Stace Sirmans

University of Arkansas - Department of Finance

Assistant Professor of Finance

WCOB 302

University of Arkansas

Fayetteville, AR 72701

United States

SCHOLARLY PAPERS

6

DOWNLOADS
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CITATIONS

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Scholarly Papers (6)

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 University of Arkansas - Department of Finance
Downloads 182 (137,081)

Abstract:

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 University of Arkansas - Department of Finance
Downloads 95 (231,018)

Abstract:

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

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

Number of pages: 83 Posted: 09 Aug 2016 Last Revised: 16 Dec 2016
Jongsub Lee, Andy Naranjo and Stace Sirmans
University of Florida - Warrington College of Business Administration, University of Florida - Warrington College of Business Administration and University of Arkansas - Department of Finance
Downloads 169 (146,667)

Abstract:

Related securities, CDS market, stock return momentum, CDS momentum, joint/disjoint momentum, momentum crashes, relative pricing of credit, capital structure arbitrage, market segmentation, stock market efficiency, international momentum

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: 82 Posted: 02 Jun 2016 Last Revised: 16 Jan 2017
Jongsub Lee, Andy Naranjo and Stace Sirmans
University of Florida - Warrington College of Business Administration, University of Florida - Warrington College of Business Administration and University of Arkansas - Department of Finance
Downloads 28 (415,125)

Abstract:

Related securities, CDS market, stock return momentum, CDS momentum, joint/disjoint momentum, momentum crashes, relative pricing of credit, capital structure arbitrage, market segmentation, stock market efficiency, international momentum

3.

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 University of Arkansas - Department of Finance
Downloads 187 (64,500)

Abstract:

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

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 University of Arkansas - Department of Finance
Downloads 108 (148,167)

Abstract:

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 University of Arkansas - Department of Finance
Downloads 49 (335,366)

Abstract:

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 University of Arkansas - Department of Finance
Downloads 25 (430,688)

Abstract:

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
University of Arkansas - Department of Finance, University of Central Florida and Florida State University - Department of Risk Management/Insurance, Real Estate and Business Law

Abstract:

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