Alexander Barinov

Ph.D., Finance, University of Rochester, 2008 (Expected)

M.Sc., Finance, University of Rochester, 2006

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

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

 A. Working Papers

1. Idiosyncratic Volatility, Growth Options, and the Cross-Section of Returns, Job Market Paper

   I develop a real options model showing that high idiosyncratic volatility lowers conditional betas of growth options and their exposure to aggregate volatility risk. I predict and find that the idiosyncratic volatility discount is much stronger for growth firms and is absent for value firms. I show empirically that the exposure to the aggregate volatility risk completely explains the idiosyncratic volatility discount and the stronger idiosyncratic volatility discount for growth firms. Aggregate volatility risk also partly explains the stronger value effect for high volatility firms. I also find that high volatility, growth, and especially high volatility growth firms have much lower betas in recessions.

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

   I show that the aggregate volatility risk factor (BVIX factor) explains the well-known underperformance of small growth firms. The BVIX factor also reduces the underperformance of IPOs and SEOs by 45% and makes it statistically insignificant. The BVIX factor is unrelated to the investment factor proposed by Lyandres, Sun, and Zhang (2007) and has similar explanatory power. The BVIX factor is more helpful than the investment factor in explaining stronger new issues underperformance for small firms and growth firms. The investment factor is better at capturing the change in the underperformance in event time. The BVIX factor is also successful in explaining low returns to high cumulative issuance firms and the stronger cumulative issuance puzzle for growth firms.

 B. Work in Progress

1. The Idiosyncratic Volatility Discount and the Size Effect

2. Idiosyncratic Volatility and Continuation Anomalies

3. Idiosyncratic Volatility, Growth Options, and Earnings Announcements

4. The Idiosyncratic Volatility Discount and Conservative Accounting

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

• 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

Ad-hoc reviewer, Journal of Accounting and Economics

Prof. Gregg A. Jarrell (Simon School, University of Rochester) and Prof. Gennaro Bernile (University of Miami), 2006-2007
Job Description: Collected data on LBOs from proxy statements

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

MBA and undergraduate level:

• Capital Markets
• Probability and Statistics
• Econometrics
• Microeconomics
• International Finance
• Capital Budgeting

PhD level:

• Empirical Asset Pricing
• Financial Econometrics

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@simon.rochester.edu

Prof. Jerold B. Warner (thesis committee member)
Professor of Finance
CS-3-160H Carol Simon Hall
William E. Simon School of Business
University of Rochester
Rochester, NY 14627
Phone: (585) 275-2678
Email: jerry.warner@simon.rochester.edu

Prof. John B. Long (thesis committee member)
Professor of Finance and Economics
CS-3-208 Carol Simon Hall
William E. Simon School of Business
University of Rochester
Rochester, NY 14627
Phone: (585) 275-3358
Email: john.long@simon.rochester.edu