Jacob S. Sagi

FMRC Associate Professor of Finance

Owen School of Management

Vanderbilt University

401 21st Avenue South

Nashville, TN 37203

Tel: 615.343.9387

Fax: 615.343.7177


Email:  Jacob.Sagi@Owen.Vanderbilt.edu

 

 

 

 RESEARCH INTERESTS

 

 TEACHING

 

·       Real estate finance and capital markets (Mod 4)

·       Bond Markets (Mods 2 & 4)

·       Derivatives (Mods 2 & 4)

 

  VITA

PAPERS AND PUBLICATIONS 

ASSET PRICING     

Published

·       “Modern Asset Pricing and Project Evaluation in the Energy Industry”, Journal of Energy Literature (2000), vol. 6, pp. 3-46 (with David Laughton and Michael Samis).

·       “Asset Pricing With Unforeseen Contingencies”, Journal of Financial Economics (2006), 82, 417-453 (with Alan Kraus).

·       “Firm Specific Attributes and the Cross-Section of Momentum”, Journal of Financial Economics (2007), 84, 389-434 (with Mark S. Seasholes).

·        “A Liquidity-Based Theory of Closed-End Funds”,  Review of Financial Studies (2009), 1, 257-299 (with Martin Cherkes and Richard H. Stanton)

Ψ  Winner of the ‘Best Paper’ award at the 2006 Utah Winter Finance Conference

·       “Trading Relative Performance with Alpha Indexes”, forthcoming at the Financial Analyst Journal, (with Robert E. Whaley).

 

Working papers

·        “The Interaction Between Quality Control and Production”,  mimeo

·        “Endogenous Regime Changes in the Term Structure of Real Interest Rates”, mimeo (with Jorgen Haug)

·       “Do Fund Managers Make Informed Asset Allocation Decisions?”, mimeo (with Bradyn Breon-Drish)

·        “A Neoclassical Model of Managed Distribution Plans: Theory and Evidenced” (with Martin Cherkes and Jay Wang)

·       “Dynamic Corporate Capital Stocks: Cross-sectional and Inter-temporal Return Patterns” (with Matt Spiegel and Masa Watanabe)

·       “Information Content of Public Firm Disclosures and the Sarbanes-Oxley Act” (with Shimon Kogan, Bryan Routledge, and Noah Smith)

 

DECISION THEORY

Published

·       “What is an ‘Endogenous State Space’? ”, Economic Theory (2006), vol. 27, pp. 305-320.

·       “Event Exchangeability: Probabilistic Sophistication without Continuity or Monotonicity”, Econometrica  (2006), vol. 74, pp. 771-786 (with Chew, Soo Hong)

·       “Anchored Preference Relations”, Journal of Economic Theory  (2006), vol. 130, pp. 283-295

·       “Inter-temporal Preference for Flexibility and Risky Choice”, Journal of Mathematical Economics (2006), vol. 42, pp. 698-709           (with Alan Kraus)

·       “Small worlds: modeling attitudes toward sources of uncertainty”, Journal of Economic Theory (2008), vol 139, pp. 1–24, (with Chew, Soo Hong)

Ψ  The 2003 version

·       “An Inequality Measure for Stochastic Allocations”, forthcoming at the Journal of Economic Theory, (with Chew, Soo Hong)

 

Working papers

·        “Modeling implications of source-invariance to Machina's `almost objective fair bets'”, mimeo.

 

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Last updated May 14, 2011