Stace Sirmans

Auburn University

Auburn, AL 36849

United States

http://www.stacesirmans.com

SCHOLARLY PAPERS

6

DOWNLOADS
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Top 30,997

in Total Papers Downloads

1,358

CITATIONS

0

Scholarly Papers (6)

1.

CDS Momentum: Slow Moving Credit Ratings and Cross-Market Spillovers

Number of pages: 59 Posted: 13 Apr 2014 Last Revised: 01 Nov 2014
Jongsub Lee, Andy Naranjo and Stace Sirmans
University of Florida - Warrington College of Business Administration, University of Florida - Warrington College of Business Administration and Auburn University
Downloads 448 (59,592)

Abstract:

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Credit default swaps; CDS returns; Credit ratings; Momentum; Spillover; Endogenous liquidity; Credit risk; Information flows

Related Securities and the Cross-Section of Stock Return Momentum: Evidence From Credit Default Swaps (CDS)

Number of pages: 98 Posted: 09 Aug 2016 Last Revised: 07 Nov 2018
Jongsub Lee, Andy Naranjo and Stace Sirmans
University of Florida - Warrington College of Business Administration, University of Florida - Warrington College of Business Administration and Auburn University
Downloads 276 (103,262)

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Related securities, stock return momentum, momentum crashes, credit default swaps, multi-market momentum signals, aligned/misaligned momentum, asset return momentum, asset substitution, limits to arbitrage, crash risk management

Related Securities and the Cross-Section of Stock Return Momentum: Evidence From Credit Default Swaps (CDS)

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 98 Posted: 02 Jun 2016 Last Revised: 08 Aug 2018
Jongsub Lee, Andy Naranjo and Stace Sirmans
University of Florida - Warrington College of Business Administration, University of Florida - Warrington College of Business Administration and Auburn University
Downloads 51 (370,132)

Abstract:

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Related securities, stock return momentum, momentum crashes, credit default swaps, multi-market momentum signals, aligned/misaligned momentum, asset return momentum, asset substitution, limits to arbitrage, crash risk management.

Exodus from Sovereign Risk: Global Asset and Information Networks in the Pricing of Corporate Credit Risk

Journal of Finance, Forthcoming
Number of pages: 60 Posted: 25 Jul 2015
Jongsub Lee, Andy Naranjo and Stace Sirmans
University of Florida - Warrington College of Business Administration, University of Florida - Warrington College of Business Administration and Auburn University
Downloads 222 (129,259)

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International CDS markets, corporate credit risk, sovereign risk, country risk, multinational corporations, asset geographic location, cross-listing, property rights, creditor rights, disclosure requirements, sovereign ceiling violations

Exodus from Sovereign Risk: Global Asset and Information Networks in the Pricing of Corporate Credit Risk

Number of pages: 60 Posted: 02 Nov 2015 Last Revised: 03 Nov 2015
Jongsub Lee, Andy Naranjo and Stace Sirmans
University of Florida - Warrington College of Business Administration, University of Florida - Warrington College of Business Administration and Auburn University
Downloads 104 (245,406)

Abstract:

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International CDS markets, corporate credit risk, sovereign risk, multinational corporations, asset geographic location, cross-listing, property rights, creditor rights, disclosure requirements, sovereign ceiling violations

4.

The Exodus from Sovereign Risk: Sovereign Ceiling Violations in Credit Default Swap Markets

Number of pages: 69 Posted: 22 Mar 2013 Last Revised: 09 May 2013
Jongsub Lee, Andy Naranjo and Stace Sirmans
University of Florida - Warrington College of Business Administration, University of Florida - Warrington College of Business Administration and Auburn University
Downloads 178 (159,273)

Abstract:

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Credit default swap, sovereign ceiling, transfer and convertibility risk, asset geographic location, cross-listing, property rights, creditor rights, disclosure requirement, credit rating

Internet Appendix for 'Exodus from Sovereign Risk: Global Asset and Information Networks in the Pricing of Corporate Credit Risk'

Number of pages: 61 Posted: 02 Nov 2015 Last Revised: 03 Nov 2015
Jongsub Lee, Andy Naranjo and Stace Sirmans
University of Florida - Warrington College of Business Administration, University of Florida - Warrington College of Business Administration and Auburn University
Downloads 53 (363,643)

Abstract:

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International CDS markets, corporate credit risk, sovereign risk, multinational corporations, asset geographic location, cross-listing, property rights, creditor rights, disclosure requirements, sovereign ceiling violations

Internet Appendix for 'Exodus from Sovereign Risk: Global Asset and Information Networks in the Pricing of Corporate Credit Risk'

Journal of Finance, Forthcoming
Number of pages: 61 Posted: 28 Jul 2015
Jongsub Lee, Andy Naranjo and Stace Sirmans
University of Florida - Warrington College of Business Administration, University of Florida - Warrington College of Business Administration and Auburn University
Downloads 26 (474,737)

Abstract:

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International CDS markets, corporate credit risk, sovereign risk, country risk, multinational corporations, asset geographic location, cross-listing, property rights, creditor rights, disclosure requirements, sovereign ceiling violations

6.

Determinants of Mortgage Interest Rates: Treasuries versus Swaps

Journal of Real Estate Finance and Economics, Vol. 50, No. 1, 2015
Posted: 06 Jan 2015
Stace Sirmans, Stanley D. Smith and G. Stacy Sirmans
Auburn University, University of Central Florida and Florida State University - Department of Risk Management/Insurance, Real Estate and Business Law

Abstract:

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Treasury rate; Mortgage rate determinants; Swap derivatives; LIBOR swap rate