�山ǿ�� Desautels Faculty of Management - Sergei Sarkissian’s Recent Research

2020 SSHRC Insight Grants awarded

�山ǿ�� — Tue, 23 Feb 2021 23:02:04 +0000

Congratulations to the Desautels professors who received 2020 SSHRC Insight Grants and Insight Development Grants.

SSHRC Insight Grants

Professor Laurent Barras (with Professor David Schumacher)
Professor Sebastien Betermier
Professor Lisa Cohen

Cross-Listings and the Dynamics between Credit and Equity Returns

�山ǿ�� — Wed, 15 Jan 2020 21:09:06 +0000

Authors: Patrick Augustin, Feng Jiao, Sergei Sarkissian, Michael J Schill

Publication: The Review of Financial Studies, Vol. 33, Issue 1, January 2020

Abstract:

We study how listing in multiple markets affects the dynamics between firms’ credit default swap (CDS) and stock returns. We find that cross-listing increases (1) the sensitivity of CDS to stock returns, (2) the integration of CDS with world equity and bond markets, and (3) the statistical synchronicity of CDS and stock prices. Our results are stronger for firms with greater media attention, analyst and CDS coverage, and Google search intensity and for listings in familiar markets. We suggest that a firm’s presence in global equity markets comes with an improvement in the credit-equity integration through a reduction of informational frictions.

Cross-Country Competitive Effects of Cross-Listings

�山ǿ�� — Thu, 10 Oct 2019 14:35:29 +0000

Authors: Sergei Sarkissian and Yan Wang

Publication: Review of Corporate Finance Studies, Forthcoming

Abstract:

Cross-Listings and the Dynamics between Credit and Equity Returns

�山ǿ�� — Tue, 23 Apr 2019 14:17:26 +0000

Authors: Patrick Augustin, Feng Jiao, Sergei Sarkissian, and Michael J. Schill

Publication: The Review of Financial Studies, Forthcoming

Abstract:

Market and Regional Segmentation and Risk Premia in the First Era of Financial Globalization

�山ǿ�� — Wed, 18 Oct 2017 18:27:44 +0000

Authors: David Chambers, Sergei Sarkissian and Michael J. Schill

Publication: Review of Financial Studies, Forthcoming

Abstract:

We study market segmentation effects using data on U.S. railroads that list their bonds in New York and London between 1873 and 1913. This sample provides a unique setting for such analysis because of the precision offered by bond yields in cost of capital estimation, the geography-specific nature of railroad assets, and ongoing substantial technological change. We document a significant reduction in market segmentation over time. Whilst New York bond yields exceeded those in London in the 1870s, this premium disappeared by the early 1900s. However, the segmentation premium persisted in the more remote regions of the United States.

Read full article: Review of Financial Studies

To Group or Not to Group? Evidence from Mutual Fund Databases

�山ǿ�� — Thu, 06 Oct 2016 18:12:20 +0000

Authors: Saurin Patel and Sergei Sarkissian

Publication: Journal of Financial and Quantitative Analysis, Vol. 52, No. 5, 2017, pp. 1989-2021.

Abstract: