Stace Sirmans

Assistant Professor of Finance


Sam M. Walton College of Business, University of Arkansas


Stace Sirmans

WCOB 353
University of Arkansas
Fayetteville, AR 72701
(850) 459-2039

Stace Sirmans

FACULTY PROFILE

Stace Sirmans is an Assistant Professor of Finance in the Sam M. Walton College of Business at the University of Arkansas. Dr. Sirmans received his PhD from the University of Florida in 2014.

Dr. Sirmans specializes in credit risk, global corporate finance, and investments, with a focus on information flow and liquidity. His latest research examines such topics as quantitative investment strategies between credit and equity markets, the impact of sovereign risk on corporate finance, and the global integration of financial markets.

Dr. Sirmans's research has been featured in conferences across the U.S., Europe and Asia. He has been awarded or nominated for multiple awards, such as the 2013 WRDS Best Paper in Empirical Finance.

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


EXPERIENCE

Assistant Professor of Finance
Sam M. Walton College of Business
University of Arkansas
Courses Taught: Advanced Corporate Finance (MBA), International Finance

AUGUST 2014 - PRESENT



EDUCATION

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

JUNE 2014

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

MAY 2009



AWARDS
WRDS

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.
WRDS

FMA Best Paper in Investments - Semifinalist

The Financial Management Association (FMA), a global leader in developing and disseminating knowledge about financial decision making, recognized "CDS Momentum: Slow Moving Credit Ratings and Cross-Market Spillovers" by Jongsub Lee, Andy Naranjo, and Stace Sirmans as a semifinalist for the best paper in investments award to be presented at the 2014 annual meeting.



WORKING PAPERS
Exodus from Sovereign Risk: Global Asset and Information Networks in the Pricing...
Jongsub Lee, Andy Naranjo, Stace Sirmans
Journal of Finance (revise & resubmit)
Abstract
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.

Conferences
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)

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

Awards
2014 FMA Best Paper in Investments - Semifinalist
Maturity Clienteles in the Municipal Bond Market: Term Premiums and the Muni Puzzle
David T. Brown, Stace Sirmans
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 University of Florida Seminar (Gainesville, Florida)
2013 Municipal Finance Conference (Boston, Massachusetts)



PUBLICATIONS
Determinants of Mortgage Interest Rates: Treasuries versus Swaps
Stace Sirmans, Stanley D. Smith, G. Stacy Sirmans
Journal of Real Estate Finance and Economics
Abstract
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.

Conferences
2012 American Real Estate Society

TEACHING
Advanced Corporate Finance
FINN4233 / FINN5303 (MBA/EMBA)
Spring 2015, Wednesday 6:00pm-8:50pm
Course Description
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).

Required Textbook
Investment Valuation: Tools and Techniques for Determining the Value of Any Asset, 3rd Edition
Aswath Damodaran
ISBN: 978-1-118-13073-5

International Finance
FINN3703
Spring 2015, Tuesday/Thursday
Course Description
Introduction to international financial markets, exchange rates and exchange rate determination, balance of trade measures, and vehicles for foreign trade financing.

Course Materials
Coming soon.

Copyright 2014, Stace Sirmans