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«Jitka Hilliard Assistant Professor tel: 334-844-5520 Department of Finance e-mail: Jitka.Hilliard Raymond J. Harbert College of Business ...»

Jitka Hilliard

Assistant Professor tel: 334-844-5520

Department of Finance e-mail: Jitka.Hilliard@auburn.edu

Raymond J. Harbert College of Business

313 Lowder Hall

Auburn University

Auburn, AL 368 49

═════════════════════════════════════════════════════

Education

Ph.D. in Business Administration (Finance), Louisiana State University, Baton Rouge, LA (2008), Dissertation Title: Three Essays in Option Pricing.

MSc. in Business Administration (Finance), Louisiana State University, Baton Rouge, LA (2006).

Ph.D. in Food Chemistry – Institute of Chemical Technology, Prague, Czech Republic (1999).

MSc. in Biochemistry and Molecular Biology, Charles University, Prague, Czech Republic (1992).

ING (Engineer) in Food Chemistry, Institute of Chemical Technology, Prague, Czech Republic (1994).

Professional Memberships Financial Management Association Southern Finance Association Eastern Finance Association Midwest Finance Association Multinational Finance Society Publications Hilliard, Jitka and Haoran Zhang (2015): Size and Price-to-Book Effects: Evidence from the Chinese Stock Markets. Pacific-Basin Finance Journal 32, 40-55.

Hilliard, Jimmy E. and Jitka Hilliard (2015): Using Multivariate Densities to Assign Lattice Probabilities when there are Jumps. Journal of Futures Markets 35, 385-398.

Hilliard, Jimmy E. and Jitka Hilliard (2014): Estimating Early Exercise Premiums on Gold and Copper Options Using a Multifactor Model and Density Matched Lattices. The Financial Review 50, 27-56.

Barth, James R., Jitka Hilliard and John S. Jahera (2015): Banks and Payday Lenders:

Friends or Foes? International Advances in Economic Research 21, 139-153.

Hilliard, Jitka (2014): Premiums and Discounts in ETFs: An Analysis of the Arbitrage Mechanism in Domestic and International Funds. Global Finance Journal 25, 90-107.

1 Hilliard, Jitka and Wei C. Li (2014): Volatilities Implied by Price Changes in the S&P 500 Options and Futures Contracts. Review of Quantitative Finance and Accounting 42, 599-626.

Hilliard, Jitka (2014): Hedging Price Changes in the S&P 500 Options and Futures Contracts: The Effect of Different Measures of Implied Volatility. International Journal of Financial Markets and Derivatives 3, 241-259.

Hilliard, Jimmy, E. and Jitka Hilliard (2015): Pricing American Options when there is Short-Lived Arbitrage. International Journal of Financial Markets and Derivatives 4, 43-53.

Hilliard, Jimmy, E. and Jitka Hilliard: A Comparison of Rebalanced and Buy and Hold Portfolios: Does Monetary Policy Matter? Review of Pacific Basin Financial Markets and Policie 18, 1, 1550006-1-1550006-18.

Hilliard, Jitka and Ruwei Zhao (2014): Sell in May and Go Away Effect: International Evidence. International Research Journal of Applied Finance 5 (3), 263-276.

Hilliard, Jimmy, E. and Jitka Hilliard (2013): Constructing a Positive Definite Covariance Matrix to Generate Subjective Multivariate Stock Returns: Simulating a Trading Model. International Research Journal of Applied Finance 4, 1082-1095.

Hilliard, Jitka (2013): Testing Greeks and Price Changes in the S&P 500 Options and Futures Contract: A Regression Analysis. International Review of Financial Analysis 26, 51-58.

Hilliard, Jimmy, E. and Jitka Hilliard (2012): Matching Non-synchronous Observations in Derivative Markets: Choosing Windows and Efficient Estimators. Quantitative Finance 12, 49-60.

Hilliard, Jimmy, E. and Jitka Hilliard (2011): Timing versus Buy and Hold: A Model for Determining Predictive Accuracy Required for Superior Performance. The Financial Review 46, 595-620.

Hilliard, Jitka, and Jimmy E. Hilliard (2008): Why Is There a Home Bias? Count the Teeth, The Journal of Investment Management 6, 1-3.

Papers under Submission Hilliard, Jitka and John Jahera: The US Financial Crisis and Corporate Dividend Reactions: For Better or For Worse? Submitted to the Financial Review.

Hilliard, Jimmy, E. and Hilliard, Jitka: Option Pricing Under Short-Lived Arbitrage:

Theory and Tests. Submitted to the Review of Derivative Securities.

Hilliard, Jimmy, E. and Hilliard, Jitka: Analysis of Rebalanced and Buy and Hold Portfolios when Stock Returns Are Serially Independent. Submitted to the Decision Sciences.

Barth, James, John Jahera, Jitka Hilliard and Yanfei Sun: Do state regulations affect payday lender concentration? Submitted to the Journal of Economics and Business.

2 Working papers Testing a Conditional Asset Pricing Model for Pricing Errors and Informational Variables. Co-authored with Jimmy E. Hilliard and Haoran Zhang. Work in progress.

Revisiting the Evidence on Size and Price-to-Book Effects on Stock Returns. Coauthored with Bryan Craig. Pilot study completed.

Price Discovery in ETF Markets: Evidence from Bond ETFs. Work in progress.

Preliminary study completed.

Grants:

Summer Competitive Research Grant of the Raymond J. Harbert College of Business, Auburn University (Summer 2015) Barth, James, Jitka Hilliard, John Jahera and Don-Terry Veal: Study of Alabama Banks’ Contribution to the State’s Overall Health. Sponsored by the American Bankers Association, Independent Bankers Association, Region Bank and community banks ($65,000).





Awards:

2015 Departmental Research Award, Department of Finance, Raymond J. Harbert College of Business, Auburn University Selected Professional Activities Conference Presentations James R. Barth*1, John S. Jahera, Jitka Hilliard, and Yanfei Sun: How Do Differences in State Regulations Affect the Payday Lending Industry? Presented at the Hong Kong Institute for Monetary Research International Conference on Finance, Institutions and Economic Growth, May 22, 2015.

James R. Barth, John S. Jahera*, Jitka Hilliard, and Yanfei Sun: Do State Regulations Affect Payday Lender Concentration? Presented at the Regulating Consumer Credit Conference at the Federal Reserve Bank of Philadelphia, April 30-May 1, 2015.

James R. Barth, John S. Jahera, Jitka Hilliard*, and Yanfei Sun: Do State Regulations Affect Payday Lender Concentration? Presented at the 2015 Annual Meeting of the Eastern Finance Association in New Orleans, LA.

Hilliard, Jitka* and Haoran Zhang: Size and Price-to-Book Effects: Evidence from the Chinese Stock Markets. Presented at the 21st Annual Conference of the Multinational Finance Society in Prague, Czech Republic, 2014.

Hilliard, Jimmy E. * and Jitka Hilliard: Evaluating Strategies to Maximize Portfolio Performance Measures Using Rebalancing, Buy and Hold, and Monetary Policy Indicators. Presented at the 21st Annual Conference of the Multinational Finance Society in Prague, Czech Republic, 2014.

Hilliard, Jitka and Haoran Zhang*: Size and Price-to-Book Effects: Evidence from the Chinese Stock Markets. Presented at the 2014 Annual Conference of the Southwestern Finance Association in Houston, TX.

1* Denotes the presenting author 3 Hilliard, Jitka* and John S. Jahera, Jr.: The US Financial Crisis and Corporate Dividend Reactions: For Better or For Worse? Presented at the 2014 Annual Meeting of the Eastern Finance Association in Pittsburgh, PA.

Hilliard, Jitka* and Haoran Zhang: Size and Price-to-Book Effects: Evidence from the Chinese Stock Markets. Presented at the 2014 Annual Meeting of the Eastern Finance Association in Pittsburgh, PA.

Hilliard, Jitka* and John S. Jahera, Jr.: The US Financial Crisis and Corporate Dividend Reactions: For Better or For Worse? Presented at the 2014 Annual Meeting of the Midwest Finance Association in Orlando, FL.

Hilliard, Jitka* and Haoran Zhang: Size and Price-to-Book Effects: Evidence from the Chinese Stock Markets. Presented at the 2014 Annual Meeting of the Midwest Finance Association in Orlando, FL.

Hilliard, Jitka* and Haoran Zhang: Size and Price-to-Book Effects: Evidence from the Chinese Stock Markets. Presented at the 2014 Annual Meeting of the Southern Finance Association in Key West, FL.

Hilliard, Jimmy E.* and Jitka Hilliard: Option Pricing Under Short Lived Arbitrage:

Theory and Tests. Presented at the 2014 Annual Meeting of the Southern Finance Association in Key West, FL.

Hilliard, Jitka* and Haoran Zhang: Size and Price-to-Book Effects: Evidence from the Chinese Stock Markets. Presented at the 2014 Annual Meeting of the Financial Management Association in Nashville, TN.

Hilliard, Jimmy E.* and Jitka Hilliard: Option Pricing Under Short Lived Arbitrage:

Theory and Tests. Presented at the 2014 Annual Meeting of the Financial Management Association in Nashville, TN.

Barth, James R.*, Jitka Hilliard and John S. Jahera, Jr.: Banks and payday lenders:

Friends of foes? Presented at the 78th International Atlantic Economic Conference in Savannah, GA, 2014.

Hilliard, Jimmy E. and Jitka Hilliard*: Evaluating Strategies to Maximize Portfolio Performance Measures Using Rebalancing, Buy and Hold, and Monetary Policy Indicators. Presented at the 2013 Annual Meeting of the Southern Finance Association in Puerto Rico.

Hilliard, Jitka*: Premiums and Discounts in ETFs: An Analysis of the Arbitrage Mechanism in Domestic and International Funds. Presented at the 2012 Annual Meeting of the Southern Finance Association in Charleston, WV.

Hilliard, Jimmy E.* and Jitka Hilliard: Using Multivariate Densities to Assign Lattice Probabilities when there are Jumps: Simulations and Early Exercise Premiums on Copper and Gold Options. Presented at the 2012 Annual Meeting of the Southern Finance Association in Charleston, WV.

Hilliard, Jimmy E. and Jitka Hilliard*: Timing versus Buy and Hold. A Model of Determining the Predictive Accuracy Required for Superior Performance. Presented at the 2011 Annual Southern Finance Association Meeting in Key West, FL.

Hilliard, Jimmy E. and Jitka Hilliard*: Timing versus Buy and Hold. A Model of Determining the Predictive Accuracy Required for Superior Performance. Presented at the 2011 Annual Financial Management Association Meeting in Denver, CO.

4 Hilliard, Jitka* and Wei C. Li: Volatilities Implied by Price Changes in the S&P 500 Options and Futures Contracts. Presented at the 2010 Annual Southern Finance Association Meeting in Asheville.

Hilliard, Jitka* and Wei C. Li: Volatilities Implied by Price Changes in the S&P 500 Options and Futures Contracts. Presented at the Louisiana State University seminar series (2008).

Hilliard, Jitka* and Wei C. Li: Volatilities Implied by Price Changes in the S&P 500 Options and Futures Contracts. Presented at the 2008 European Financial Management Association Meeting in Prague, Czech Republic.

Hilliard, Jitka*: Price Changes in the S&P 500 Option: Empirical Analysis and Hedging Applications. Presented at the 2006 Annual Financial Management Association Meeting in Salt Lake City, UT.

Paper Discussant 2015 Annual Meeting of the Eastern Finance Association in New Orleans, LA 2014 Annual Conference of the Multinational Finance Society in Prague, Czech Republic.

2014 Annual Meeting of the Eastern Finance Association in Pittsburgh, PA.

2014 Annual Meeting of the Midwest Finance Association in Orlando, FL.

2014 Annual Meeting of the Southern Finance Association in Key West, FL.

2014 Annual Meeting of the Financial Management Association in Nashville, TN.

2013 Annual Southern Finance Association Meeting in Puerto Rico.

2012 Annual Meeting of the Southern Finance Association in Charleston, WV.

2011 Annual Meeting of the Southern Finance Association in Key West, FL.

2011 Annual Meeting of the Financial Management Association in Denver, CO.

2011 Annual Meeting of the Eastern Finance Association in Savannah, GA.

2008 Meeting of the European Financial Management Association in Prague, Czech Republic.

Conference Session Chair Chair of Arbitrage Session at the 2014 Annual Meeting of the Financial Management Association in Nashville, TN.

Chair of Hedge Fund Session at the 2014 Annual Meeting of Eastern Finance Association in Pittsburgh, PA.

Chair of Portfolio Choices Session at the 2014 Annual Meeting of the Midwest Finance Association in Orlando, FL.

Chair of Derivatives Session at the the 2012 Annual Meeting of the Southern Finance Association in Charleston, WV.

Other Professional Activities 2015 SFA Program Committee Member 2014 SFA Program Committee Member 5 2013 SFA Program Committee Member 2012 SFA Program Committee Member Associate editor of the Journal of Eastern European and Central Asia Research Invited Lectures Commencement speech at the MBA graduation of the MBA in healthcare management program of the Academy of Healthcare Management in Prague in December 2012 Lecture for students of MBA in healthcare management at the Academy of Healthcare Management in Čelákovice, Czech Republic Ad Hoc Reviewer International Review of Financial Analysis Journal of Banking and Finance Pacific Basin Finance Journal Journal of Eastern European and Central Asia Research Financial Review Pedagogic Activity Advanced Business Finance (FINC 3630) Security Analysis (FINC 4660) – The course includes Bloomberg and Morningstar Direct certifications and a working knowledge of FactSet.

Financial Statement Analysis (FINC 4650) Special Topics in Business Administration (BUSI 7970) – Dr. Jimmy E. Hilliard and myself took a group of Master’s students to Budapest and Prague in March 2011.

Research and Thesis (FINC-7990) Ph.D. Seminar in Investments (scheduled for fall, 2015) Chair of Thesis Committees Ruwei Zhao: Sell in May Effect: Evidence from Developed, Emerging and Frontier Markets. Graduated in December, 2013.

Haoran Zhang: Size effect and Price-to-book effect in stock returns: Evidence from the Chinese Market. Graduated in May, 2013.

Other Pedagogic Activity Member of dissertation committee (2013): Ph.D. student Xuan Shen (Agricultural Economics and Rural Sociology).

Advisor to Bryan Craig: Presentation of the project to the Advisory Board of COB Auburn University. October 26, 2012.

Special Skills Financial Software: Bloomberg, Morningstar Direct, FactSet Computer skills: MS Office, Visual Basic, SAS, Matlab, SPSS Languages: Czech (native), Russian, Slovak, and English

6



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