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Following his graduation from Chicago, Davis spent two years as a lieutenant with the U.S. Army. In 1969, he joined the Ford Motor Company as a systems analyst. He then spent five years working in corporate finance at Xerox Corporation.

In 1978, Davis became vice president of finance/public affairs for Wisconsin Power & Light Co. He was named WPL Holdings, Inc.'s president and CEO in 1990.

Davis has served as a director of Amoco Corporation and Competitive Wisconsin, Inc. and a trustee for Carnegie-Mellon University. He has been a member of University of Wisconsin System Board of Regents, the Chicago Booth Black ý Association, the governor's Council on Economic Issues, the Wisconsin Policy Research Institute, the Wisconsin Utilities Association, and the American Association of Blacks in Energy.