Stace Sirmans

Ph.D. Candidate in Finance

Warrington College of Business, University of Florida


Stace Sirmans is a Ph.D. Candidate in Finance at the University of Florida. His research is centered around the role of credit risk in financial markets and has been featured in a number of conferences, such as the SFS Cavalcade and the WU Gutmann Symposium.

Research Areas: Investments, Corporate Finance, Credit Risk, Credit Default Swaps, International Finance, Law and Finance, Real Estate

Stace Sirmans


Assistant Professor of Finance
Sam M. Walton College of Business
University of Arkansas



Ph.D., Finance
University of Florida, Warrington College of Business
Dissertation: Credit Risk Effects in Corporate Finance & Investments


B.S., Finance
Florida State University, College of Business
Minors: Mathematics, Statistics

MAY 2009


WRDS Best Paper in Empirical Finance

Wharton Research Data Services (WRDS), the leading data research platform and business intelligence tool for corporate, academic and government institutions worldwide, awarded the Best Paper Award for Empirical Research to Jongsub Lee, Andy Naranjo, and Stace Sirmans for "The Exodus from Sovereign Risk" at the Southern Finance Association conference on November 22, 2013.

The Exodus from Sovereign Risk
Jongsub Lee, Andy Naranjo, Stace Sirmans
Journal of Finance (revise & resubmit)
This paper examines sovereign ceiling violations (SCVs) in credit default swap (CDS) markets, whereby private sector firms have lower CDS spreads relative to their sovereign counterparts with equal contractual terms. Using 5-year CDS spreads on 2,364 companies in 54 countries during 2004-2011, we find that firms exposed to better property rights institutions through their foreign asset positions (Institutional channel) and firms whose stocks are listed on exchanges with stricter disclosure requirements (Informational channel) tend to violate the sovereign ceiling rule. Our results suggest that firm-level global asset and information connections are important mechanisms to delink firms from their sovereign risk.

2013 SFS Finance Cavalcade (Miami, Florida)
2013 WU Gutman Symposium (Vienna, Austria)
2013 China International Conference in China (Shanghai, China)
2013 Southern Finance Association (Puerto Rico, USA)

2013 WRDS Best Paper in Empirical Finance

CDS Momentum: Slow Moving Credit Ratings and Cross-Market Spillovers
Jongsub Lee, Andy Naranjo, Stace Sirmans
Working Paper New!
We show that endogenous information signaling in the CDS market, together with sluggish updates on corporate credit ratings assigned by major rating agencies, creates anomalies such as return momentum within the CDS market and across CDS-to-stock return momentum. Using 5-year credit default swap (CDS) contracts on 1,247 U.S. firms from 2003 to 2011, a three-month formation and one-month holding period CDS momentum strategy yields 52 bps per month with a Sharpe ratio of 0.423. The performance is better for entities with lower credit ratings (83 bps per month), high CDS depth (80 bps per month), and during the financial crisis (97 bps per month). Furthermore, our cross-market tests show that by incorporating past CDS returns into the stock momentum portfolio formation process, traditional stock momentum strategies avoid abrupt losses during the crisis period and improve their performance by a net of 104 bps per month. This joint-market momentum strategy is particularly profitable for entities with high CDS depth. Importantly, we show that both within the CDS market and CDS-to-stock joint-market, momentum profits exist because CDS returns correctly anticipate future credit rating changes. This mechanism completely differentiates CDS momentum from bond return momentum.

2014 Financial Management Association (Nashville, Tennessee) ~ Scheduled
Maturity Clienteles in the Municipal Bond Market: Term Premiums and the Muni Puzzle
David T. Brown, Stace Sirmans
Working Paper
This paper finds empirical support for the idea that term premiums arise when an excess supply of long-term bonds forces shorter holding period investors to bear price risk. The empirical support comes from the tax-exempt (municipal) bond market where an ex-ante measure of the expected excess return on long maturity bonds is significantly and negatively related to the size of the positions held by long holding period investors (property and casualty insurance companies) and hence negatively related to the extent that short holding period investors are required to hold long-term bonds. The required excess returns on longer term bonds (term premiums) would cause implied marginal tax rates to decline with maturity and thus are a new potential explanation for at least part of the “muni puzzle” (Chalmers, 1998).

2012 Midwest Finance Association (New Orleans, Louisiana)
2012 University of Florida Seminar (Gainesville, Florida)
2013 Municipal Finance Conference (Boston, Massachusetts)

Determinants of Mortgage Interest Rates: Treasuries versus Swaps
Stace Sirmans, Stanley D. Smith, G. Stacy Sirmans
Journal of Real Estate Finance and Economics
The 10-year Treasury rate has long been considered the primary determinant of 30-year mortgage interest rates. The contemporaneous 10-year LIBOR swap rate is shown to better explain the contemporaneous mortgage rate than the contemporaneous 10-year Treasury rate. This result appears to hold over most of the sample period, 1987–2011, using a variety of statistical tests. Given the long-held belief that the mortgage rate is best explained by the 10-year Treasury rate, this paper makes an important contribution to the literature by demonstrating that the swap rate is superior.

2012 American Real Estate Society


stacesirmans (at)
stace.sirmans (at)

303J Stuzin Hall
University of Florida
Gainesville, Florida


Copyright 2014, Stace Sirmans