John David Diltz

[John D Diltz]

Professor, Finance and Real Estate

Last Updated: January 7, 2021

about me

Research Interests

Derivatives, Mutual Funds, Corporate Finance, Real Options

Teaching Interests

Corporate Finance, Derivatives, Real Options, Mathematical Finance, Financial Data Analytics

Education

- 1980 PhD in Economics,
  University of Illinois, 1980
- 1978 MS in Economics
  University of Illinois, 1978
- 1976 BS in Economics
  Purdue University, 1976

Memberships

- Aug 1983 to Present American Finance Association
  
  Leading professional organization for academics in finance.
- Aug 1983 to Present Financial Management Association
  
  Leading professional organization for academics and practitioners in finance.

Awards and Honors

- Dec 2010 College of Business Outstanding Graduate Instructor Award sponsored by College of Business, University of Texas at Arlington.
- May 2002 Academy of Distinguished Teachers sponsored by University of Texas at Arlington
- May 1996 College of Business Outstanding Professional Publication Award sponsored by College of Business
- May 1993 College of Business Outstanding Academic Publication Award sponsored by College of Business
- May 1992 College of Business Outstanding Undergraduate Instructor Award sponsored by College of Business

Other Activities

Support & Funding

This data is entered manually by the author of the profile and may duplicate data in the Sponsored Projects section.

- Oct 2018 to Present A Spacio-Temporal Econometric Framework for Establishing Links Between Pre-Disaster Construction Market Conditions and Post-Disaster Construction Demand Surge sponsored by National Science Foundation - $0
  Seyed Mohsen Shahandashti (Currently Under Review)

Publications

2011

Book Chapter
Real Options and Competition
Stochastic Analysis, Stochastic Systems, and Applications to Finance
[Diltz, JDavid, Hoe, SingRu, Bensoussan, Alain]. "World Scientific".

In Process

Journal Article
The Information and Liquidity Effects of Mutual Fund Flows: Evidence from International Spillovers
[Rakowski, David, Diltz, JohnD, Nguyen, Anh]. Journal of International Money and Finance. Submitted.

Journal Article
Investment Valuation of Underground Freight Transportation Systems under Uncertainty
[Shahandashti, MohsenA., Diltz, JohnD. , Zahed, SeyedE.]. Journal of Infrastructure Systems / American Society of Civil Engineers. 26(3), 14. "American Society of Civil Engineers". Accepted.

2018

Journal Article
Mutual Fund Research: A Perspective on How We Have Arrived at the Current State of Academic Research on Mutual Funds
[Diltz, JohnD, Rakowski, David]. Managerial Finance. 44(3), 294-302.

Journal Article
Energy Mutual Funds and Oil Prices
[Diltz, JohnD, Gormus, A, Soytas, U]. Managerial Finance.

2017

Journal Article
Should CAMELS Ratings be Publicly Disclosed?
[Diltz, JohnD, Hoe, S]. Economic Bulletin.

Journal Article
Sinners and Saints: An Alternative Approach to Evaluating the Investment Performance of Sin Funds Versus Sinless Funds
[Diltz, JohnD, Hoe, S, Ogune, A]. Journal of Accounting and Finance. 17(6), 109-116.

2015

Journal Article
Information Uncertainties and Asset Pricing Puzzles: Risk or Mispricing?
[Diltz, JDavid, Li, K, Uddin, M]. Managerial Finance. 41(12), 1280-1297. DOI: http://dx.doi.org/10.1108/MF-10-2014-0267

Journal Article
Oil Prices, Fossil-Fuel Stocks and Alternative Energy Stocks
[Diltz, JDavid, Gormus, A., Soytus, U.]. International Journal of Economics and Finance. 7(7), DOI: http://dx.doi.org/10.5539/ijef.v7n7p43

2014

Journal Article
Volatility Transmission Between Energy-Related Asset Classes1373
[Diltz, JDavid]. Global Finance Journal. 25(3), 246-259. DOI: http://dx.doi.org/10.1016/j.gfj.2014.10.005

2012

Journal Article
A Real Options Approach to Valuing and Negotiating Licensing Agreements
[Hoe, SingRu, Diltz, JohnD]. 52(3), 322-332. DOI: http://dx.doi.org/10.1016/j.qref.2012.04.005
http://www.sciencedirect.com/science/article/pii/S1062976912000282

2011

Journal Article
Stock and Option Divergence in the Presence of Noisy Information
[Diltz, JDavid]. Journal of Banking and Finance. 35(8), 2001-2020.

2010

Journal Article
Real Options Games in Complete and Incomplete Markets with Several Decision Makers
[Diltz, JDavid]. 1(1), 666-728.

Journal Article
Investment Irreversibility, Cash Flow Risk, and Value-Growth Stock Return Effects
[Prombutr, Wikrom, Lockwood, LarryJ, Diltz, JohnD]. 45(2), 287-305. DOI: http://dx.doi.org/10.1111/j.1540-6288.2010.00248.x
http://search.proquest.com/docview/208171454

2004

Journal Article
Day Traders and the Disposition Effect
[Jordan, Douglas, Diltz, JohnD]. Journal of Behavioral Finance. 5(4), 192-200. DOI: http://dx.doi.org/10.1207/s15427579jpfm0504_2!!!

2003

Journal Article
The Profitability of Day Traders
[Diltz, JohnD]. Financial Analyst's Journal. 59(6), 85-94.

2002

Journal Article
Inflation Indexed Treasury Bonds and Security Markets
[Diltz, JohnD]. Journal of Business and Economic Perspectives. 28(2), 89-100.

Journal Article
U.S. Equity Markets and Environmental Policy
[Diltz, JohnD]. Environmental and Resource Economics. 23(4), 379-401.

Journal Article
Why Firms Diversify: An Empirical Examination
[Diltz, JohnD, Diltz, JohnD]. Financial Management. 31(1), 51.
http://www.jstor.org/stable/3666321

1999

Journal Article
The Effect of Option Trading on the Structure of Equity Bid/Ask Spreads
[Kim, Suhkyong, Diltz, JohnD]. 12(4), 395-413.
http://www.jstor.org/stable/3666321

1996

Journal Article
The relationship between stock and option price changes
[Diltz, JohnD, Kim, Suhkyong]. 31(3), 499. DOI: http://dx.doi.org/10.1111/j.1540-6288.1996.tb00883.x

1995

Journal Article
The private cost of socially responsible investing
[Diltz, JohnD]. 5(2), 69-77. DOI: http://dx.doi.org/10.1080/758529174

1994

Journal Article
Securities Offerings and Capital Structure Theory
[Bayless, MarkE., Diltz, JohnD]. 21(1), 77-91. DOI: http://dx.doi.org/10.1111/j.1468-5957.1994.tb00306.x

Journal Article
Valuation effects of international stock exchange listings
[Sie, TingLau, Diltz, JohnD, Apilado, VincentP.]. 18(4), 743-755. DOI: http://dx.doi.org/10.1016/0378-4266(93)00018-K

1992

Journal Article
Implied Volatilities and Transaction Costs
[Swidler, Steve, Diltz, JohnD]. 27(3), 437-447. DOI: http://dx.doi.org/10.2307/2331329

Journal Article
Sources of wealth loss in new equity issues
[Diltz, JohnD, Lockwood, LarryJ, Min, LarryJ. Sungky]. 16(3), 511-522. DOI: http://dx.doi.org/10.1016/0378-4266(92)90042-X

1991

Journal Article
The Relevance of Asymmetric Information to Financing Decisions
[Bayless, MarkE., Diltz, JohnD]. 18(3), 331-344. DOI: http://dx.doi.org/10.1111/j.1468-5957.1991.tb00598.x

1990

Journal Article
Corporate Debt, Corporate Taxes and Leasing
[Bayless, MarkE., Diltz, JohnD]. 11(1), 13-19. DOI: http://dx.doi.org/10.1002/mde.4090110103

Journal Article
Model misspecification and bias in the evaluation of the..
[Diltz, JohnD, Lockwood, LarryJ]. 29(1), 3.
http://www.jstor.org/stable/40472979

Journal Article
Valuation effects of government contract awards
[Diltz, JohnD]. 29(3), 3.
http://www.jstor.org/stable/40472995

1989

Journal Article
An Experimental Study Of Commercial Bank Loan Officer Behavior
[Diltz, JohnD, Bayless, MarkE.]. 5(4), 30-36. DOI: http://dx.doi.org/10.19030/jabr.v5i4.6331
https://www.cluteinstitute.com/ojs/index.php/JABR/article/view/6331

1986

Journal Article
A Stochastic Dominance Approach to Risk Analysis of Computer Systems
[Post, GeraldV., Diltz, JohnD]. MIS Quarterly. 10(4), 363-375. DOI: http://dx.doi.org/10.2307/249191

Journal Article
An Empirical Study of the Debt Displacement Effects of Leasing
[Bayless, MarkE., Diltz, JohnD]. 15(4), 53-60.
http://www.jstor.org/stable/3665780

1985

Journal Article
Analyzing Trade-Offs Between Transportation, Inventory, and Production Costs on Freight Networks
[Diltz, JohnD]. Transportation Research. Part B: Methodological. 19(5), 361-380.

2010

Conference Proceeding
Real Options: An Interdisciplinary Approach to Better Capital Investment Decisions
[Diltz, JDavid].

2008

Conference Proceeding
Utility Based Pricing of Portfolio Credit Derivatives
[Diltz, JDavid]. Bachelier Finance Society Fifth World Congress.

2007

Other
Real Options, Competition, and the Valuation of Pharmaceutical Licensing Agreements
[Diltz, JDavid]. 11th Annual Real Options Conference. "University of California at Berkeley".

Presentations

- 2010
  Diltz, JohnD, "Real Options: An Interdisciplinary Approach to Better Capital Investment Decisions", Society for Design and Process Science, Dallas, Texas. ( , 2010).

Students Supervised

- Present
  Dissertation Committee Chair
  Bailey Brewer, (Finance and Real Estate)
- July 2020
  Dissertation Committee Chair
  Dhruba Banjade, (Finance and Real Estate)
  Corporate Cash Holdings, Firm Performance, and CEO Compensation
- May 2019
  Dissertation Committee Member
  Seyed Zahedzahedani, (Civil Engineering)
  Investment Valuation of Underground Freight Transportation (UFT) Systems Under Uncertainty
- Aug 2016
  Dissertation Committee Chair
  Yiling Zhang, (Finance and Real Estate)
  Information Uncertainty, Analyst Earnings Bias, and Merger Means of Payment
- Aug 2014
  Dissertation Committee Chair
  Aamir Khan, (Finance and Real Estate)
  Cointegration, Causality, and Price Discovery in the NAFTA Markets
- Aug 2014
  Dissertation Committee Chair
  Keming Li, (Finance and Real Estate)
  Three Essays on the Role of Information Processing in Financial Markets
- Aug 2014
  Dissertation Committee Co-Chair
  Ramya Aroul, (Finance and Real Estate)
  In Times of Financial Distress: Perspectives from Valuation, Information Asymmetry and Returns
- Oct 2012
  Dissertation Committee Chair
  Yongho Seo, (Finance and Real Estate)
  Scale Effects and Duration in Beta
- Aug 2012
  Dissertation Committee Co-Chair
  Alper Gormus, (Finance and Real Estate)
  Causality and Volatility Spillover Effects on Subsector Energy Portfolios
- Aug 2008
  Dissertation Committee Co-Chair
  Wikrom Prombutr, (Finance and Real Estate)
  Essays on Asset Pricing and the Growth Effect
- Aug 2006
  Dissertation Committee Chair
  SingRu Hoe, (Finance and Real Estate)
  Strategic Exercise of Real Options and Stochastic Volatility in Incomplete Markets
- Aug 2002
  Dissertation Committee Chair
  Heesam Kang, (Finance and Real Estate)
  The Gulf War and Oil Related Real Assets
- Dec 2001
  Dissertation Committee Chair
  Douglas Jordan, (Finance and Real Estate)
  An Empirical Analysis of the Disposition Effect in Day Trading
- Aug 1996
  Dissertation Committee Chair
  Margaret Garcia, (Finance and Real Estate)
  Essays in Corporate Control
- Dec 1993
  Dissertation Committee Chair
  Srinivasan Viswanathan, (Finance and Real Estate)
  Applications of Prospect Theory in Finance
- Nov 1993
  Dissertation Committee Chair
  Suhkyong Kim, (Finance and Real Estate)
  Market Microstructure and Relationships Between Equity and Options Markets
- Aug 1992
  Dissertation Committee Chair
  SieTing Lau, (Finance and Real Estate)
  Essays on International Equity Market Efficiency
- Dec 1990
  Dissertation Committee Chair
  Sungky Min, (Finance and Real Estate)
  Three Essays on the Role of Asymmetric Information in Corporate Finance

Courses

Service to the University

- Sept 2019 to Present Committee Member
  
  Undergraduate Curriculum Committee
- Sept 2018 to Present Committee Member
  
  Grade Appeals Committee
- Sept 2018 to Present Committee Member
  
  MSQF Program Committee
- Sept 2018 to Present Committee Member
  
  Ph.D. Program Committee
- Sept 2018 to Present Committee Chair
  
  Promotion and Tenure Committee
- Sept 2018 to Present Committee Member
  
  Promotion and Tenure Committee
- Sept 2018 to Present Committee Member
  
  Promotion and Tenure Committee
- Sept 2018 to Present Committee Member
  
  Scholarship Committee
- Sept 2004 to Aug 2018 Faculty Advisor
  
  Master of Science in Quantitative Finance
- Sept 2002 to Aug 2018 Chairperson
  
  Department Chair

Service to the Profession

- Sept 2016 to Present
  Reviewer, Ad Hoc Reviewer
  Managerial Finance
- Sept 2016 to Present
  Reviewer, Ad Hoc Reviewer
  Quarterly Review of Economics and Finance
- Oct 2016 to Aug 2018
  Editor, Journal Editor
  Managerial Finance
  Co-Guest Editor of a special issue of the journal Managerial Finance. The special issue topic is "Mutual Funds"

Faculty & Staff Resources

John David Diltz

[John D Diltz]

Research Interests

Research Interests

Teaching Interests

Teaching Interests

Education

Education

Memberships

Awards and Honors

Other Activities

Other Activities

Support & Funding

Support & Funding

Publications

Presentations

Students Supervised

Courses

Service to the University

Service to the Profession