Jacob S. Sagi
	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
• Real Options

 TEACHING

• MGM 439: Real Estate Finance and Capital Markets, Winter 2007

 VITA:

• HTML PDF

PAPERS AND PUBLICATIONS

REAL OPTIONS AND 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).

Forthcoming

· “A Liquidity-Based Theory of Closed-End Funds”, mimeo (with Martin Cherkes and Richard H. Stanton), forthcoming at the Review of Financial Studies

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

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), revised May 2005

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

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”, (with Chew, Soo Hong) – forthcoming at the Journal of Economic Theory

Ø The 2003 version

Working papers

· “Modeling implications of source-invariance to Machina's `almost objective fair bets'”, mimeo, revised January 2008.

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Last updated February 2, 2008