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Vladimir Sokolov, PhD

      1. Research Interests: International economics, financial economics, monetary economics.


International macroeconomics

  • Levy-Yeyaty . E., Sturzenegger, F., (2003) “To Float or To Fix: Evidence on the Impact of Exchange Rate Regimes on Economic Growth”, American Economic Review 93/4, p. 1173-1193.

  • Hausmann, R., Panizza, U., Stein, E., (2001) “Why do Countries Float the Way They Float?”, Journal of Development Economics, 66, pp. 387-414.

  • Frankel, J., (2003), “Experience and Lessons from Exchange Rate Regimes in Emerging Economies”, NBER Working Paper 10032.

  • Obstfeld, M., Rogoff, K., (2001) “Six Major Puzzles in International Macroeconomics: Is There a Common Cause?”, NBER Working Paper 7777.

Interest rates

  • Campbell, J., Shiller, R., (1991) “Yield Spreads and Interest Rate Movements”, The Review of Economic Studies, Vol. 58/3, pp. 495-514.

  • Fama, E., Bliss, R., (1987) “The Information in Long Maturity Forward Rates”, American Economic Review, 77, pp. 680-692.

  • Backus, D., Foresi, S., Mozamdar, A., Wu, L., (2001) “Predictable Changes in Yields and Forward Rates”, Journal of Financial Economics, 59, pp. 281-311.

Financial markets

  • Grossman, S., (1976), “On the Efficiency of the Competitive Stock Market Where Traders Have Diverse Information”, Journal of Finance 32/2 pp. 573-585.

  • Townsend, R., (1983), “Forecasting Forecasts of the Others”, Journal of Political Economy 91/4, pp. 546-588.

  • Wang, J., (1993), “A Model of Intertemporal Asset Prices Under Asymmetric Information”, The Review of Economic Studies, 60/2, pp. 249-282.

  • Baxter M., Rennie., A., Financial Calculus. An Introduction to Derivative Pricing, Cambridge University Press.

  • Neftci S., An Introduction to Mathematics of Financial Derivatives. Academic Press

  • Jarrow, R., Modeling Fixed-Income Securities and Interest Rate Options. Stanford University Press

Carsten Sprenger, PhD

Research Interests: Corporate Governance, Corporate Finance, Financial Economics, Risk Management, Financial Sector Development; Natural Resources and Economic Development


State-owned entreprises

  • Bartel, Ann P., and Ann E. Harrison (2005), Ownership versus Environment: Disentangling the Sources of Public-Sector Inefficiency, The Review of Economics and Statistics, 87(1): 135–147.

  • Boardman, Anthony E., and Aidan R. Vining (1989) Ownership and Performance in Competitive Environments: A Comparison of the Performance of Private, Mixed, and State-owned Enterprises, Journal of Law and Economics, 32, 1-33.

  • Kole, Stacey R., and J. Harold Mulherin (1997), The Government as a Shareholder: A Case from the United States, 40, 1-22.

  • Tian and Estrin (2008), Retained state shareholding in Chinese PLSs: Does government ownership always reduce corporate value?, Journal of Comparative Economics, 36, 74-89.

  • Vagliasindi, Maria (2007): Governance Arrangements for State Owned Enterprises, World Bank Policy Research Working Paper No. 4542 and referenes therein

Entrepreneural activity and motivation

  • Prendergast, Canice (2009): Intrinsic Motivation and Incentives, American Economic Review: Papers & Proceedings 2008, 98:2, 201–205.

  • Cassar, Gavin (2007): Money, money, money? A longitudinal investigation of entrepreneur career reasons, growth preferences and achieved growth, Entrepreneurship and Regional Development, 19, 89-107.

  • Chernykh, Lucy (2008), Ultimate Ownership and Control in Russia, Journal of Financial Economics 88 , 169-192.

  • Brown/Earle/Telegdy (2006): The Productivity Effects of Privatization: Longitudinal Estimates from Hungary, Romania, Russia, and Ukraine, Journal of Political Economy, 114(1).

  • Edmans, Alex and Gustavo Manzo (2008): Governance Through Exit and Voice: A Theory of Multiple Blockholders, http://ssrn.com/abstract=1102730 and references therein.

  • Meyersson Milgrom, Eva, Paul Milgrom, and Ravi Singh (2007): When Should Control Be Shared? Working Paper

  • Arnoud W. A. Boot, Radhakrishnan Gopalan, and Anjan V. Thakor (2006): The Entrepreneur’s Choice between Private and Public Ownership, Journal of Finance, 61(2)

Credit Risk Modeling

  • Merton R. (1974) On “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates.” Journal of Finance (June 1974): 449–470. Any ideas on how to apply such models (and others) in emerging markets with limited information content of many stock prices and few option contracts traded are welcome.

Volatility, investment, and growth in natural resource exporting countries.

  • Devlin, Julia, and Michael Lewin (2004): Managing Oil Booms and Busts in Developing Countries, The World Bank (and references therin)

  • Matsen, Egil, and Ragnar Torvik (2005): Optimal Dutch Disease, Journal of Development Economics.

  • van der Ploeg, Frederick, and Steven Poelhekke (2007): Volatility, Financial Development and the Natural Resource Curse, Working Paper, European University Institute and CEPR Discussion Paper No. 6513.

Stanimir Morfov, PhD

Research Interests: Executive compensation, contract theory, computation


Executive compensation: amount, structure, cross-sectional variation, dynamics, pay-performance sensitivity

  • Dittmann, I., Maug, E. and O. Spalt (2010): “Sticks or Carrots? Optimal CEO Compensation when Managers Are Loss Averse,” Journal of Finance, 65(6), 2015-2050.

  • Clementi, J. and T. Cooley (2010): “Executive Compensation: Facts,” New York University, Mimeo.

  • Dittmann, I. and E. Maug (2007): “Lower Salaries and No Options? On the Optimal Structure of Executive Pay,” Journal of Finance, 62 (1), 303-343.

  • Clementi, G., Cooley T. and C. Wang (2006): “Stock grants as a commitment device,” Journal of Economic Dynamics and Control, 30 (11), 2191-2216.

  • Aseff, J. and M. Santos (2005): “Stock Options and Managerial Optimal Contracts,” Economic Theory, 26 (4), 813-837.

  • Hall, B. and K. Murphy (2003): “The Trouble with Stock Options,” Journal of Economic Perspectives, 17 (3), 49-70.

  • Margiotta, M. and R. Miller (2000): “Managerial Compensation and the Cost of Moral Hazard,” International Economic Review, 41, 669-719.

  • Murphy, K. (1999): “Executive Compensation,” in Handbook of Labor Economics, Vol. 3B, ed. by O. Ashenfelter and D. Card. Amsterdam: Elsevier Science B. V.

  • Hall, B and J. Liebman (1998): “Are CEOs Really Paid like Bureaucrats?” Quarterly Journal of Economics, 111, 653-693.

  • Wang, C. (1997): “Incentives, CEO Compensation, and Shareholder Wealth in a Dynamic Agency Model,” Journal of Economic Theory, 76, 72-105.

  • Chiappori, P., Macho-Stadler, I, Rey, P. and B. Salanié (1994): “Repeated Moral Hazard: the Role of Memory, Commitment, and the Access to Credit Markets”, European Economic Review, 38, 1527-1553.

  • Gibbons, R. and K. Murphy (1992): “Optimal Incentive Contracts in the Presence of Career Concerns: Theory and Evidence,” Journal of Political Economy, 100 (3), 468-505.

  • Jensen M. and K. Murphy (1990): “Performance pay and top management incentives,” Journal of Political Economy, 98, 225-264.

Relative performance evaluation

  • R. Antle, A. Smith, An empirical investigation of the relative performance evaluation of corporate executives, J. Acc. Res. 24 (1986), 1-39.

  • R. Aggarwal, A. Samwick, Executive compensation, strategic competition, and relative performance evaluation: Theory and evidence, J. Finance 54 (1999), 1999-2043.

  • R. Aggarwal, A. Samwick, The other side of the trade-off: the impact of risk on executive compensation, J. Polit. Economy 107 (1999), 65-105.

  • J. Barro, R. Barro, Pay, performance and turnover of bank CEOs, J. Lab. Econ. 8 (1990), 448-481.

  • M. Celentani, R. Loveira, A simple explanation of the relative performance evaluation puzzle, Rev. Econ. Dynam. 9 (2006), 525-540.

  • D. De Angelis, Y. Grinstein, Relative Performance Evaluation in CEO Compensation: Evidence from the 2006 Disclosure Rules, Mimeo, Cornell University, 2010.

  • G. Feltham, J. Xie, Performance measure congruity and diversity in multi-task principal/agent relations, Acc. Rev. 69 (1994), 429-453.

  • J. Garen, Executive compensation and principal-agent theory, J. Polit. Economy 102 (1994), 1175-1199.

  • G. Garvey, T. Milbourn, Incentive compensation when executives can hedge the market: Evidence of relative performance evaluation in the cross-section", J. Finance 58 (2003), 1557-1582.

  • R. Gibbons, K. Murphy, Relative performance evaluation for chief executive officers, Ind. Lab. Relat. Rev. 43 (1990), 30S-51S.

  • C. Himmelberg, R. Hubbard, Incentive pay and the market for CEOs: An analysis of pay-for-performance sensitivity, Mimeo, Columbia University, 2000.

  • B. Holmstrom, Moral hazard in teams, Bell J. Econ. 13 (1982), 324-340.

  • B. Holmstrom, P. Milgrom Aggregation and linearity in the provision of intertemporal incentives, Econometrica 55 (1987), 303-328.

  • S. Janakiraman, R. Lambert, D. Larcker, An empirical investigation of the relative performance evaluation hypothesis, J. Acc. Res. 30 (1992), 53-69.

  • M. Jensen, K. Murphy, Performance pay and top-management incentives, J. Polit. Economy 98 (1990), 225-264.

  • L. Jin, CEO compensation, diversification and incentives, J. Finan. Econ. 66 (2002), 29-63.

  • S. Joh, Strategic managerial incentive compensation in Japan: Relative performance evaluation and product market collusion, Rev. Econ. Statist. 81 (1999), 303-313.

  • R. Lambert, D. Larcker, An analysis of the use of accounting and market measures of performance in executive compensation contracts, J. Acc. Res. 25 (1987), 85-129.

  • E. Maug, The relative performance puzzle, Schmalenbach's Bus. Rev. 52 (2000), 3-24.

  • P. Oyer, Why do firms use incentives that have no incentive effects, J. Finance 59 (2004), 1619-1649.

  • A. Rappaport, New thinking on how to link executive pay with performance, Harvard Bus. Rev. 77 (1999), 91-101.

  • V. Salas Fumas, Relative performance evaluation of management: The effects on industrial competition and risk sharing, Int. J. Ind. Organ. 10 (1992), 473-489.

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