| I am currently a PhD candidate at W. E. Simon School of Business Administration, University of Rochester.
I defended my thesis proposal in May 2007 and expect to complete my thesis in Summer 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 thesis uses the concept of aggregate volatility risk to explain why high idiosyncratic volatility firms
earn low expected returns. I show both theoretically and empirically that high idiosyncratic volatility hedges
the firms from earning low returns during increases in expected aggregate volatility. The aggregate volatility
risk proves useful in explaining several related anomalies, including the abysmal returns of small growth firms,
IPOs, SEOs, etc.
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