Sergey Chernenko is an Assistant Professor of Finance at the Ohio State University’s Fisher College of Business. Originally from Kyiv, Ukraine, he received his undergraduate degree from Washington University in St. Louis and his PhD in Business Economics from Harvard University. Prior to joining Ohio State, he worked at Daimler-Chrysler in Stuttgart, Germany and at the Federal Reserve Board in Washington, DC. Dr. Chernenko’s research investigates how financial innovation and increasing sophistication and specialization of capital markets and financial intermediaries have been affecting the ability of nonfinancial firms to raise capital to finance their investment projects. His research has been published in the top journals including the Review of Financial Studies, Journal of Financial and Quantitative Analysis, and Journal of International Economics. He won the 2012 Young Research Prize awarded by the Review of Financial Studies. In addition to teaching corporate finance in the undergraduate and MBA programs at the Fisher College of Business, Dr. Chernenko coached the winning team in the 2011 Duff & Phelps YOUniversity Challenge, a nationwide case competition. In his spare time, he enjoys running, traveling, and cooking.
Areas of Expertise
- Corporate Finance
- Behavioral Finance
- Mutual Funds
- Credit Ratings
- PhD in Business Economics from Harvard University
FIN 4211 -Corporate Finance
Analysis of advanced capital budgeting problems through understanding the theories and applications of capital structure, leasing and real options. Theories and applications in corporate control, corporate governance and mergers, and acquisitons.
FIN 7210 - Corporate Financial Management I
Advanced valuation skills and theories and applications in capital structure and security issuance.
- Frictions in Shadow Banking: Evidence from the Lending Behavior of Money Market Funds with Adi Sunderam (This paper was previously circulated under the title The Quiet Run of 2011: Money Market Funds and the European Debt Crisis), Review of Financial Studies (June 2014), Vol. 27 (issue 6) 1717-1750.
- Agency Costs, Mispricing, and Ownership Structure
with C. Fritz Foley and Robin Greenwood, Financial Management, published online September 4, 2012
- The Real Consequences of Market Segmentation
with Adi Sunderam, Review of Financial Studies (July 2012), Vol. 25 (Issue 7), 2041-2070
- The Two Sides of Derivatives Usage: Hedging and Speculating with Interest Rate Swaps
with Michael Faulkender, Journal of Financial and Quantitative Analysis (December 2011), Vol. 46 (Issue 6), 1727-1754
- Trading Activity and Macroeconomic Announcements in High-Frequency Exchange Rate Data
with Alain P. Chaboud and Jonathan H. Wright, Journal of the European Economic Association (April-May 2008), Vol. 6(Issue 2-3), 589-596
- Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data
with David W. Berger, Alain P. Chaboud, Edward Howorka, and Jonathan H. Wright, Journal of International Economics (May 2008), Vol. 75 (Issue 1), 93-109
- The Dark Side of Specialization: Evidence from Risk Taking by CDO Collateral Managers
Abstract: I provide evidence of a race to the bottom among CDO collateral managers, asset management firms responsible for the selection of collateral in ABS CDOs that figured prominently in the 2007-2008 financial crisis. Specialized asset managers with few reputational concerns invest in riskier collateral and thereby cater to investment banks and equity investors. Over the course of the CDO boom, these managers gain market share at the expense of more diversified investment managers. Controlling for observables, the IRR of specialized managers’ CDOs is 5.8% lower. The results cannot be explained by greater optimism or lower expertise of specialized managers. Deals of specialized managers have smaller equity tranches and invest in below par collateral securities from more recent vintages. This collateral suffers significantly larger losses, even controlling for at-issuance rating and spread. The results point to greater risk taking incentives as one downside of specialization in asset management.
- Who Neglects Risk? Investor Experience and the Credit Boom
with Sam Hanson and Adi Sunderam
Abstract: Many have argued that overoptimistic thinking on the part of lenders helps fuel credit booms. We use new micro-data on mutual funds’ holdings of securitizations to examine which investors are susceptible to such boom-time thinking. We show that firsthand experience plays a key role in shaping investors’ beliefs. During the 2003-2007 mortgage boom, inexperienced fund managers loaded up on securitizations linked to nonprime mortgages, and by 2007 accumulate twice the holdings of more seasoned managers. Moreover, inexperienced managers who personally experienced severe or recent adverse investment outcomes behaved more like seasoned managers. Training and institutional memory can serve as partial substitutes for personal experience.
- The Rise and Fall of Securitization
with Sam Hanson and Adi Sunderam
Abstract: The rise and fall of nontraditional securitizations—collateralized debt obligations and mortgage-backed securities backed by nonprime loans—played a central role in financial crisis. Little is known, however, about the factors that drove the pre-crisis surge in investor demand for these products. Examining insurance companies' and mutual funds' holdings of fixed income securities, we find evidence suggesting that both agency problems and neglected risks played an important role in driving investor demand for nontraditional securitizations prior to crisis. We also use our holdings data to shed light on the factors that drove the dramatic collapse of securitization markets beginning in mid-2007. Contrary to conventional crisis narratives, we find little evidence of widespread fire sales. Instead, our evidence is more consistent with the idea that a self-amplifying buyers' strike drove the dramatic collapse of securitization markets.
- Arbitrage Capital and Real Investment
with Adi Sunderam
Abstract: We study the relationship between the supply of arbitrage capital and real investment. The investment of firms that depend on convertible debt for financing responds positively to flows into convertible arbitrage hedge funds. An extra $1 of fund flows increases capital expenditures of convertible dependent firms by $0.49. At the same time, convertible arbitrage strategy returns are uncorrelated with the stock returns of convertible dependent firms. Moreover, fund flows respond positively to lagged strategy returns but not to lagged returns of dependent firms, suggesting that the supply of capital is not driven by changes in firm investment opportunities. We also examine an isolated market dislocation that occurred in 2005 when funds suffered large withdrawals. Though the macroeconomic outlook was positive and stable, dependent firms sharply cut their investment in response to the withdrawal of capital, with the overall reduction in capital expenditures amounting to 55% of outflows. Our results suggest that firm investment responds to shocks to the supply of arbitrage capital.
- The High-Frequency Effects of U.S. Macroeconomic Data Releases on Prices and Trading Activity in the Global Interdealer Foreign Exchange Market
with Alain P. Chaboud, Edward Howorka, Raj S. Krishnasami Iyer, David Liu, and Jonathan H. Wright, International Finance Discussion Paper 823
- The Information Content of Forward and Futures Prices: Market Expectations and the Price of Risk
with Krista B. Schwartz and Jonathan H. Wright, International Finance Discussion Paper 808