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John Griffin - The University of Texas at Austin, McCombs School of Business. Austin, TX, US

John Griffin John Griffin

Professor, Department of Finance | The University of Texas at Austin, McCombs School of Business

Austin, TX, UNITED STATES

Conflicts of interest, CDOs, MBS, credit ratings, international finance, investors, real estate, pricing, and hedge funds

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Areas of Expertise (11)

Financial Markets Asset Pricing International Finance Financial Market Oversight Credit Rating Agencies Conflicts of Interest Rational and Behavioural Pricing Hedge Funds Forensic Finance Mortgage Backed Securities Institutional Investment

Biography

John M. Griffin is an educator and researcher in the structured finance field with respect to mortgage backed securities and collateralized debt obligations. His expertise also includes international finance, institutional investment, and forensic finance, and his recent research focuses on understanding the role that conflicts of interest and misreporting by credit rating agencies and investment banks played in the financial crisis.

Griffin is a professor of finance at the McCombs School of Business, The University of Texas at Austin. He has also served on the faculty at Arizona State University, Yale University, Hong Kong University of Science and Technology, and Harvard Business School.

He serves as the associate editor for the Review of Financial Studies and has been elected as an Academic Director of the Financial Management Association. Topics of his papers include: the determinants of international returns and diversification, exchange rate exposure, pricing models, anomalies, co-movement, hedge fund performance, IPOs, investment banking, insider trading, credit ratings, the role of reputation, and mortgage misreporting.

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Education (3)

Ohio State University: Ph.D., Finance 1997

Texas A&M University: M.Sc., Finance 1993

Baylor University: B.A., Economics 1992

Media Appearances (19)

VIX Faces Probes With Controversial Auction at Issue

Bloomberg  online

2018-05-02

John Griffin believes someone is artificially suppressing the price of S&P 500 contracts, then profiting when the VIX settlement price comes in much higher.

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Does the VIX Need Fixing? Sure Looks That Way

Bloomberg  online

2018-05-01

Last week’s CBOE statement tried to calm fears over the April settlement. The essential message: The suspicious activity in S&P 500 options “is consistent with normal and legitimate trading behavior.” We agree with at least the first half of that sentiment, as this behavior is becoming alarmingly normal — though only at the CBOE’s specially designed monthly settlements, and not at other times.

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Insider-Trading Paradise: Where No One Worries About Jail Time

Bloomberg Businessweek  online

2018-03-22

In Mexico, stocks tend not to fluctuate when companies announce quarterly earnings, said John Griffin, a professor at the University of Texas at Austin who’s studied the timing of stock-price movements in 56 countries.

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Study: Top Bankers Suffered No Career Penalties Since Financial Crisis

Vocativ  online

2017-06-02

A trio of researchers, led by John Griffin of the University of Texas at Austin, looked at over 700 hundred bankers employed at prominent firms in 2004 to 2006. These bankers were the ones who issued residential mortgage backed securities (RMBS), the securities that often bundled mortgages that people could not pay and eventually collapsed when people defaulted.

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Mortgage Bankers and Hedge-Fund Revivals

Bloomberg  online

2017-05-31

But John Griffin and Samuel Kruger of the University of Texas, and Gonzalo Maturana of Emory, went and looked at what actually happened to the employees who did all the crisis-era residential mortgage-backed securities deals that got banks fined so much money, to see if those fines caused any career problems for the employees who incurred them. And, nope.

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Are Traders Manipulating the VIX?

Wall Street Journal  online

2017-05-25

John Griffin and Amin Shams of the University of Texas at Austin contend that a quirk leaves the market vulnerable to a sophisticated trade that involves pushing around the prices of the underlying S&P 500 options in order to manipulate the value of VIX derivatives as they settle. Their research on the topic was published this week.

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VIX Trading, Hoaxes and Blockchain

Bloomberg  online

2017-05-24

That's from this paper by John Griffin and Amin Shams of the University of Texas, who find a lot of trading in the S&P 500 options underlying the VIX during these settlement auctions, trading that pushes the settlement price of the VIX up or down.

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Donald Trump’s Poor Real Estate Investments Depleted His Wealth Threefold

6sqft  online

2016-08-05

John Griffin, a real-estate investor and professor at the University of Texas at Austin, examined real-estate investment trusts (REITs). According to Griffin’s calculations, based on the 14.4 percent that the index has earned since 1976, Donald Trump should have been able to turn the $200 million he claimed to have 40 years ago into $23 billion by last year.

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Donald Trump offers some free investment advice

Washington Post  online

2016-08-04

"He's an underperformer relative to his peers," said John M. Griffin, a real estate investor and a professor at the University of Texas at Austin, in a recent interview with The Post.

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Trump breaks from presidential campaign for Scottish business visit

DW.com  online

2016-06-23

"The figures indicate that those were bad investments," said John Griffin, professor of finance at the University of Texas, who has studied Trump's wealth. He said a typical property fund would have given Trump a much larger rate of return.

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S&P Credibility Seen Eroded by Complicity in Soured Deals

Bloomberg  online

2013-03-07

Griffin found that on 916 deals issued for $612.8 billion between January 1997 and March 2007, S&P expanded the AAA rated slices by an average of 12.2 percent beyond what the model specified.

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Financial Bailouts by Governments Problematic in the Long Run

CCTV, China  tv

2008-10-29

"While the bailout makes sense in the short run there are negative consequences in terms of bailing out firms that have behaved poorly in the past and it encourages bad risk-taking in the future," Griffin said.

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Exactly How Talented Are Hedge Fund Managers?

Forbes  online

2008-04-03

Griffin and Xu concluded that hedge fund managers did not perform significantly better than mutual fund managers.

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Bitcoin's Price Was Artificially Inflated Last Year, Researchers Say

New York Times  online

2018-06-13

The paper by John Griffin, a finance professor at the University of Texas, and Amin Shams, a graduate student, is likely to stoke a debate about how much of Bitcoin’s skyrocketing gain last year was caused by the covert actions of a few big players, rather than real demand from investors.

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Much of bitcoin's 2017 boom was market manipulation, researcher says

CNBC  online

2018-06-13

"In general I research things that are potentially illegal, and there's a lot of rumors surrounding potential questionable activity in cryptocurrencies," says University of Texas finance professor John Griffin, who has a decade-long track record of flagging fraud in financial markets.

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Cryptocurrency Tether Used to Boost Bitcoin Prices, Study Finds

U.S. News & World Report  online

2018-06-13

"Tether seems to be used both to stabilize and manipulate bitcoin prices," said the paper's co-authors, professor John Griffin and doctoral student Amin Shams.

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Bitcoin’s Price Was Artificially Inflated, Fueling Skyrocketing Value, Researchers Say Video 2:13 2:13

The New York Times  online

2018-06-13

The paper by John Griffin, a finance professor at the University of Texas, and Amin Shams, a graduate student, is likely to stoke a debate about how much of Bitcoin’s skyrocketing gain last year was caused by the covert actions of a few big players, rather than real demand from investors.

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Much of bitcoin's 2017 boom was market manipulation, research says

CNBC  online

2018-06-13

University of Texas finance professor John Griffin, who has a 10-year track record of spotting financial fraud, and graduate student Amin Shams examined millions of transactions on cryptocurrency exchange Bitfinex. In a 66-page paper, the authors found that tether was used to buy bitcoin at key moments when it was declining, which helped "stabilize and manipulate" the cryptocurrency's price.

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Cryptocurrency Tether Used to Boost Bitcoin Prices, Study Finds

U.S. News and World Report  online

2018-06-13

"Tether seems to be used both to stabilize and manipulate bitcoin prices," said the paper's co-authors, professor John Griffin and doctoral student Amin Shams.

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Articles (11)

John M. Griffin Citations John M. Griffin

Listing of top scholarly works by John M. Griffin.

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Manipulation in the VIX? Review of Financial Studies

2018-04-01

At the settlement time of the VIX Volatility Index, volume spikes on S&P 500 Index (SPX) options, but only in out-of-the-money options used to calculate the VIX, and more so for options with a higher and discontinuous influence on VIX. We investigate alternative explanations of hedging and coordinated liquidity trading.

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Debt Correlations in the Wake of the Financial Crisis: What Are Appropriate Default Correlations for Structured Products? Journal of Financial Economics

2017-09-01

This paper proposes several frameworks to estimate the appropriate default correlations for structured products, each of which jointly considers the role of co-movements in modeled risk characteristics and unmodeled systematic risk, or ‘frailty.’

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Did Dubious Mortgage Origination Practices Distort House Prices Review of Financial Studies

2016-07-01

Overall, excess credit facilitated through dubious origination practices explain much of the regional variation in house prices over a decade.

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How Important Are Foreign Ownership Linkages for International Stock Returns? Review of Financial Studies

2015-11-01

We derive a foreign ownership return as the weighted average return of foreign stocks that are connected to a stock through common ownership. The foreign ownership return is of similar economic significance as traditional country and industry factors in explaining international stock returns. ...Our findings have important implications for international portfolio diversification.

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Complex Securities and Underwriter Reputation: Do Reputable Underwriters Produce Better Securities? Review of Financial Studies [forthcoming]

2014-05-07

We show with a simple model that, when securities are complex a high-reputation bank may produce assets that underperform during market downturns.

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Rating Shopping or Catering? An Examination of the Response to Competitive Pressure for CDO Credit Ratings Review of Financial Studies

2013-06-27

We examine whether “rating shopping” or “rating catering” is a more accurate characterization of rating agency interactions regarding collateralized debt obligations (CDOs).

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How Smart Are the Smart Guys? A Unique View from Hedge Fund Stock Holdings Review of Financial Studies

2009-05-01

Hedge funds exhibit no ability to time sectors or pick better stock styles.

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Momentum Investing and Business Cycle Risk: Evidence From Pole to Pole The Journal of Finance

2002-12-31

We examine whether macroeconomic risk can explain momentum profits
internationally.

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The Dynamics of Institutional and Individual Trading The Journal of Finance

2002-12-31

We study the daily and intradaily cross-sectional relation between stock returns and the trading of institutional and individual investors in Nasdaq 100 securities.

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Book–to–Market Equity, Distress Risk, and Stock Returns The Journal of Finance

2001-12-31

This paper examines the relationship between book-to-market equity, distress risk, and stock returns.

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