|I am currently an Assistant Professor of Finance at Terry College of Business, University of Georgia.
I earned my PhD in Finance from Simon School of Business,
University of Rochester, in June 2008 and was admitted to the Beta Gamma Sigma society. I joined UGA in July 2008.
I also hold Master of Science degree in Finance from University of Rochester (2006),
Master of Arts degree in Economics from New Economic School
(2003, cum laude), and Bachelor of Arts degree in Economics from
Lomonosov Moscow State University (2002, summa cum laude).
My work centers around the idea that firms with high levels of firm-specific uncertainty and abundant real options
beat the CAPM when expected aggregate volatility increases, and therefore serve as a hedge against aggregate volatility
risk. The two-factor ICAPM with the aggregate volatility risk factor appears capable of explaining many important anomalies,
such as the value effect, the small growth anomaly, the new issues puzzle, the idiosyncratic volatility discount of Ang et al.
(JF 2006) and the analyst disagreement effect of Diether et al. (JF 2002). The two-factor ICAPM is also able to explain why
many anomalies are stronger for the firms with low institutional ownership or high costs of short sale.