Sergey Zhuk Assistant Professor, Department of Finance, University of Vienna E-mail: sergey.zhuk@univie.ac.at Department of Finance University of Vienna Oskar-Morgenstern-Platz 1 1090 Vienna, Austria Research Interests: [CV], [SSRN]Behavioral Finance / Asset Pricing
“Attention Allocation and Credit Quality” with Mike Mariathasan explains the counter-cyclical lending standards and endogenous risk build-up during market booms with a simple rational inattention model, in which banks trade off the number of processed loan applications with the precision of their loan review. “Signaling through Timing of Stock Splits” with Maria Chiara Iannino. In the paper we construct a dynamic structural model of stock splits consistent with several empirical observations. By estimating the model we estimate the size of the nominal share price preferences and the signaling costs of stock splits. “Speculative Bubbles, Information Flow and Real Investment” studies heterogeneous beliefs speculative bubbles in a setup in which information flow is endogenous and is determined by real investment. The arising bubble can mitigate learning externalities, however is usually too small at the beginning of the bubble episode and too big around the peak. “Inventory Risk with Persistent Liquidity Shocks”. I develop a tractable dynamic model of inventory risk with a simple closed form solution for the optimal behavior of intermediaries. By applying the model to the case of positively auto-correlated order flow (commonly observed in the data), I show that the usual estimates of inventory risk component are biased. |