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Michal Czerwonko

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Michal Czerwonko

PhD (Business Administration), Concordia University, Postdoctoral Scholar

Research interests

Finance

Subject areas

Empirical Asset Pricing

Contact

Nazarbayev University Graduate School of Business Block C3, Office No. 6050 E-mail: michal.czerwonko@nu.edu.kz


Michal Czerwonko received his PhD in Business Administration with a concentration in Finance from Concordia University. In his doctoral program Dr. Czerwonko spent a year at the University of Chicago as a visiting PhD scholar. Dr. Czerwonko also holds an MS degree in Finance with the best graduate master’s thesis in Business Administration award and a BA degree with distinction from Concordia University. Dr. Czerwonko’s interests are in options markets under transactions costs, in empirical asset pricing, and portfolio selection under transactions costs. Experience in the investment industry includes a consulting position at a startup hedge fund. Dr. Czerwonko’s teaching interests include courses in Finance, Econometrics, and Statistics.

“Mispriced Index Option Portfolios,” with G. M. Constantinides and S. Perrakis, 2019. Financial Management, forthcoming

“Mispricing of Index Options with Respect to Stochastic Dominance Bounds? A Reply,” with G. M. Constantinides, J. C. Jackwerth and S. Perrakis, 2017. Critical Finance Review, forthcoming

“Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics I: A Numerical Solution,” with S. Perrakis, 2016. Quarterly Journal of Finance 6 (4): 23 pages

“Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics II: Economic Implications,” with S. Perrakis, 2016. Quarterly Journal of Finance 6 (4): 28 pages

“Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence,” with G. M. Constantinides, J. C. Jackwerth and S. Perrakis, 2011. Journal of Finance 66 (4), 1407-1437

The role of transactions costs and other forms of incompleteness in the index options markets under second order stochastic dominance approach; the examination of the pricing efficiency of those markets. The impact of institutional changes in transactions costs in equity options markets on informed trading relative to such trading in the markets for underlying equities.

Predictability in equity returns with the focus on the role of idiosyncratic volatility.

Empirical Asset Pricing