Curricullum Vitae

Alexander Barinov

This version: April 7, 2014

Office Address:
438 Brooks Hall
Terry College of Business
University of Georgia
Athens, GA 30602

Home address:
103 Deer Hollow Rd
Bogart, GA 30622

Cell:  585-698-7726
Email: abarinov@uga.edu

  EDUCATION

Ph.D., Finance, Simon School of Business, University of Rochester, 2008, Beta Gamma Sigma

M.Sc., Finance, Simon School of Business, University of Rochester, 2006

M.A., Economics, New Economic School, 2003, Cum Laude

B.A., Economics, Lomonosov Moscow State University, 2002, Summa Cum Laude

  Academic Appointments

2008 - present    Assistant Professor of Finance, Terry College of Business, University of Georgia

  Research Papers

 A. Publications

  1. Turnover: Liquidity or Uncertainty? Management Science, forthcoming

    I show that turnover is unrelated to several alternative measures of liquidity and liquidity risk and that liquidity risk factors cannot explain why higher turnover predicts lower future returns. I find that the aggregate volatility risk factor explains why higher turnover predicts lower future returns. I also find that the negative relation between turnover and future returns is stronger for firms with high market-to-book or bad credit rating and these regularities are also explained by the aggregate volatility risk factor.

  2. Analyst Disagreement and Aggregate Volatility Risk  Journal of Financial and Quantitative Analysis, forthcoming

    The paper explains why firms with high dispersion of analyst forecasts earn low future returns. These firms beat the CAPM in the periods of increasing aggregate volatility and thereby provide a hedge against aggregate volatility risk. The aggregate volatility risk factor can explain the abnormal return differential between high and low disagreement firms. This return differential is higher for the firms with abundant real options, and this fact can be explained by aggregate volatility risk. Aggregate volatility risk is also capable of explaining why the link between analyst disagreement and future returns is stronger for firms with high short-sale constraints.

  3. Aggregate Volatility Risk: Explaining the Small Growth Anomaly and the New Issues Puzzle Journal of Corporate Finance, 2012, v. 18 (4), pp. 763-781

    The paper shows that new issues earn low expected returns because they are a hedge against increases in expected aggregate volatility. Consistent with that, the ICAPM with the aggregate volatility risk factor can explain the new issues puzzle, as well as the small growth anomaly and the cumulative issuance puzzle. The key mechanism is that, all else equal, growth options become less sensitive to the underlying asset value and more valuable as idiosyncratic volatility goes up. Idiosyncratic volatility usually increases together with aggregate volatility, that is, in recessions.

 B. Working Papers

  1. Idiosyncratic Volatility, Growth Options, and the Cross-Section of Returns  (August 2013)

    Revise and resubmit at Review of Financial Studies, 3rd round

    The paper shows that the value effect and the idiosyncratic volatility discount (Ang et al., 2006) arise because growth firms and high idiosyncratic volatility firms beat the CAPM during the periods of increasing aggregate volatility. Growth options become less sensitive to the underlying asset value as idiosyncratic volatility goes up together with aggregate volatility. Hence, growth options' betas decrease more and their value decreases less in volatile times, which are typically recessions. All else equal, growth options' value also increases with volatility. The impact of both effects on the firm's value is naturally stronger for growth firms and high idiosyncratic volatility firms. The two-factor ICAPM with the market factor and the aggregate volatility risk factor completely explains the value effect and the idiosyncratic discount. The two-factor ICAPM also explains why those puzzles are stronger for the firms with high short sale constraints.

  2. High Short Interest Effect and Aggregate Volatility Risk (with Julie Wu)  (July 2013)

    Revise and resubmit at Journal of Financial Markets, 2nd round

    We propose a risk-based explanation on why stocks of firms with high relative short interest (RSI) have lower future returns. We argue that these firms have negative alphas because they are a hedge against expected aggregate volatility. Consistent with this argument, we show that these firms have high firm-specific uncertainty and real options, and the ICAPM with the aggregate volatility risk factor can explain the high RSI effect. The key mechanism is that high RSI firms have abundant growth options and, all else equal, growth options become less sensitive to the underlying asset value and more valuable as idiosyncratic volatility goes up. Idiosyncratic volatility usually increases together with aggregate volatility, i.e., in recessions.

  3. Stocks with Extreme Past Returns: Lotteries or Insurance?  (October 2013)

    Submitted to Journal of Financial Economics

    The paper shows that lottery-like stocks are hedges against unexpected increases in market volatility. The loading on the aggregate volatility risk factor explains low returns to stocks with high maximum returns in the past (Bali, Cakici, and Whitelaw, 2012) and high expected skewness (Boyer, Mitton, and Vorkink, 2010). Aggregate volatility risk also explains the new evidence that the maximum effect and the skewness effect are stronger for the firms with high short-sale constraints, high market-to-book, and low credit rating.

  4. Firm Complexity and Post-Earnings-Announcement Drift (with Shawn Park and Celim Yildizhan)  (January 2014)

    Submitted to Review of Financial Studies

    The paper shows that the post earnings announcement drift (PEAD) is stronger for conglomerates, despite conglomerates being larger, more liquid, and more actively researched by investors. We attribute this finding to slower information processing about complex firms and show that PEAD is positively related to measures of firm complexity. We also show that PEAD is stronger for new conglomerates than it is for existing conglomerates. Finally, we find that conglomerates are followed by a fewer number of analysts compared to single-segment firms of similar size and that these analysts are more likely to be non-specialists and make larger forecast errors.

  5. Why Does Higher Variability of Trading Activity Predict Lower Expected Returns?  (December 2013)

    Submitted to Journal of Banking and Finance

    The paper shows that controlling for the aggregate volatility risk factor eliminates the puzzling negative relation between variability of trading activity and future abnormal returns. I also find that variability of other measures of liquidity and liquidity risk is largely unrelated to expected returns. Lastly, I show that the low returns to the firms with high variability of trading activity are not explained by liquidity risk and mispricing stories.

  6. Institutional Ownership and Aggregate Volatility Risk  (April 2014)

    Submitted to Journal of Financial and Quantitative Analysis

    The paper shows that the difference in aggregate volatility risk can explain why several anomalies are stronger among the stocks with low institutional ownership (IO). Institutions tend to stay away from the stocks with extremely low and extremely high levels of firm-specific uncertainty because of their desire to hedge against aggregate volatility risk or exploit their competitive advantage in obtaining and processing information, coupled with the dislike of idiosyncratic risk. Thus, the spread in uncertainty measures is wider for low IO stocks, and the same is true about the differential in aggregate volatility risk.

 B. Work in Progress

  1. The Diversification Discount and Aggregate Volatility Risk (with Sheri Tice)

  2. Firm Liquidity and Issuing Activity

  3. The Idiosyncratic Volatility Discount and the Size Effect

  4. The Idiosyncratic Volatility Discount and Conservative Accounting

 Conference and Seminar Presentations

Idiosyncratic Volatility, Growth Options, and the Cross-Section of Returns

  • University of Alberta, January 2008
  • University of Washington, January 2008
  • Tulane University, February 2008
  • University of Georgia, February 2008
  • The Second Risk Management Conference in Mont Tremblant, March 2008

Aggregate Volatility Risk: Explaining the Small Growth Anomaly and the New Issues Puzzle

  • Northern Finance Association Meetings, September 2008
  • All-Georgia Finance Conference, Atlanta Fed, October 2008
  • Southern Finance Association Meetings, November 2008

Turnover: Liquidity or Uncertainty?

  • University of Florida, October 2009
  • Financial Management Association Meetings, October 2009
  • 20th Anniversary Conference on Financial Economics and Accounting, Rutgers University, November 2009
  • Southern Finance Association Meetings, November 2009
  • Eastern Finance Association Meetings, April 2010
  • 6th Annual Central Bank Workshop on the Microstructure of Financial Markets, October 2010

Analyst Disagreement and Aggregate Volatility Risk

  • 5th Mid-Atlantic Research Conference, Villanova University, March 2010
  • Eastern Finance Association Meetings, April 2010
  • Northern Finance Association Meetings, September 2010
  • Financial Management Association Meetings, October 2010
  • Southern Finance Association Meetings, November 2010
  • 7th Financial Intermediation Research Society Meetings, June 2012

Institutional Ownership and Aggregate Volatility Risk

  • Financial Management Association Meetings in Europe, June 2010
  • Southern Financial Association Meetings, November 2010
  • European Financial Management Association Meetings (EFMA), June 2011
  • II World Finance Conference, June 2011
  • Midwest Finance Association Meetings, February 2012
  • Southwestern Finance Association Meetings, March 2013
  • French Finance Association Meetings (AFFI), June 2013

Why Does Higher Variability of Trading Activity Predict Lower Expected Returns?

  • Financial Management Association Meetings in Europe (FMA Europe), June 2011
  • II World Finance Conference, June 2011
  • Financial Management Association Meetings, October 2011
  • Southern Finance Association Meetings, November 2011
  • Southwestern Finance Association Meetings, March 2013
  • Brenau University, March 2013

Short Interest and Aggregate Volatility Risk, (with Julie Wu)

  • Southern Finance Association Meetings, November 2011
  • Midwest Finance Association Meetings, February 2012
  • III World Finance Conference, July 2012
  • Financial Management Association Meetings, October 2012

Stocks with Extreme Past Returns: Lotteries or Insurance?

  • Southwestern Finance Association Meetings, March 2013
  • 8th Financial Intermediation Research Society Meetings, June 2013
  • Financial Management Association Meetings in Europe (FMA Europe), June 2013
  • Northern Finance Association Meetings, September 2013
  • Financial Management Association Meetings, October 2013
  • Southern Finance Association Meetings, November 2013

Firm Complexity and Post-Earnings-Announcement Drift, (with Shawn Park and Celim Yildizhan)

  • Financial Management Association Meetings in Europe (FMA Europe), June 2014
  • European Financial Management Association Meetings (EFMA), June 2014
  • V World Finance Conference, July 2014
  • American Accounting Association, August 2014

 Research Interests
  • Empirical asset pricing
  • Anomalies
  • Idiosyncratic volatility
  • Aggregate volatility risk
  • Capital markets research in accounting
  • Real options

 Honors and Awards
  • Outstanding Paper in Investments Award, SFA 2013, "Stocks with Extreme Past Returns: Lotteries or Insurance?"
  • Finalist, Best Paper Award, AFFI 2013, "Institutional Ownership and Aggregate Volatility Risk"
  • Alpha Kappa Psi Teaching Award, 2013
  • BB&T Summer Research Grant, 2013
  • Runner-up for the Best Paper in Market Microstructure Award, FMA 2009 ("Turnover: Liquidity or Uncertainty?")
  • Beta Gamma Sigma, University of Rochester, 2009
  • Cum laude graduation, New Economic School, 2003
  • Special Award of The Vedomosti (joint venture of The Wall Street Journal and The Financial Times in Russia), Lomonosov Student Conference, Lomonosov Moscow State University, 2003
  • Summa cum laude graduation, Moscow State University, 2002
  • Best Student Paper, Lomonosov Student Conference, Lomonosov Moscow State University, 2001
  • Moscow Mayor Scholarship, Lomonosov Moscow State University, 2000, 2001

 Professional Activities

Ad-hoc reviewer, Journal of Financial Economics (30), Review of Financial Studies (1), Journal of Accounting and Economics (1), Journal of Banking and Finance (1), Journal of Corporate Finance (1), Journal of Empirical Finance (1), Financial Review (2), Review of Financial Economics (1)

Program Committee, Southern Finance Association Meetings, 2012, 2013

 Teaching Experience

Terry College of Business, University of Georgia

Course Instructor and Developer, Trading Strategies and Financial Models, Undergraduate program, Spring 2012, Fall 2012, Spring 2013, Fall 2013, Spring 2014

Course Instructor, Survey of Investments, Undergraduate program, Spring 2009, Spring 2010, Spring 2011, Spring 2012

Course Instructor, Empirical Research in Investments, PhD program, Spring 2011, Spring 2013

Course Instructor and Developer, Trading and Risks, Freshman Seminar, Spring 2013, Fall 2013

Simon School of Business, University of Rochester

Course Instructor, Foundations of Economics, Ph.D. program, Summer 2007
Lab Instructor, Managerial Economics (Prof. James A. Brickley), MBA program, Spring 2007

 Teaching Interests

MBA and undergraduate level:

  • Investments
  • Trading
  • Derivatives
  • International Finance

PhD level:

  • Empirical Asset Pricing
  • Financial Econometrics

 REFERENCES

Prof. G. William Schwert (thesis committee chair)
Professor of Finance and Statistics
CS-3-110L Carol Simon Hall
William E. Simon School of Business
University of Rochester
Rochester, NY 14627
Phone: (585) 275-2470
Email: schwert@schwert.ssb.rochester.edu

Prof. Jeffry M. Netter
Professor of Finance
456 Brooks Hall
Terry College of Business
University of Georgia
Athens, GA 30602
Phone: (706) 542-3654
Email: jnetter@uga.edu

Prof. Paul J. Irvine
Professor of Finance
203 Tandy Hall
Neeley School of Business
Texas Christian University
TCU Box 398530
Forth Worth TX, 76129
Phone: (817) 257-7549
Email: p.irvine@tcu.edu

  PERSONAL INFORMATION
Citizenship: Russia
Permanent Residency: USA
Date of Birth: 13.09.1981
Marital Status: Married
Languages: English (fluent), Russian (native), German (working), French (working)