Stace Sirmans

Auburn University

Auburn, AL 36849

United States

http://www.stacesirmans.com

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 31,719

SSRN RANKINGS

Top 31,719

in Total Papers Downloads

1,819

SSRN CITATIONS
Rank 36,521

SSRN RANKINGS

Top 36,521

in Total Papers Citations

9

CROSSREF CITATIONS

12

Scholarly Papers (8)

1.

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

Number of pages: 63 Posted: 13 Apr 2014 Last Revised: 17 Aug 2019
Jongsub Lee, Andy Naranjo and Stace Sirmans
Seoul National University, University of Florida - Warrington College of Business Administration and Auburn University
Downloads 631 (50,508)
Citation 6

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: 97 Posted: 09 Aug 2016 Last Revised: 03 Jan 2019
Jongsub Lee, Andy Naranjo and Stace Sirmans
Seoul National University, University of Florida - Warrington College of Business Administration and Auburn University
Downloads 356 (100,354)

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

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: 02 Mar 2021
Jongsub Lee, Andy Naranjo and Stace Sirmans
Seoul National University, University of Florida - Warrington College of Business Administration and Auburn University
Downloads 62 (420,657)
Citation 2

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.

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

Number of pages: 97 Posted: 09 Aug 2016
Jongsub Lee, Andy Naranjo and Stace Sirmans
Seoul National University, University of Florida - Warrington College of Business Administration and Auburn University
Downloads 12 (696,549)

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
Seoul National University, University of Florida - Warrington College of Business Administration and Auburn University
Downloads 265 (138,183)

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

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
Seoul National University, University of Florida - Warrington College of Business Administration and Auburn University
Downloads 111 (294,585)
Citation 6

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
Seoul National University, University of Florida - Warrington College of Business Administration and Auburn University
Downloads 193 (187,869)
Citation 4

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
Seoul National University, University of Florida - Warrington College of Business Administration and Auburn University
Downloads 60 (427,679)

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
Seoul National University, University of Florida - Warrington College of Business Administration and Auburn University
Downloads 29 (571,524)

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.

Implied Asset Return Profiles, Firm Fundamentals, and Stock Returns

Number of pages: 62 Posted: 02 Mar 2021
Jongsub Lee, Andy Naranjo and Stace Sirmans
Seoul National University, University of Florida and Auburn University
Downloads 54 (443,093)

Abstract:

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Implied asset return and volatility, joint pricing of equity and credit, option pricing, asset growth and risk-shifting factors, asset prices, market predictability

7.

Observable Agent Effort and Limits to the Innovation in Residential Real Estate

Observable Agent Effort and Limits to Innovation in Residential Real Estate, Justin D. Benefield, C. Stace Sirmans, and G. Stacy Sirmans, Journal of Real Estate Research, 2019 41:1, 1-36
Number of pages: 36 Posted: 17 Jun 2019
affiliation not provided to SSRN, Auburn University and Florida State University
Downloads 46 (474,519)

Abstract:

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real estate commission, virtual tours, agent effort, selling effort, two-stage least squares

8.

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