Sergey Chernenko

Purdue University - Department of Management

Assistant Professor (Finance)

West Lafayette, IN 47907-1310

United States

http://https://sites.google.com/site/chernenkosergey/

  • Purdue University - Department of Management

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    • Tel: (765) 494-4413
SCHOLARLY PAPERS

13

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CITATIONS
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70

Scholarly Papers (13)

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1.

The Information Content of Forward and Futures Prices: Market Expectations and the Price of Risk

FRB International Finance Discussion Paper No. 808
Number of pages: 27 Posted: 02 Jul 2004
Sergey Chernenko, Krista Schwarz and Jonathan H. Wright
Purdue University - Department of Management, University of Pennsylvania - Finance Department and Johns Hopkins University - Department of Economics
Downloads 813 (27,558)
Citation 10

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forward contracts, futures, forecast evaluation, risk premia, random walk

2.

Mutual Funds As Venture Capitalists? Evidence from Unicorns

Downloads 745 ( 31,052)

Mutual Funds As Venture Capitalists? Evidence from Unicorns

Number of pages: 70 Posted: 11 Jan 2017 Last Revised: 21 Dec 2018
Sergey Chernenko, Josh Lerner and Yao Zeng
Purdue University - Department of Management, Harvard Business School - Finance Unit and University of Washington - Michael G. Foster School of Business
Downloads 728 (31,545)

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Mutual Funds as Venture Capitalists? Evidence from Unicorns

NBER Working Paper No. w23981
Number of pages: 51 Posted: 30 Oct 2017 Last Revised: 08 Nov 2017
Sergey Chernenko, Josh Lerner and Yao Zeng
Purdue University - Department of Management, Harvard Business School - Finance Unit and University of Washington - Michael G. Foster School of Business
Downloads 17 (533,249)
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3.

Frictions in Shadow Banking: Evidence from the Lending Behavior of Money Market Funds

Fisher College of Business Working Paper No. 2012-4, Charles A. Dice Working Paper No. 2012-03-004
Number of pages: 49 Posted: 26 Jan 2012 Last Revised: 18 Sep 2012
Sergey Chernenko and Adi Sunderam
Purdue University - Department of Management and Harvard Business School
Downloads 649 (37,423)
Citation 4

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Money market mutual funds, European sovereign debt crisis, runs, contagion, risk taking

4.

The High-Frequency Effects of U.S. Macroeconomic Data Releases on Prices and Trading Activity in the Global Interdealer Foreign Exchange Market

FRB International Finance Discussion Paper No. 823
Number of pages: 42 Posted: 01 Dec 2004
Alain Chaboud, Sergey Chernenko, Edward Howorka, Raj S.K. Iyer, David Liu and Jonathan H. Wright
Federal Reserve Board - Division of International Finance, Purdue University - Department of Management, EBS Group Limited, EBS Group Limited, EBS and Johns Hopkins University - Department of Economics
Downloads 619 (39,816)
Citation 13

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Foreign exchange, trading volume, news announcements, high-frequency data, conditional mean, conditional volatility

5.

Agency Costs, Mispricing, and Ownership Structure

Downloads 501 ( 52,288)
Citation 2

Agency Costs, Mispricing, and Ownership Structure

Number of pages: 49 Posted: 13 Nov 2009 Last Revised: 13 Apr 2010
Sergey Chernenko, C. Fritz Foley and Robin M. Greenwood
Purdue University - Department of Management, Harvard Business School and Harvard Business School - Finance Unit
Downloads 470 (56,023)
Citation 2

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Ownership, Agency Costs, Mispricing

Agency Costs, Mispricing, and Ownership Structure

NBER Working Paper No. w15910
Number of pages: 49 Posted: 19 Apr 2010 Last Revised: 25 Apr 2010
Sergey Chernenko, C. Fritz Foley and Robin M. Greenwood
Purdue University - Department of Management, Harvard Business School and Harvard Business School - Finance Unit
Downloads 31 (452,434)
Citation 2

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6.

Why are Firms Using Interest Rate Swaps to Time the Yield Curve?

Number of pages: 47 Posted: 28 Jul 2005
Michael W. Faulkender and Sergey Chernenko
University of Maryland - Robert H. Smith School of Business and Purdue University - Department of Management
Downloads 391 (70,768)
Citation 9

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Interest Rate Swaps, Market Timing, Myopia, Speculation

7.

Liquidity Transformation in Asset Management: Evidence from the Cash Holdings of Mutual Funds

Downloads 367 ( 76,244)

Liquidity Transformation in Asset Management: Evidence from the Cash Holdings of Mutual Funds

Fisher College of Business Working Paper No. 2016-03-05, Charles A. Dice Center Working Paper No. 2016-5
Number of pages: 62 Posted: 18 Feb 2016 Last Revised: 16 Jul 2016
Sergey Chernenko and Adi Sunderam
Purdue University - Department of Management and Harvard Business School
Downloads 355 (78,615)

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liquidity transformation, asset management, mutual funds, cash holdings, fire sales

Liquidity Transformation in Asset Management: Evidence from the Cash Holdings of Mutual Funds

NBER Working Paper No. w22391
Number of pages: 63 Posted: 11 Jul 2016
Sergey Chernenko and Aditya Sunderam
Purdue University - Department of Management and Harvard University
Downloads 12 (564,418)

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8.

Trading Activity and Exchange Rates in High-Frequency EBS Data

FRB International Finance Discussion Paper No. 903
Number of pages: 37 Posted: 27 Sep 2007
Alain Chaboud, Sergey Chernenko and Jonathan H. Wright
Federal Reserve Board - Division of International Finance, Purdue University - Department of Management and Johns Hopkins University - Department of Economics
Downloads 315 (90,780)
Citation 3

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Trading volume, foreign exchange, high-frequency data, news announcements

9.

The Front Men of Wall Street:The Role of CDO Collateral Managers in the CDO Boom and Bust

Journal of Finance, Forthcoming, Fisher College of Business Working Paper No. 2015-03-12, Charles A. Dice Center Working Paper No. 2015-12
Number of pages: 56 Posted: 12 Jul 2015 Last Revised: 22 Oct 2016
Sergey Chernenko
Purdue University - Department of Management
Downloads 290 (99,370)

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CDOs, conflicts of interest, franchise value, asset management, risk taking, specialization

10.

Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data

FRB International Finance Discussion Paper No. 830
Number of pages: 35 Posted: 25 Apr 2005
David W. Berger, Alain Chaboud, Sergey Chernenko, Edward Howorka, Raj S.K. Iyer, David Liu and Jonathan H. Wright
U.S. Board of Governors of the Federal Reserve System - Division of International Finance, Federal Reserve Board - Division of International Finance, Purdue University - Department of Management, EBS Group Limited, EBS Group Limited, EBS and Johns Hopkins University - Department of Economics
Downloads 269 (107,656)
Citation 29

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order flow, foreign exchange, high-frequency data, news announcements

11.

Nonbank Lending

Fisher College of Business Working Paper No. 2018-03-013, Charles A. Dice Center Working Paper No. 2018-13
Number of pages: 58 Posted: 26 Jul 2018
Sergey Chernenko, Isil Erel and Robert Prilmeier
Purdue University - Department of Management, Ohio State University (OSU) - Department of Finance and Tulane University - A.B. Freeman School of Business
Downloads 203 (142,455)

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shadow banking, relationship lending, market segmentation

12.

The Rise and Fall of Demand for Securitizations

Downloads 128 (211,515)

The Rise and Fall of Demand for Securitizations

Fisher College of Business Working Paper No. 2014-03-16, Charles A. Dice Center Working Paper No. 2014-16
Number of pages: 50 Posted: 19 Dec 2014
Sergey Chernenko, Samuel Gregory Hanson and Adi Sunderam
Purdue University - Department of Management, Harvard Business School and Harvard Business School
Downloads 114 (231,770)

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securitization, mutual funds, insurance companies, financial crises, fire sales, risk taking, reinforcement learning

The Rise and Fall of Demand for Securitizations

NBER Working Paper No. w20777
Number of pages: 50 Posted: 22 Dec 2014
Sergey Chernenko, Samuel Gregory Hanson and Aditya Sunderam
Purdue University - Department of Management, Harvard Business School and Harvard University
Downloads 14 (551,876)

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13.

Do Fire Sales Create Externalities?

Downloads 90 (270,733)

Do Fire Sales Create Externalities?

Number of pages: 60 Posted: 13 Oct 2017 Last Revised: 24 Sep 2018
Sergey Chernenko and Adi Sunderam
Purdue University - Department of Management and Harvard Business School
Downloads 83 (287,264)

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fire sales, mutual funds, liquidity management, externalities

Do Fire Sales Create Externalities?

NBER Working Paper No. w25104
Number of pages: 61 Posted: 01 Oct 2018
Sergey Chernenko and Aditya Sunderam
Purdue University - Department of Management and Harvard University
Downloads 7 (595,556)
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