Olesya V. Grishchenko

    Assistant Professor of Finance
    Smeal College of Business Administration
    Penn State University
    Joined Smeal 2005

    303 Business Building
    Smeal College of Business
    Penn State University
    University Park, PA 16802
    ph (814) 865 5191
    fax (814) 865 3362
    E-mail: olesya@psu.edu
    Web: www.personal.psu.edu/ovg1

    		Tignes, France, December 2008

    CV

    Education:

    Ph.D. Finance 2005 Stern School of Business, NYU
    M.Sc. Mathematics 1995 Department of Mechanics and Mathematics, Moscow State University, Russia
    B.A. French Language and Civilization 1994 College Universitaire Français de Moscou, Moscow State University, Russia

    Teaching:

    2006 - 2009 FIN406 Security Analysis and Portfolio Management, undergraduate level
    Summer 2003 Financial Management, undergraduate level, Stern, NYU
    Fall 2002, Spring 2003 Core Enhancement for Foundations of Financial Markets, undegraduate level, Stern, NYU

    Research Interests:

    • Empirical Asset Pricing
    • Consumption-based Asset Pricing
    • Continuous Time Asset Pricing
    • Fixed Income
    • Macro-Finance

    Research:

    Consumption-based asset pricing:

    • Internal vs. external habit formation: The relative importance for asset pricing, [PDF, last version on SSRN], Journal of Economics and Business, Volume 62, Issue 3, 2010, pp. 176-194

    • Empirical investigation of consumption-based asset pricing models with stochastic habit formation, with Qiang Dai, [PDF], January 2010 
      • AEA 2005 Philadelphia Meetings paper

    • The role of heterogeneity in asset pricing: The effect of a clustering approach, with Marco Rossi, [PDF], Revise and Resubmit, Journal of Business and Economic Statistics, August 2010 
      • EFA 2009 Bergen Meetings paper

    • Asset pricing with heterogeneous consumers: When the data has yet to meet a theory it likes, with Marco Rossi,  [Paper], [Appendix], September 2008

    Fixed-income, TIPS, inflation risk:

    • Inflation risk premium: Evidence from the TIPS market, with Jing-zhi Huang, [PDF], Under review, November 2010
      • Award for the outstanding financial institutions paper, Eastern Finance Association, May 2009

    • The information content of the embedded deflation option in TIPS, with Joel Vanden and Jianing Zhang, [PDF], Under review, May 2011
      • EFA 2010 Frankfurt Meetings paper
      • FIRS 2011 Sydney Meetings paper

    Macro-finance:

    • Asset pricing in the production economy subject to monetary shocks,  [PDF], Journal of Economics and Business, volume 63, 2011, pp. 187-216

    Corporate governance:

    • Private information trading and corporate governance in emerging markets, with Lubomir Litov and Jianping Mei, [PDF],
      • EFA 2002 Berlin Meetings paper
      • WFA 2003 Los Cabos Meetings paper
      • Revise and Resubmit, European Financial Management, April 2007

    Work in Progress:

  • Habit formation heterogeneity: Implications for aggregate asset pricing, with Eduard Dubin and Vasiliy Kartashov, April 2011
    • In this paper, we study the effect of alternative types of time nonseparability (habit formation) in preferences on asset prices in a general equilibrium economy with two agents who are heterogeneous with respect to their habit preferences. We study asset pricing implications in a complete market setting and explore the improvement of introducing heterogeneity in habit formation over the representative agent framework in terms of matching the first and second moments of aggregate asset prices, namely, interest rate, interest rate volatility, equity premium, volatility of equity return, and Sharpe ratio. The main driving force in our results is heterogeneity in time nonseparability. We model it as multiplicative and additive habit preferences, both external (catching-up with Joneses) and internal (habit persistence). Equilibrium quantities are determined by a recently developed algorithm of Dumas and Lyasoff (2010), refined to capture time nonseparability. Our results suggest that habit persistence along with habit heterogeneity provide for a considerable improvement in matching aggregate asset pricing quantities with respect to time nonseparable models with representative agent. PDF is coming soon!

  • Liquidity risks on the TIPS market, with Jing-zhi (Jay) Huang and Marco Rossi, October 2010
    • 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.

  • Misspecification analysis of the nonlinear asset pricing models, with Raymond Kan and Cesare Robotti, August 2010
    • 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
    • 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.

    Last updated: May 15, 2011