Glen A. Larsen, Jr.
Professor of Finance | Indiana University, Kelley School of Business
Indianapolis, IN, UNITED STATES
Professor Larsen is an expert in the areas of corporate finance, investment asset allocation, enhanced indexing and firm valuation.
Biography
Professor Larsen received a Doctorate in Business Administration in Finance from Indiana University in 1989, an MBA in Finance from Indiana University in 1982, an M.S. in Engineering from Purdue University in 1973, and a B.S. in Engineering from the University of Missouri at Rolla in 1970.
He is a Registered Professional Engineer and a Chartered Financial Analyst. Professor Larsen served as an infantry officer in the Army Reserves, worked in business for 16 years, and was a visiting assistant professor at Indiana University for one year and an associate professor at The University of Tulsa for six years. He joined the Kelley School of Business as a tenured faculty member in 1996 and was promoted to full professor on July 1, 2003.
Professor Larsen’s primary teaching and research interests are in the areas of corporate finance and investments.
He has received several teaching excellence awards including the Schuyler F. Otteson Teaching Award and the Trustees Teaching Award.
He has published 40 peer-reviewed articles in such journals as Journal of Portfolio Management, Journal of Financial Research, Review of Quantitative Finance and Accounting, Journal of Economics and Finance, and Journal of International Financial Markets, Institutions & Money.
Professor Larsen also pioneered the teaching of MBA level finance courses through distance learning by developing the first four MBA level Web based courses in investments and corporate finance for the Kelley School. In addition to teaching and research, Professor Larsen served six years as chairperson of undergraduate programs and is currently director of the Purdue-IU MSE/MBA Dual Degree Program. He received the Kelley School of Business Service Award for the academic year 2001/2002.
Areas of Expertise (4)
Portfolio Performance Measurement
Enhanced Indexing
Asset Allocation
Firm Valuation
Education (4)
Indiana University: D.B.A. 1989
University of Missouri at Rolla: B.S. 1970
Indiana University: M.B.A. 1982
Purdue University: M.S. 1973
Links (1)
Articles (5)
Investing in Small Basket Portfolios of DJIA Low Return Stocks: The Potential for Losers to Become Winners
Journal of Business
2017 The focus of this research is on the performance of portfolios constructed on an annual basis from stocks that make up the Dow Jones Industrial Average (DJIA)using a long-only minimum realized return small-basket portfolio (MinRet SBP)strategy. The MinRet SBP is formed each year using those stocks in the DJIA that had the lowest realized returns in the previous five-years with the weight constraint that no more than 20% of the portfolio can be invested in a single security. Over the 20-year period from 1996 through 2015, the MinRet SBP strategy generates a higher average annual total return and a lower risk per unit of return measure than the DJIA. Perhaps even more importantly, measures of downside risk support the enhanced out-of-sample performance of the actively managed MinRet SBP strategy.
An Optimization Strategy for Enhancing the Performance of Fund of Funds Portfolios
Midwest Finance Association 2012 Annual Meetings Paper
2014 Previous research provides evidence that much of the cross-sectional variation in equity returns can be explained by firm characteristics or sectors such as market capitalization, price-to-earnings ratios, change in operating earnings, and book-to-market ratios. One popular money management technique is to construct a portfolio (fund) using other managed portfolios (funds). The resulting overall portfolio is generally referred to as a fund of funds. This study demonstrates the potential for performance enhancement in a fund of funds when portfolio optimization techniques are employed on sector funds in order to construct the overall fund. Specifically, ex-ante optimization over sector funds that are constructed on the basis of market capitalization, price-to-earnings ratios, change in operating earnings, and book-to-market ratios demonstrates the potential for enhancing an overall equity fund performance relative to value-weighted and equal-weighted benchmark portfolios constructed from the population of stocks from which the sector portfolios are formed.
Discounted Cash Flow Methods for Equity Valuation
Encyclopedia of Financial Models
2012 Most applied methods of valuing a firm's equity are based on discounted cash flow and relative valuation models. Although stock and firm valuation is very strongly tilted toward the use of discounted cash flow methods, it is impossible to ignore the fact that many analysts use other methods to value equity and entire firms. The primary alternative valuation method is relative valuation. Both discounted cash flow and relative valuation methods require strong assumptions and expectations about the future. No one single valuation model or method is perfect. All valuation estimates are subject to model error and estimation error.
Approaches to Common Stock Valuation
The Theory and Practice of Investment Management: Asset Allocation, Valuation, Portfolio Construction, and Strategies, Second Edition
2011
The Information Content of Short Sales
Handbook of Finance
2008 Short interest in a stock is the aggregate number of shares that have been sold short and not yet covered. There has been a long‐running debate over whether short interest contains valuable information about a stock's future performance. Weak‐form market efficiency suggests that competitive trading should erode any information content in the signal. However, Wall Street analysts have traditionally viewed high short interest as a bullish technical indicator since covering short positions creates upward price pressure and recalls and short squeezes may force premature coverage of short positions. Alternatively, academic studies find that short‐sale constraints clearly result in overpricing and that high short interest predicts negative future returns, consistent with the theories developed by Edward Miller in 1977 and Douglas Diamond and Robert Verrecchia in 1987, respectively. Miller's theory of divergent opinions