Department of Finance

Job Market Candidates

Students from the Department of Finance will be present at the 2017 meeting of the American Finance Association in Chicago

 

Find this year's job market candidates and their placements below.

2017
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Sven Klingler
 
Areas of Interest: Asset Pricing, Financial Frictions, Hedge Funds, Limits of Arbitrage
 
 
I develop a simple model where hedge fund managers with a higher exposure to a common funding shock deliver lower subsequent returns. Empirically, I find that hedge funds with a higher loading on a simple funding risk measure generate lower returns than hedge funds with a lower loading on that measure. In line with the model predictions, I find that (i) this underperformance is driven by a high loading on adverse funding shocks, (ii) a higher loading on funding risk predicts lower fund flows, and (iii) the results are significantly weaker for funds that have a lockup provision.
 
Placement: BI Oslo

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Davide Tomio
 
Areas of Interest: Market Microstructure, Asset Pricing, Empirical Finance
 
Job Market Paper: Arbitraging Liquidity
 

This paper shows theoretically and empirically how arbitrage activity contributes to the convergence of liquidity across markets. Based on simple arbitrage arguments, I show theoretically how arbitrageurs’ market and limit orders create a co-movement across markets of bid prices, ask prices, and bid-ask spreads. Empirically, I document how the intensity of arbitrage activity is related to the co-movement of market liquidity between securities linked by arbitrage. I focus on Canadian stocks cross-listed in the United States and also consider commonality across stocks and corporate bonds linked by capital structure arbitrage.


Placement: Darden School of Business, University of Virginia
 

Below, you can see the placements of our former job market and PhD candidates .

Former Job Market Candidates and placements


2016

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Kay Sun Park
Areas of Interest: Empirical and Theoretical Corporate Finance, International Finance
 
We investigate how a firm jointly determines the amount of debt and its maturity in a dynamic capital structure. We find a firm with high volatility of earnings optimally issues debts of shorter maturity which helps it maintain its financial flexibility. Using simultaneous equations of leverage and maturity regression, we find that higher leverage is led by shorter maturity. Our results support the dynamic capital structure model in which a firm decides its leverage as a trade-off between bankruptcy costs and tax benefits, as well as optimally adjusting the maturity of its debt by taking account of their financial flexibility versus the costs of new debt issuance. These findings can explain why financial institutions with high volatility of earnings before the 2007-2009 financial crisis had higher leverage as well as huge short-term financing.
 
Placement: Research Fellow at Incheon Development Institute in South Korea

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Aleksandra Rzeźnik
 
Areas of Interest: Empirical Asset Pricing, Liquidity, Institutional Investors, Real Estate
 
 
This paper examines the liquidity choices of mutual funds during times of market uncertainty. I find that when markets are uncertain, mutual funds actively increase the liquidity of their portfolio - often referred to as a ‘flight-to-liquidity.’ In aggregate, mutual fund behaviour has implications for the market; the market driven flight-to-liquidity places upward pressure on the liquidity premium. I examine the underlying mechanisms driving fund behaviour. I show that market volatility is associated with lower fund performance and withdrawals, which causes funds to adjust the composition of their portfolio towards more liquid assets in order to meet potential redemptions. This causal chain is consistent with Vayanos (2004), who argues that fund managers are investors with time-varying liquidity preferences due to threat of withdrawal. Aggregated over funds, the effect is substantial: a one standard deviation increase in my measure of flight-to-liquidity yields a 0.63 standard deviation increase in the excess return required for holding illiquid securities.
 
Placement: assistant professor at WU Vienna University of Economics and Business in Austria

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Desi Volker
 
Areas of Interest: Financial economics, Macro-finance, Empirical asset pricing, Monetary economics, Fixed income
 
 
This paper studies the effect of the uncertainty surrounding the future path of monetary policy on interest rates.  I proxy uncertainty with the cross-sectional dispersion in one year ahead fed funds rate forecasts from survey data. Within a flexible dynamic term structure model with observable and latent factors, I provide evidence in support of a link between uncertainty and interest rate dynamics. In particular I show that: (i) uncertainty is an important contributor to the variation in conditional yield volatilities and has a slope effect on the volatility term structure; (ii) monetary policy uncertainty risk is priced and affects expected excess returns at short horizons; and (iii) it can be interpreted as a pure volatility risk factor as it is weakly spanned by the cross-section of yields
 
Placement: Federal Reserve Bank of New York in the United States
 

 

 

 

2015
Mamdouh medhat

Mamdouh Medhat
Website
 

Areas of Interest: Asset pricing, Asset pricing implications of corporate finance theory, Credit risk

Job Market Paper: Liquidity Risk and Distressed Equity

I show theoretically and empirically that solvency and liquidity can help rationalize low distressed equity returns. In my model, levered firms facing financing constraints optimally choose liquidity reserves and optimally default when insolvent. I find empirical evidence consistent with the model's predictions: (1) In all solvency levels, the average firm holds enough liquid assets to cover its short-term liabilities; less solvent firms have (2) a higher fraction of their total assets in liquid assets and therefore (3) lower conditional betas and (4) lower returns; (5) the profits of strategies are concentrated among low liquidity firms; and (6) the profits of liquidity strategies are concentrated among low solvency firms. My results suggest that solvency and liquidity are essential to understanding the distress puzzle.

 

Placement: Assistant professor Cass Business School London



 

Other Placements
 

2017
Nina Lange

Nina Lange

PhD dissertatIon:
Correlation in Energy Markets
 
The dissertation consists of four essays within the overall topic of energy markets. The first essay studies the relationship of volatility in oil prices and the EURUSD rate. The remaining three essays study the so-called energy quanto options – a contract paying the product of two options. These essays cover both the use and the pricing of such contracts.

Placement: University of Sussex

 

2016
Søren Korsgaard

Søren Korsgaard


PhD dissertation:
Payments and Central Bank Policy

The thesis consists of three chapters. The first chapter examines the market for retail payments, specifically the role of interchange fees in payment card networks. The second chapter looks at how banks' liquidity shape outcomes in the money market. Finally, the third chapter explores how central banks use collateral policy to support lending
 

Placement: Danmarks Nationalbank

Mads Vestergaard Jensen

Mads Vestergaard Jensen

PhD dissertation:

Financial Frictions - Implications for Early Option Exercise and Realized Volatility

The first chapter (with Lasse Heje Pedersen) shows that the classic rule that one should never exercise a call option early breaks down when frictions are severe enough. The second chapter documents that underlying stocks underperform after early exercise, consistent with private information leading to early exercise. The final chapter (with Christian Skov Jensen) finds that, consistent with an increase in differences of opinion, a positive demand shift for shorting a stock predicts higher volatility for the affected stock.

Placement: Danica Pension

Mikael Reimer Jensen

Mikael Reimer Jensen

PhD dissertation:

Interbank Markets and Frictions

The thesis consists of three chapters. The first chapter examines how banks’ liquidity position shapes outcomes in the money market. The second chapter investigates the decomposition of interbank rates into credit and liquidity risk. Finally, the third chapter explores how the classical no-arbitrage pricing framework can be extended by assuming that the underlying asset can be used in a repo transaction.

Placement: ATP

 

2014
Sebastian Fux

Sebastian Fux
 

PhD dissertation:
Essays on Return Predictability and Term Structure Modelling

The thesis is available here

Placement: PWC, Zürich



 

 

The page was last edited by: Department of Finance // 06/21/2017