis Period Dynamics and Stability.” Journal of Housing Research 25, no. 1 (2016): 39–64.

Ivan Francisco Julio, M. Kabir Hassan, and Geoffrey M. Ngene. “Trading Strategies in Futures Markets.” The Global Journal of Finance and Economics 10, no. 1 (2013): 1–12.

“Technological Innovation: The Argentine System.” Chapter in book edited by FIDES. Buenos Aires, Argentina, 2006.

“The determinants of capital’s flight: the Argentina case (’70–’98).” XXXVII Public Finance Meeting. Córdoba, Argentina, 2003.

Presentations

“Asymmetric and Nonlinear Adjustments and Dynamic Correlation Patterns: Evidence from Sovereign Credit Risk Markets.” Presented at the FMA Annual Meeting, Orlando, Fla., October 14–17, 2015.