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

• Decision Theory: choice under risk/uncertainty, inter-temporal choice, preference for flexibility, unforeseen contingencies, Knightian decision theory
• Asset Pricing: equilibrium models, portfolio choice, derivatives, real options
• Research Statement and summary of published papers

 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)

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

· “Trading Relative Performance with Alpha Indexes”, Financial Analyst Journal (2011), 67, 77-92 (with Robert E. Whaley).

· “Predicting Risk from Financial Reports with Regression,” in Proceedings of Human Language Technologies: The 2009 Annual Conference of the North American Chapter of the Association for Computational Linguistics, pp. 272–280, Boulder, Colorado. Association for Computational Linguistics. (with Shimon Kogan, Dimitry Levin, Bryan Routledge, and Noah Smith).

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” mimeo (with Martin Cherkes and Jay Wang)

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

· “Information Content of Public Firm Disclosures and the Sarbanes-Oxley Act” mimeo (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)

Ø 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