Tatyana Marchuk

I am an Assistant Professor in Finance at BI Norwegian Business School.

My research focuses on Empirical Asset Pricing in connection to Financial Intermediation and Macroeconomics. 

I was a Visiting Doctoral Fellow at the Wharton School, University of Pennsylvania, in Fall 2014 and 2016. 

Working papers
  • The Financial Intermediation Premium in the Cross Section of Stock Returns [ssrn]
This paper documents a significant risk premium for financial intermediation risk in the cross section of equity returns. Firms that borrow from highly levered financial intermediaries have on average 4% higher expected returns relative to firms with low-leverage lenders. This difference cannot be attributed to differences in firm characteristics and is driven by firms’ exposure to the financial sector. The dispersion in the leverage of financial intermediaries in the debt market forecasts the growth of macroeconomic aggregates.To shed light on the underlying mechanism behind the intermediation risk, I provide a tractable model with state-dependent borrowing costs.

  • The Leading Premium (with M. Max Croce and Christian Schlag) [ssrn
In this paper, we compute conditional measures of lead-lag relationships between GDP growth and industry-level cash-flow growth in the US. Results show that firms in leading industries pay an average annualized return 4% higher than that of firms in lagging industries. The difference in the returns of leading and lagging firms is priced in the cross section of equity returns, even after we adjust for the Fama-French three-factor model. This finding can be rationalized in a model in which (a) agents price growth news shocks, and (b) leading industries provide valuable resolution of uncertainty about the growth prospects of lagging industries.

Work in Progress
  • Propagation of the Real Uncertainty Shocks through Financial Intermediaries (with Tetiana Davydiuk (Wharton) and Samuel Rosen (UNC))
  • Skewness in Asset Pricing: A Review (with Grigory Vilkov (Frankfurt School))
  • Tail Risk in the Cross-Section of U.S. Financial Returns