Sergey Chernenko

Purdue University - Department of Management

Assistant Professor (Finance)

West Lafayette, IN 47907-1310

United States

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

SCHOLARLY PAPERS

12

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4,892

CITATIONS
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Top 6,963

in Total Papers Citations

69

Scholarly Papers (12)

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 713 (26,759)
Citation 10

Abstract:

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

Mutual Funds As Venture Capitalists? Evidence from Unicorns

Number of pages: 50 Posted: 11 Jan 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 659 (33,964)

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mutual funds, venture capitalists (VC), unicorns, corporate governance, liquidity

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 15 (521,287)
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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 551 (36,082)
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
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 520 (38,493)
Citation 13

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

5.
Downloads 496 ( 49,780)
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 467 (53,192)
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 29 (440,906)
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 370 (67,283)
Citation 8

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Interest Rate Swaps, Market Timing, Myopia, Speculation

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 313 (85,615)

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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 10 (551,082)

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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 289 (86,157)
Citation 3

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

9.

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
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 251 (102,850)
Citation 29

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

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 110 (225,756)

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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 12 (539,350)

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11.

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 22 (107,583)

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

12.

Do Fire Sales Create Externalities?

Number of pages: 53 Posted: 13 Oct 2017 Last Revised: 29 Dec 2017
Sergey Chernenko and Adi Sunderam
Purdue University - Department of Management and Harvard Business School
Downloads 0 (486,114)

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fire sales, mutual funds, liquidity management, externalities