Department of Finance

Job Market Candidates

Below you will find current and former Job Market Candidates. The Job Market Candidates in 2021 are Jakob Ahm Sørensen and Nicola Giommetti.

 

JOB MARKET CANDIDATES 2022

TBA

TBA

 

Job Market Candidates 2021

Jakob Ahm Sørensen

 

 

 

 

 

 

 

 

 

 

 

Jakob Ahm Sørensen

Personal website

PDF iconCV

 

Areas of Interest: Empirical asset pricing, macro-finance and corporate finance.

 

Job Market Paper: "Risk Neglect in the Corporate Bond market"

 

I present an equilibrium model for valuing corporate bonds and stocks to distinguish investors’ rational risk aversion from diagnostic expectations. Motivated by the model, I construct a novel empirical measure of credit market sentiment, denoted yield-for-risk, which measures the compensation investors require for credit risk in the cross-section of corporate bonds. I find evidence of diagnostic expectations in the form of risk neglect: Low yield-for-risk predicts low returns to credit and an inversion of the risk-return relationship among both corporate bonds and stocks. Firms exploit this effect by increasing their debt issuance when yield-for-risk is low, especially high-risk firms.

 

Nicola Giommetti

 

 

 

 

 

 

 

 

 

 

 

Nicola Giommetti

Personal website

PDF iconCV

 

Areas of Interest: asset pricing, valuation, and portfolio allocation with illiquid assets.

 

Job Market Paper: "Risk Adjustment of Private Equity Cash Flows"

 

Existing stochastic discount factor methods for the valuation of private equity funds result in unrealistic time discounting. We propose and evaluate a modified method. Valuation has a risk-neutral component plus a risk adjustment, and we fix the risk-neutral component by constraining the subjective term structure of interest rates with market data. We show that (i) our approach allows for economically meaningful measurement and comparison of risk across models, (ii) existing methods estimate implausible performance when time discounting is particularly degenerate, and (iii) our approach results in lower variation of performance across funds.

 

 

Please, follow the link to Placements, where you can find Former Job Market Candidates and Other Placements

 

The page was last edited by: Department of Finance // 05/24/2022