This is me

Stace Sirmans

Ph.D. Candidate in Finance

Warrington College of Business
University of Florida


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

Address:
303J Stuzin Hall
Gainesville, FL 32611

Phone:
+1 (850) 459-2039

E-mail:
stace.sirmans@warrington.ufl.edu

Education

Ph.D., Finance

2014

University of Florida

Dissertation: "Credit Risk Effects in Corporate Finance & Investments"


B.S., Finance

2009

Florida State University

Minors: Mathematics and Statistics



Research

"The Exodus from Sovereign Risk: Sovereign Ceiling Violations in Credit Default Swap Markets"
(with Jongsub Lee and Andy Naranjo)
Journal of Finance (Revise & resubmit)

ABSTRACT:
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.

CONFERENCES:
2013 SFS Finance Cavalcade (Miami, Florida)
2013 WU Gutmann Symposium (Vienna, Austria)
2013 China International Conference in Finance (Shanghai, China)
2013 Southern Finance Association (San Juan, Puerto Rico)

AWARDS:
2013 WRDS Best Paper in Empirical Finance


"CDS Momentum: Slow Moving Credit Rating and Cross-Market Spillovers"
(with Jongsub Lee and Andy Naranjo)
Working Paper

ABSTRACT:
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.

CONFERENCES:
2014 Financial Management Association (Scheduled)


"Maturity Clienteles in the Municipal Bond Market: Term Premiums and the Muni Puzzle"
(with David T. Brown)
Working Paper

ABSTRACT:
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).

CONFERENCES:
2012 Midwest Finance Association (New Orleans, Louisiana)
2012 UF Finance Department Seminar (Gainesville, Florida)
2013 Municipal Finance Conference (Boston, Massachusetts)



Publications

"Determinants of Mortgage Rates: Treasury vs Swaps"
(with Stacy Sirmans and Stan Smith)
Journal of Real Estate Finance & Economics

CONFERENCES:
2012 American Real Estate Society (Ft. Lauderdale, Florida)


Awards

  • WRDS Best Paper in Empirical Finance
    Southern Finance Association, 2013

Teaching Experience

  • Instructor:
  • Debt & Money Markets (2013)
    Student Evaluations: 4.5 out of 5
  • . . . . . . . . . . . . . .
  • Teaching Assistant:
  • David T. Brown (2009-2012)
    Andy Naranjo (2011-2013)
    Miles Livingston (2012-2013)

Technical Skills

  • Programming:
  • Stata, SAS, Latex
  • . . . . . . . . . . . . . .
  • Databases:
  • Compustat, CRSP, Worldscope, Datastream, Markit, Thomson, Bloomberg
  • . . . . . . . . . . . . . .
  • Languages:
  • English
    Spanish (conversational)

Professional Service

  • Ad-Hoc Reviewer:
  • Journal of Real Estate Finance & Economics

Working Papers


"The Exodus from Sovereign Risk: Sovereign Ceiling Violations in Credit Default Swap Markets"
(with Jongsub Lee and Andy Naranjo)
Journal of Finance (Revise & resubmit)

ABSTRACT:
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.

CONFERENCES:
2013 SFS Finance Cavalcade (Miami, Florida)
2013 WU Gutmann Symposium (Vienna, Austria)
2013 China International Conference in Finance (Shanghai, China)
2013 Southern Finance Association (San Juan, Puerto Rico)

AWARDS:
2013 WRDS Best Paper in Empirical Finance


"CDS Momentum: Slow Moving Credit Rating and Cross-Market Spillovers"
(with Jongsub Lee and Andy Naranjo)
Working Paper

ABSTRACT:
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.

CONFERENCES:
2014 Financial Management Association (Scheduled)


"Maturity Clienteles in the Municipal Bond Market: Term Premiums and the Muni Puzzle"
(with David T. Brown)
Working Paper

ABSTRACT:
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).

CONFERENCES:
2012 Midwest Finance Association (New Orleans, Louisiana)
2012 UF Finance Department Seminar (Gainesville, Florida)
2013 Municipal Finance Conference (Boston, Massachusetts)


Publications


"Determinants of Mortgage Rates: Treasury vs Swaps"
(with Stacy Sirmans and Stan Smith)
Journal of Real Estate Finance & Economics

CONFERENCES:
2012 American Real Estate Society (Ft. Lauderdale, Florida)


Send me an email!

303J Stuzin Hall
Warrington College of Business Administration
University of Florida
Gainesville, FL 32611

www.stacesirmans.com

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