Olesya V. Grishchenko - Penn State Personal Web Server - Penn ...

Olesya V. Grishchenko
Department of Finance
Smeal College of Business
The Pennsylvania State University
303 Business Building Office phone: 814-865-5191
University Park, PA, 16802 Fax: 814-865-3362
Web: http://www.personal.psu.edu/ovg1
e-mail: olesya@psu.edu
Education
Ph.D. Finance, Stern School of Business, NYU, 2005
M.Sc. Finance, Stern School of Business, NYU, 2001
M.Sc. Mathematics, Moscow State University, Russia, 1995
B.A. French Language and Civilization, Collège Universitaire Français de Moscou,
Moscow State University, Russia, 1994
Academic Positions
Assistant Professor, Smeal College of Business, Penn State University, 2005 - current
Visiting Professor, New Economic School (NES), Moscow, Russia, Spring 2010
Visiting Scholar, Sloan School of Management, MIT, 2001-2002
Teaching Experience
Penn State Security Analysis and Portfolio Management, undergraduate course, 2006-
2010, Teaching evaluation: 6.0/7.0 (best score), 5.8/7.0 (average score)
NES Advanced Financial Econometrics, graduate course, Spring 2010
Stern, NYU - Financial Management, undergraduate course, Summer 2003
- Foundations for Financial Markets Core Enhancement, undergraduate
course, sole instructor for the first Stern distance-learning course with more
than 400 students per semester, Fall 2002, Spring 2003
- Teaching Assistant for graduate courses: Futures and Options, and Advanced
Futures and Options, Summer 1999 - Fall 2001
Research Interests
Asset pricing theory, Empirical asset pricing, Portfolio theory,
Fixed income, Macro-finance, Continuous-time finance
Teaching Interests
Undergraduate:
Graduate:
Financial markets, Investments, Fixed income
Asset pricing theory, Continuous-time finance, Stochastic models in finance,
Fixed income, Empirical asset pricing
Publications
–Internal vs external habit formation: The relative importance for asset pricing, Journal of
Economics and Business, 2010, vol. 62, pp. 176-194
–Asset pricing in the production economy subject to monetary shocks, Forthcoming, Journal of
Economics and Business, January 2011

Working Papers
–The role of heterogeneity in asset pricing: The effect of a clustering approach, with Marco
Rossi, August 2010, Revise and Resubmit, Journal of Business and Economic Statistics
Abstract: In this paper we use a novel clustering approach to study the role of heterogeneity
in asset pricing. We present evidence that the equity premium is consistent with a stochastic
discount factor calculated as the equally-weighted average of the clusters’ intertemporal
marginal rates of substitution in the 1984-2002 period. This result is driven by the skewness of
the cross-sectional distribution of consumption growth, but cannot be explained by the crosssectional
variance and mean alone. We show that the result is sensitive to the construction of
clusters as well as the number of the clusters used in the study. We find that nine clusters are
sufficient to capture idiosyncratic consumption risk with relative risk aversion coefficient equal
to six. The same result cannot be reproduced using individual household data.
–Inflation risk premium: Evidence from the TIPS market, with Jing-zhi (Jay) Huang, November
2010, under review, Management Science
Outstanding Institutions Paper Award at the 2009 Eastern Finance Association Meetings
Abstract: “Inflation-indexed securities would appear to be the most direct source of information
about inflation expectations and real interest rates” (Bernanke, 2004). In this paper
we study the term structure of real interest rates, expected inflation and inflation risk premia
using data on prices of Treasury Inflation Protected Securities (TIPS) over the period 2000-
2008. The approach we use to estimate inflation risk premium is arbitrage free, largely model
free, and easy to implement. We also make distinction between TIPS yields and real yields
and take into account explicitly the three-month indexation lag of TIPS in the analysis. We
find that the average 10-year inflation risk premium ranges from -22 b.p. to 4 b.p. over the
full sample depending on the proxy used for expected inflation. We also find that the inflation
risk premium is time-varying: it is negative (positive) in the first (second) half of the sample
period. More specifically, the estimates of the 10-year inflation risk premium range between 8
and 13 basis points for 2004-2008 period depending on the proxy used for expected inflation.
–Empirical investigation of consumption-based asset pricing models with stochastic internal
habit, with Qiang Dai, January 2010
Abstract: We econometrically estimate a consumption-based asset pricing model with
stochastic internal habit and test it using the generalized method of moments. The model departs
from existing models with deterministic internal habit (e.g., Dunn and Singleton (1983),
Ferson and Constantinides (1991), 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 the autocorrelation properties of the
stochastic discount factor and those of expected returns and provide a better explanation of
time-variation in expected returns than models with either deterministic habit or stochastic
external habit.
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–The information content of the embedded deflation option in TIPS, October 2010, with Joel
Vanden and Jianing Zhang
Abstract: In this paper we present an affine two-factor dynamic term structure model for
pricing Treasury nominal and inflation-indexed (TIPS) bonds in the closed-form. Two state
variables that drive the dynamics of bond prices are nominal short rate and inflation. We
estimate the model using 1997-2009 monthly prices of nominal Treasury notes and TIPS. The
focus of the paper is on explicit modeling and computation of the embedded option value in
TIPS that arises from the deflation protection of the principal paid at maturity. We show that
deflation option value has been positive during two periods in our sample: “deflation scare”
period in 2003-2004 and recently, in 2008-2009. We also show that time variation in the option
value can predict future inflation rates and inflation volatility even in the presence of other
popular macro variables used for inflation forecasts.
–Private information and corporate governance in emerging markets, with JianPing Mei and
Lubomir Litov, April 2007, Revise and Resubmit, European Financial Management Journal
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 formany 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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Work in Progress
–Liquidity risks on the TIPS market, with Jing-zhi (Jay) Huang and Marco Rossi, October
2010
Abstract: In this project we use high-frequency TIPS market data in order to assess the
magnitude of the liquidity risk premium on the TIPS market.
–General equilibrium model with intertemporally dependent preferences: Internal vs. external
habit formation, with Eduard Dubin and Vasily Kartashov, October 2010
Abstract: In this project we solve for incomplete market equilibria allowing for heterogeneity
in habit formation using recent Dumas and Lyasoff (2010) method. We investigate
whether general equilibrium models result in the same solution for aggregate asset prices
when either external or internal habit formation preferences are assumed.
–Misspecification analysis of the non-linear asset pricing models, with Raymond Kan and
Cesare Robotti, August 2010
Abstract: We apply the methodology of Gospodinov, Kan, and Robotti (2010) and evaluate
consumption-based asset pricing models (both linear and nonlinear) under the assumption
of their misspecification.
–On the possibility of the inflation-indexed debt in Russia, with Sergey Vorobyev, June 2008
Abstract: The aim of the project is to evaluate the relevance of introducing the indexed
debt to Russia by examining the inflation costs that could be saved in the case of issuing
the inflation-indexed government debt.
Invited Presentations
University of Massachusetts at Amherst, Rotterdam University, Amsterdam University,
New Economic School at Moscow, AGSM at Sydney, Bank for International Settlements,
Penn State University, Fordham University, Federal Deposit Insurance Corporation (FDIC),
University of Venice, Queens University, University of Maryland at College Park
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Professional Presentations
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
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
Empirical Investigation of Consumption Based Asset Pricing Models with
Stochastic Internal Habit
- Department of Finance, Stern, NYU, April & 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
- Department of Finance University of Massachusetts at Amherst, February 2005
- Department of Finance Erasmus University at Rotterdam, Netherlands, February 2005
- New Economic School, Moscow, Russia, February 2005
- Department of Finance AGSM, Sydney, Australia, March 2005
- Department of Finance University of Amsterdam, Netherlands, March 2005
- Bank for International Settlements, Switzerland, March 2005
- Department of Finance Penn State University, April 2005
- FMA European meetings, Siena, Italy, June 2005
- Northern Finance Association (NFA) meetings, Montreal, Canada, September 2006
- EFMA meetings, Vienna, Austria, June 2007
Inflation Risk Premium: Evidence from the TIPS Market, ∗ indicates presentation
by co-author
- II Risk Management Conference, Mont-Tremblant, Canada, March 2008
- 18 th FDIC Conference, Washington, DC, April 2008
- Washington Area Finance Association (WAFA) meetings, Washington, DC, April 2008
- III Financial Intermediation Research Society (FIRS) Conference, Anchorage, AK, June
2008
- NFA meetings, Kananaskis, Canada, September 2008
- Financial Management Association (FMA) meetings, Dallas, TX, October 2008
- Federal Deposit Insurance Corporation Research Seminar, Washington, DC, April 2009
- Eastern Finance Association Meetings, Washington, DC, May 2009
- China International Conference in Finance, Guangzhou, China, July 2009 ∗
- 2 nd Annual CKGSB Finance Research Summer Camp at Guilin, China, July 2009 ∗
- 20 th Financial Economics and Accounting Conference, Rutgers University, November 2009
- New Economic School, Moscow, July 2010
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The Role of Heterogeneity in Asset Pricing: The Effect of a Clustering Approach
- Washington Area Finance Association (WAFA) meetings, Washington, DC, April 2008
- Financial Management Association (FMA) meetings, Dallas, TX, October 2008
- Eastern Finance Association Meetings, Washington, DC, May 2009
- Multinational Finance Society Meetings, Crete, Greece, June 2009
- European Finance Association Meetings, Bergen, Norway, August 2009
- NFA Meetings, Canada, September 2007 & 2009
- University of Venice, December 2009
- Queens University, March 2010
- AFFI meetings, Saint-Malo, France, May 2010
The Information Content of the Embedded Deflation Option in TIPS
- American Mathematical Society Meetings (Financial Mathematics Section), Penn State,
October 2009
- New Economic School, Moscow, December 2009
- University of Maryland at College Park (Research in Transition Seminar), February 2010
- AFFI meetings, Saint-Malo, France, May 2010
- EFA meetings, Frankfurt, Germany, August 2010
- 8th international Paris Finance Meeting, France, December 2010
Discussant
- EFMA meetings, London, UK, June 2002
- FMA European meetings, Siena, Italy, June 2005
- EFA meetings, 2002, 2005, 2008 - 2010
- FIRS meetings, Anchorage, AK, June 2008
- FMA Meetings, Dallas, TX, October 2008
- Eastern Finance Association Meetings, Washington, DC, May 2009
- Multinational Finance Society Meetings, Crete, Greece, June 2009
- NFA, Canada, September 2009
- AFFI meetings, Saint-Malo, France, May 2010
- WFA meetings, Victoria, Canada, June 2010
- 8th international Paris Finance Meeting, France, December 2010
Honors
2009 Outstanding Institutions Paper Award for the “Inflation Risk Premium:
Evidence from the TIPS Market”, Eastern Finance Association Meetings
2007-2009 Smeal Faculty Research Grant
2002-2003 Jules Bogen Doctoral Fellowship Award
1999-2002 Department of Finance Doctoral Fellowship
1990-1995 Fellowship, Moscow State University
Computer Skills
Operating Systems:
Development:
Professional Membership
Linux, Windows XP/NT/98/2k
EViews, Gauss, LaTeX, HTML, Matlab, Mathematica
American Finance Association, European Finance Association, Financial Management Association,
Eastern Finance Association, Northern Finance Association
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Professional activities
Ad-hoc Referee Services: Journal of Financial and Quantitative Analysis, Review of Economic
Dynamics, Review of Financial Studies, Journal of Economics and Business, Pacific
Basin Finance Journal, Economic Inquiry, Journal of International Money and Finance,
Journal of Money, Credit, and Banking, Journal of Business Economics and Statistics, The
Quarterly Review of Economics and Finance
Manuscript Reviews: Addison-Wesley
Faculty Selection Committee member for Schreyer Honors College, Penn State University
Undergraduate Honors Thesis Advisor in the Schreyer Honors College for:
Gregory Tallman
Nykolas Maravich
Ryan Dougherty
PhD Committee member for:
Zhan Shi (Finance Department, Smeal College of Business, Penn State University)
Rattachut Tangsucheeva (Department of Electrical Engineering, Penn State University)
Program Committee member for:
Financial Management Association Meetings, 2011
Northern Finance Association meetings, 2008
Languages
Russian - native, English - fluent
French - fluent, Spanish - working knowledge
References
Dr. Qiang Dai
Professor Stephen Brown
Professor Marti Subrahmanyam
Professor Jingzhi Huang
Capula Global LLC, qdai@capulaglobal.com
Dept. of Finance, Stern School of Business, NYU
212-998-0306, sbrown@stern.nyu.edu
Dept. of Finance, Stern School of Business, NYU
212-998-0306, msubrahm@stern.nyu.edu
Dept. of Finance, Smeal College of Business,
Penn State University, 814-863-3566, jxh56@psu.edu
January 21, 2011
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