Faculty Profile



Dr. Sirmans joined the Walton College of Business in 2014 as an Assistant Professor of Finance. He currently teaches International Finance and MBA Advanced Corporate Finance. He received his PhD in Finance from the University of Florida in 2014.

His research has been featured in conferences across the U.S., Europe and Asia. Dr. Sirmans has earned or been nominated for multiple awards, such as the WRDS Best Paper in Empirical Finance in 2013 for his paper "Exodus from Sovereign Risk".

Research Areas

Investments, Corporate Finance, Financial Distress, Credit Default Swaps, Global Finance, Law and Finance, Real Estate


Research Projects

  • Exodus from Sovereign Risk
    Jongsub Lee, Andy Naranjo, Stace Sirmans
    Journal of Finance, forthcoming

    2013 WRDS Best Paper in Empirical Finance

    Using 5-year credit default swap (CDS) spreads on 2,364 companies in 54 countries during 2004--2011, we show 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) reduce their CDS spreads by 40 bps for a one standard deviation increase in their exposure on the two channels. These channels capture distinct effects beyond those associated with firm- and country-level fundamentals. Overall, we find 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)

  • Determinants of Mortgage Interest Rates
    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

  • Related Securities and the Cross-Section of Stock Return Momentum New!
    Jongsub Lee, Andy Naranjo, Stace Sirmans
    Latest Version: Nov 2015

    We show that related securities – stock and credit default swap (CDS) whose prices are linked through a common firm fundamental – provide important cross-sectional information on which stocks exhibit continuing price momentum or reversal. Using 1,074 U.S. firms during 2003-2014, we find that a joint-market stock momentum strategy that buys (sells) stock/CDS joint-return winners (losers) avoids crashes (Daniel and Moskowitz, 2014) and outperforms traditional stock momentum strategies (Jegadeesh and Titman, 1993) by 122 bps per month with an annualized Sharpe ratio of 0.83. For “disjoint” entities whose past stock returns disagree with past CDS returns, we find greater option-like payoff risks in market downturns (Daniel and Moskowitz, 2014) and that the discrepancy between their stock-implied CDS spreads and market CDS spreads widened, then corrected by subsequent price reversals. We present a new stock trading strategy that 50-50 mixes the joint-market momentum trades with contrarian trades on “disjoint” entities, yielding 135 bps per month with an annualized Sharpe ratio of 1.11. Our findings are consistent with a notion that related securities might reduce stock price efficiency and cause excess volatility (Goldstein, Li, and Yang, 2013).

    Auburn University, 2015 Southern Finance Association (Captiva Island, Florida)

  • CDS Momentum: Slow Moving Credit Ratings and Cross-Market Spillovers
    Jongsub Lee, Andy Naranjo, Stace Sirmans
    Latest Version: Sep 2014

    2014 FMA Best Paper in Investments (Previous Version)

    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), 2014 XXIII International Rome Conference on Money, Banking and Finance (Rome, Italy), 2015 American Economic Association (Boston, Massachusetts)

  • Maturity Clienteles in the Municipal Bond Market
    David T. Brown, Stace Sirmans
    Latest Version: July 2013

    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)


  • International Finance
    Semester: Spring 2016

    This course covers principles of finance from the perspective of a multinational corporation or an investor in foreign financial markets. Knowledge of international finance is a fascinating subject and is becoming increasingly important as global economies become more integrated. Much of the class will have the feel of a course in political science. We will start by discussing aspects of the global financial environment, such as exchange rate markets, monetary policy, and macroeconomic conditions. Then, we will explore issues with managing a multinational firm, such as political and currency exposures and obtaining foreign financing.

    Multinational Business Finance (Edition 14) with MyFinanceLab

    CNN Money World News
    International Business Times
    CNBC World News & Analysis
    Financial Times Global Economy

  • Advanced Corporate Finance
    FINN5303 / FINN4233
    Semester: Spring 2015

    This course dives into key concepts of applied corporate finance not previously introduced in the prerequisite Corporate Finance course. We will examine the most common valuation methodologies used on Wall Street and learn how they are used for investments in venture capital, IPOs, mergers & acquisitions, real estate, and distressed securities. These skills are critical for corporate executives looking to create value, investment bankers assisting in raising capital, and hedge fund professionals seeking a good investment opportunity. Together, we will go through each step in the valuation process while discussing cases and real-world examples along the way.

    Prerequisite: FINN3043 or FINN 5203 (MBA).

    Coming Soon.