Hans R. Stoll

Founding Director, Financial Markets Research Center

Hans Stoll, the Anne Marie and Thomas B. Walker Jr. Professor of Finance, Emeritus, at Vanderbilt University’s Owen Graduate School of Management, died March 20, 2020. He was 80.

A pioneer in the world of academic finance, Stoll was the first to define and test the put-call parity relationship for option prices, and to identify the “triple witching hour,” a quarterly expiration of several kinds of derivatives contracts, resulting in greater trading volume and market volatility. He also undertook seminal work around understanding the components and sources of the bid-ask spread.

In addition to Stoll’s role as an academic researcher and teacher, he was dedicated to bringing together leaders from global exchanges, financial services firms, regulating agencies and the academy to discuss current research around financial markets. Stoll founded the Financial Markets Research Center at Vanderbilt and hosted its first conference in the spring of 1988, following the stock market crash the previous October. The annual event has been widely covered in the financial press as a forum to showcase new research and to engage in dialogue with top regulators and investment professionals.

“Hans loved the Owen School dearly and was instrumental in helping place it among the world’s top business schools. He was a towering figure in the academic and investor communities, and a mentor for many generations of students,” said M. Eric Johnson, Ralph Owen Dean and Bruce D. Henderson Professor of Strategy at the Owen School. “We will miss his wisdom—and sharp wit—enormously.”

Born in Regensburg, Germany, Stoll graduated from Swarthmore College in 1961 and received his M.B.A. in 1963 and Ph.D. in 1966 from the University of Chicago. Prior to joining Vanderbilt in 1980, he was a faculty member at the University of Pennsylvania’s Wharton School.

Throughout his career, Stoll authored several books and over 60 published academic articles. He also served on the editorial boards of a variety of financial journals. Stoll served as president of the Western Finance Association from 1992 to 1993, president of the American Finance Association from 1999 to 2000, and on various government and industry advisory panels, including the Quality of Markets Committee of the NASD, formed to study the 1987 stock market crash.

He was a member of the Economic Advisory Board for the NASD, a public governor of the Pacific Stock Exchange, and a public director of the Options Clearing Corporation, Interactive Brokers Group and the Futures Industry Association. Stoll also received numerous honors and awards, including Vanderbilt’s 1996 Earl Sutherland Prize for Achievement in Research across all fields; the 1994 Chicago Board of Trade Earle M. Combs, Jr. Award for leadership and contributions to the futures industry; and an honorary doctorate from Goethe University in Frankfurt, Germany.

Over the years, Owen alumni and friends have made philanthropic commitments to the school in his honor. The Hans Stoll Chair was established in 2007 to provide support to a faculty member of the Owen Graduate School of Management, and the Hans R. Stoll Scholarship was established in 2010 to celebrate his 30th year at the Owen School.

Impact

Professor Stoll is best known for developing and testing the put-call parity relation for option prices, for modeling and testing the behavior of securities markets dealers, for his work on program trading and the "triple witching hour," and for his work on the sources and components of the bid-ask spread.

Leadership

As director of the Financial Markets Research Center, Professor Stoll was responsible for bringing in countless financial authorities from business concerns and government agencies. He also served as president of the American Finance Association and the Western Finance Association. He held the title of director of the American Finance Association, the Financial Management Association, and the Institute for the Study of Security Markets. He was advisory editor of the Journal of Financial Markets and the Multinational Finance Journal. He served as an associate editor of the Journal of Finance and the Journal of Financial Economics and Associate Editor of The Journal of Financial and Quantitative Analysis, The Journal of Derivatives, and Financial Management.

Stoll served on various government and industry advisory panels, including the Quality of Markets Committee of the NASD, formed to study the crash of 1987, and the advisory panel of the Office of Technology Assessment, formed to oversee a study of securities markets technology. He was a member of the Shadow Securities and Exchange Commission. He held the titles of Public Director of the Futures Industry Association, Public Director of the Options Clearing Corporation, and Public Governor of the Pacific Stock Exchange, all the while maintaining membership with the Economic Advisory Board of the NASD.

Publications

During his career, Professor Stoll published several books and more than 60 articles on subjects including the forward foreign exchange market, options, commodity futures, small business financing, the impact of institutional investors on the stock market, regulation of securities markets, the theory of dealers in securities markets, the law of one price in international commodity markets, the new option markets, the small firm effect, stock index futures, stock market structure and volatility, bid-ask spreads on the NYSE versus Nasdaq markets, and other subjects. His book, Futures and Options, co-authored with Robert Whaley hit shelves in 1992.

RESEARCH INTERESTS

Professor Stoll’s research focused primarily on market microstructure, derivatives markets, international financial markets, and equities markets.