Pankaj Agrrawal, Ph.D.

Pankaj Agrrawal, Ph.D., joined the University of Maine Business School in 2005, with over nine years of executive experience in quantitative research and portfolio management in the investment management industry. Previously he was portfolio manager and director of research at leading global asset management firms based in San Francisco, Boston, London, and Philadelphia. Over that time he also designed and taught doctoral/graduate finance courses at Golden Gate University (DBA 821, Financial Theory), Harvard Extn. (Finance CSS 318), and Drexel University (Executive MBA). He also completed the “Investment Decisions and Behavioral Finance” executive education certificate course at the JFK School at Harvard University in 2001, and attributes that exposure to his interest in Investor Sentiment theory.

Dr. Agrrawal has published peer-reviewed papers in the Financial Analysts Journal, Journal of Behavioral Finance, Mathematics, Managerial Finance,  JRFM, PLoS One,  Journal of Investing, among others. He was quoted by the Wall Street Journal on July 9, 2011 for his research on an algorithmic misspecification afflicting most web charts. His research on the inclusion of real estate ETFs in a multi-asset portfolio was featured in the New York Times on January 11, 2019. In 2012, he developed and released the ReturnFinder (Total Returns Stocks Dividends) App  via Apple’s App store. The app, which has been downloaded in more than 35 countries, rectifies the performance ranking problem and provides Total Return charts on over 20,000 stocks, ETFs, and indexes globally.

His research has been cited in Jama Psy, BJ Psych Open, Journal of Computational and Applied Mathematics, Physica A, Quantitative Finance, Financial Analysts Journal, Journal of Portfolio Management among others. His research has also been referenced on the Frankfurt-DAX stock exchange website, and his biography included in the Marquis Who’s Who in Finance and Industry (1999). In 2006 he was elected to the membership of the CQA (Chicago Quantitative Alliance). He is an active reviewer for peer-reviewed journals including the European Journal of Finance.

In 2013, he was listed on Yahoo! Finance in an article by on “17 ETF Friendly Professors”  and referenced in this University of Maine press release.  The University of Maine press release on his PLoS One paper (2017) linking market sentiment to human sentiment and subsequent suicides can be seen here.

Dr. Agrrawal values mentoring his undergraduate and graduate students and strives to inspire them with the workings of the capital markets and its computational aspects. He enjoys tennis, cricket, fitness, photography, volunteering (Junior Achievement of Maine, JA) and being with his family in Maine.


  • Ph.D., Finance, University of Alabama, 1996
  • M.A., Finance, University of Alabama
  • B.A., Economics, Honors, University of Delhi

Teaching Areas

Research Interests

A central theme of Dr. Agrrawal’s research is developing multi-constraint optimized long-short market-neutral hedged portfolios using ETF’s as primary assets and harvesting financial information on the web. Other research interests include the role of cognitive biases and heuristics in the decision making process as applied to the capital markets, stable covariance and correlation matrices on ETFs, and devising alpha-return techniques that utilize portfolio risk exposures to drive returns. Portfolio Optimization, Risk Management, Beta Neutral Hedging, Sentiment Estimation, Time series analysis, Liquidity modeling, Cointegration vectors, and Risk Parity portfolio strategies are some of his other active interests. Some of this research can be seen on his website at

Since 2004, he has been tracking a multi-asset class ETF portfolio (long-short and long only) that he discusses with his undergrad and MBA students. It continues to outperform the broad market equity and bond indices on both the dimensions in the risk-return space. It was included as a research chapter in the book “The Most Important Concepts in Finance” published in 2017. A proponent of Multi-asset investing using the 1/n approach, he uses the MV optimization approach to identify optimal allocations. Google Scholar.


“A Longer-Term Evaluation of Information Releases by Influential Market Agents and the Semi-strong Market Efficiency.” Agrrawal, Pankaj* and Agrawal, Rajat. Journal of Behavioral Finance (forthcoming in print – Taylor and Francis) [Metrics AR 7% ] [ABDC A]

“The Gibbons, Ross, and Shanken Test for Portfolio Efficiency: A Note Based on Its Trigonometric Properties.” Agrrawal, Pankaj. Mathematics 11(9): 2198.  2023. OA [Metrics] [ JCR (Q1) ]

“Time Dependence of CAPM Betas on the Choice of Interval Frequency and Return Timeframes: Is There an Optimum?” Agrrawal, Pankaj*, Faye W. Gilbert, and Jason Harkins. Journal of Risk and Financial Management Vol. 15, 11: 520.  2022. OA  [Metrics]

“Internships as Clinical Rotations in Business: Enhancing Access and Options.” Gilbert, Faye W.*; Harkins, Jason; Agrrawal, Pankaj; and Ashley, Taylor. International Journal for Business Education Vol. 162: No. 1, Article 7, 2021. [Metrics]

⌈⌉  “Is the ‘Sell in May and Go Away’ Adage the Result of an Election-year Effect?” Doug Waggle* and Agrrawal, Pankaj, Managerial FinanceVol. 44, Fall 2018. [Metrics]

“Multi Asset Investing: Beyond the 60-40 Ball Park,” Agrrawal, Pankaj,* in The Most Important Concepts in Finance” Gup, Benton (ed.), Edward Elgar Publishing, Cheltenham, UK, ISBN: 9781786431127, Nov/Dec 2017. [Book]

“Suicides as a response to adverse market sentiment (1980-2016).”  Agrrawal Pankaj,* Waggle D., Sandweiss D. H., PLoS One,  12 (11), 2017. OA. [IF Lookup] [Metrics] [JCR (Q1)]

“Seasonality in Stock and Bond ETF’s (2001-2014): The Months are Getting Mixed Up but Santa Delivers on Time.” Agrrawal, Pankaj* and Matthew Skaves, Journal of Investing, Vol. 24 (3), Fall 2015. [Metrics]

“Investor Sentiment and Short-Term Returns for Size-Adjusted Value and Growth Portfolios”, Doug Waggle* and Agrrawal, P., Journal of Behavioral Finance, Vol. 16, Issue 1, 2015. [Metrics] [ABDC  A]

“An Inter-temporal Study of ETF Liquidity and Underlying Factor Transition (2009-2014)”, Agrrawal P*., Clark J., Agarwal R. and Kale J., Journal of TradingVol. 9, No. 3, 2014. [Metrics]

“Using Index ETFs for Multi-Asset Class Investing: Shifting the Efficient Frontier Up”,  Agrrawal, Pankaj,* Journal of Index Investing, Vol. 4(2), Fall 2013. [Metrics]

“Negative Social Outcomes of the Global Financial Crisis,” Pankaj Agrrawal and Doug Waggle, Emirates Center for Strategic Studies and Research, 3-55, 2013. ISBN: 9789948146896, ISSN: 1682-1238. [Lecture Series Booklet #106]

⌈⌉ “What is Wrong with this Picture? A Problem with Comparative Return Plots on Finance Websites and a Bias against Income Generating Assets”, Pankaj Agrrawal * and Richard Borgman, Journal of Behavioral Finance, Vol. 11(4), Winter 2010. [Metrics] [ABDC  A]

“Using the Price-to-Earnings Harmonic Mean to Improve Firm Valuation Estimates” Pankaj Agrrawal, Richard Borgman*, John Clark, and Robert Strong,  Journal of Financial Education, Vol. 37, Fall/Winter 2010.

“The Dispersion of ETF Betas on Financial Websites”, Agrrawal, P.* and Doug Waggle, Journal of Investing, Vol. 19(1): pp. 13-24, Spring 2010.

“Determinants of ETF Liquidity in the Secondary Market: A Five Factor Ranking Algorithm”, Agrrawal, P.* and John M. Clark, Institutional Investor Journals, ETF and Indexing, Vol. 43 (7), pp. 59-66, Fall 2009.

“An Automation Algorithm for Harvesting Capital Market Information from the Web”, Pankaj Agrrawal, Managerial Finance, 35(5): pp. 427-438, Spring 2009.

“ETF Betas: A Study of their Estimation Sensitivity to Varying Time Intervals”, Agrrawal, P.* and John M. Clark, Institutional Investor Journals, ETF and Indexing, Vol. 41 (10), pp. 96-103, Fall 2007.

“The Stock-REIT Relationship and Optimal Asset Allocations”, Doug Waggle* and Pankaj Agrrawal, Journal of Real Estate Portfolio Management, pp. 209-221, Vol. 12(3), Fall 2006. This paper was the basis of a MSc (Finance) thesis of two Graduate students at Simon Fraser University, Canada, 2012. [Metrics]

⌈⌉ “Interaction Between Value Line’s Timeliness and Safety Ranks,” Doug Waggle*, Agrrawal, Pankaj and Don Johnson, Journal of Investing, 10 (1), Spring 2001.

“The Effects of Blending Primary and Diluted EPS Data,” Pankaj Agrrawal and Ralph Goldsticker*, Financial Analysts Journal, Vol. 55 (2), March/April 1999. [Metrics] [ABDC  A]

“The Product Life Cycle: A Paradigm for Understanding Financial Management,” Pankaj Agrrawal and Dr. Benton Gup*, Journal of Financial Practice and Education, Vol. 6 (2), Fall/Winter, 1996.

“Excess Capacity in Banking: Fact or Fiction?” Dr. Gup*, Benton E. and Agrrawal, Pankaj, Bankers Magazine, Vol 177, No. 4, 38-40, July/August 1994. [Industry publication]

§ Visibility of research papers on ABDC List, Google H-Index, Scopus web lookup; Scopus Journal listing CiteScore SJR ranking Nov 2022 ; Sortable list 2023

§§ 7 UMaine faculty as co-authors.

Field Specific Productivity

Research quoted in the print edition of the New York Times, “Real Estate Funds Have Been a Balm in a Stinging Market,” by Tim Gray, Jan 11-13, 2019.

Research paper listed on the US Library of Medicine / National Institute of Health, PubMed site via PMID: 29095894 , 2017

Listed on Yahoo! Finance in an article by on “17 ETF Friendly Professors”, Feb 7, 2013.

“Total Returns Stocks Dividends iApp and the CorrectCharts iApp”, released on Apple’s App store, under Cloud Epsilon LLC, of which I am the founder. July 2012. The Apps have been downloaded in over 30 countries. Copyright received from the Library of Congress, Reg. No. TXu 1-838-163, Aug, 2012.

Research quoted in the global print edition of the Wall Street Journal, “Why We Can’t Tell if the Market Is Half Empty or Half Full,” by Jason Zweig, July 9, 2011.

Three papers on the ‘most read’ lists of the published journals.

Media / TV: Appeared on local ABC/FOX TV and newspapers such as the Bangor Daily News, New York Times and the Wall Street Journal. Some links here.

@0:05 on this 2014 UMaine channel video

Discussing WRDS and Bloomberg on YouTube


  • His paper on IPO pricing and also on a Trigonometric test for portfolio efficiency (published in Mathematics, 2023) received the Best Doctoral Paper Awards at the 1995 and 1996 SWFA conferences in Houston and San Antonio, Texas.
  • Inducted into the business honor society Beta Gamma Sigma in 1996.
  • In 2007 he was the recipient of the Salgo summer research grant as well as UMaine’s SGA Outstanding Faculty Advisor award.
  • In 2009, his proposal for ETF Betas on Financial Websites was selected for the Summer Faculty Research award by the University Faculty Research Funds Committee (later published in the JOI).
  • He is also one of the recipients of the 2009 UMaine Faculty Technology Stipend, that was utilized to develop a browser-free live portfolio tracker.
  • In April, 2010 he was the recipient of the MBS Dean’s Faculty Research paper award for his ‘web-algorithm’ paper and the Dean’s summer research grant.
  • In April, 2011 he received his tenure and that year he was also the recipient of the Dean’s Faculty Research Excellence award for the JBF 2010 paper.
  • Three of  his papers have been on the ‘most read’ lists of the published journals.
  • He received the Dean’s Faculty Teaching Excellence award in April 2012.
  • In April 2013, the Maine Alpha Chapter of Sigma Phi Epsilon recognized him with the SigEp Faculty Member of the Year award, for his work as a professor at the Maine Business School and commitment to the students of the University of Maine.
  • In Spring 2016, he was inducted into the national Phi Kappa Phi honor society. Established in 1897 the society “recognizes and encourages superior scholarship.”
  • 2019: Promoted to Full Professor (Finance) and appointed the Finance Discipline Area Coordinator (2 years)
  • 2020 and 2021: Faculty advisor to two MBS teams that won the CFA Research Challenge State championship
  • In 2021, he was appointed the Nicolas M. Salgo Professor of Business.

Contact Links and Reference