|I am currently an Associate Professor of Finance at A. Gary Anderson School of Business Administration, University of California Riverside. Prior to joining UCR in 2015, I spent seven great years (2008-2015) as 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 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 option-like equity 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 profitability effect, the distress risk puzzle, 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).