Olesya V. Grishchenko Department of Finance Leonard N. Stern ...

Olesya V. Grishchenko
Department of Finance
Leonard N. Stern School of Business
New York University
Work Home
44 West 4th Street, Suite 9-180 335 68th Street, Apt. 1F
New York, NY 10012 Brooklyn, NY 11220
e-mail: ogrishch@stern.nyu.edu 617-388-7615(m)
URL: http://www.stern.nyu.edu/∼ogrishch Citizenship: Russia
Current Status: F-1 Visa
Please contact Hakema Zamdin, 212-998-0301 if you cannot reach me over the phone
Education
PhD Finance, Stern School of Business, NYU, expected May 2005
M.Sc. Finance June 2001
Relevant Coursework: Discrete-time Asset Pricing, Continuous-time Asset Pricing,
Empirical Finance, Corporate Finance, Econometrics, Financial Econometrics, Microeconomics,
Advanced Option Pricing, Stochastic Processes in Finance, Probability Limit
Theorems, Seminar in Corporate Finance, Seminar in Investments, Seminar in Term
Structure, Seminar in Microstructure, Research Seminar in Asset Pricing
2001-2002 Sloan School of Management, MIT
Visiting Student
1990-1995 Moscow State University, Russia
M.Sc. Mathematics
1992-1994 Sorbonne, & Moscow State University, Russia
BA French Language and Civilization
Teaching Experience
Summer 2003: Instructor for the undergraduate Financial Management course
Fall 2002 & Spring 2003: Sole instructor for the undergraduate course Foundations
for Financial Markets Core Enhancement, the first Stern distance-learning course with
more than 400 students per semester
Summer 1999 - Fall 2001: Teaching Assistant at the Department of Finance for
graduate courses: Futures and Options, and Advanced Futures and Options
Professional Experience
2000-2001: Research Assistant for
Qiang Dai - www.stern.nyu.edu/∼qdai
Robert Engle - www.stern.nyu.edu/∼rengle
JianPing Mei - www.stern.nyu.edu/∼jmei
1995-1996: Coopers&Lybrand, Moscow, Russia
Auditing, oil and gas manufacturing sector
Honors
2002-2003: Jules Bogen Doctoral Fellowship Award
1999-2002: Department of Finance Doctoral Fellowship
1990-1995: Fellowship, Moscow State University

WORKING PAPERS
Internal vs External Habit Formation: The relative importance for asset pricing,
Job Market Paper
Abstract: Asset pricing models with habit formation use either “catching up with Joneses”
(external habit formation) or “time-nonseparable” (internal habit formation) preference
specifications. In this paper I present a generalized asset pricing model that structurally
nests both types of habit formation.
I derive the asset pricing implications of this model and confront them with the observed
consumption and asset return data to determine the relative importance of “catching up
with Joneses” and internal habit formation. In other words, to what extent does an individual
consumer’s preference depend on her own consumption history as opposed to the
aggregate consumption history?
I test the model using US postwar seasonally adjusted quarterly data on consumption expenditures,
Fama-French portfolio and Treasury long-term bond portfolio returns of different
horizons.
Using long-horizon returns, I show that internal habit formation with a sufficiently long
history of consumption realizations is more consistent with observed asset and bond returns
than “catching up with Joneses” preferences. These results have important implications for
researchers attempting to provide microeconomic foundations of habit formation.
Empirical Investigation of Consumption Based Asset Pricing Models with
Stochastic Internal Habit, with Qiang Dai
Abstract: A consumption-based asset pricing model with stochastic habit formation is
econometrically estimated and tested using generalized method of moments. The model
departs from existing models with deterministic internal habit (e.g., Dunn, Singleton (1986),
Ferson, Constantinides (1993), and Heaton (1995)) by introducing shocks to the coefficients
in the distributed lag specification of consumption habit and consequently an additional
shock to the marginal rate of substitution. The stochastic shocks to the consumption habit
are persistent and provide an additional source of time-variation in expected returns. Using
Treasury bond returns and broad equity market index returns, we show that stochastic
internal habit formation models resolve the dichotomy between autocorrelation properties
of stochastic discount factor and those of expected returns and provide better explanation
of time-variation in expected returns compared to models with either deterministic habit
or stochastic external habit.
Private Information and Corporate Governance in Emerging Markets, with
JianPing Mei and Lubomir Litov
Abstract: We apply the theoretical framework of Llorente, Michaely, Saar, and Wang (2002)
to analyze the relation between daily volume and first-order return autocorrelation for
individual stocks in emerging markets. We find strong evidence of return continuation
following high volume days, suggesting the presence of private information trading for many
emerging market stocks. We discover that private information trading is especially strong
around major corporate event dates. In addition, we find stocks that provide better investor
protection and information disclosure exhibit less private information trading. These results
suggest return autocorrelation and trading volume carry useful information about corporate
governance in emerging market.
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Professional Presentations
Private Information and Corporate Governance in Emerging Markets
- Department of Finance, Stern, NYU, March 2002
- VIII International Finance Conference in Georgia Tech, GA, April 2002
- EFMA meetings, London, UK, June 2002
- EFA meetings, Berlin, Germany, August 2002
- WFA meetings, Los Cabos, Mexico, June 2003
Asset Pricing in the Production Economy subject to Monetary Shocks
- Finance Seminar Series, Hofstra University, NY, November 2002
- VI Conference of Swiss Financial Society, Zurich, Switzerland, April 2003
- Blaise Pascal International Conference on Financial Modeling, Paris, France, July 2003
Empirical Investigation of Consumption Based Asset Pricing Models with
Stochastic Internal Habit
- Department of Finance Seminar, Stern, NYU, April 2003
- Department of Finance Seminar, Stern, NYU, November 2003
- IV Annual Trans-Atlantic Doctoral Conference at LBS, London, UK, May 2004
- AEA meetings, Philadelphia, January 2005
Internal vs External Habit Formation: The relative importance for asset pricing
- Department of Finance Seminar, Stern, NYU, November 2004
Discussant
- EFMA meetings, London, UK, June 2002
- EFA meetings, Berlin, Germany, August 2002
Research Interests
Asset Pricing Theory, General Equilibrium Theory, Portfolio Choice,
International Finance, Macro-Finance
Teaching Interests
Undergraduate: Foundations of Financial Markets, Financial Management
Graduate: Asset Pricing Theory, Empirical Finance, Continuous-time Finance
Computer Skills
Operating Systems: Linux, Windows XP/NT/98/2k
Development: EViews, Gauss, LaTeX, HTML, Limdep, Matlab, Mathematica
Professional Membership
American Finance Association
Financial Management Association
Languages
Russian - native, English - fluent
French - fluent, Spanish - working knowledge
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References
Qiang Dai (dissertation co-chair) 919-962-7182 Qiang Dai@unc.edu
Department of Finance
Kenan Flagler Business School
University of North Carolina
Marti Subrahmanyam (dissertation co-chair) 212-998-0348 msubrahm@stern.nyu.edu
Department of Finance
Stern School of Business, New York University
Stephen Brown 212-998-0306 sbrown@stern.nyu.edu
Department of Finance
Stern School of Business, New York University
Kose John 212-998-0337 kjohn@stern.nyu.edu
Department of Finance
Stern School of Business, New York University
Robert Whitelaw 212-998-0338 rwhitela@stern.nyu.edu
Department of Finance
Stern School of Business, New York University
November 21, 2004
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