Serhiy Kozak

Serhiy Kozak is an assistant professor of finance at the Robert H. Smith School of Business at the University of Maryland. Prior to that, he was an assistant professor of finance at the University of Michigan, Ross School of Business. His current research focuses on embedding economic and asset pricing restrictions into machine learning methods to study the dynamics of asset prices. Serhiy earned his PhD at the University of Chicago in 2013.

Research Interests:

• Empirical and theoretical asset pricing, financial economics, machine learning.

Education

• PhD, MBA The University of Chicago - Booth School of Business (2008 — 2013)
• Doctor of Philosophy - PhD University of Chicago (2008 — 2013)
• MA CERGE-EI (2006 — 2008)
• B.Sc., M.Sc. Ivan Franko National University of Lviv (2000 — 2005)
• Lviv Physics and Mathematics Lyceum (LPML) (1997 — 2000)
• Lviv Secondary School 46 (1990 — 1997)

PUBLICATIONS

• Interpreting Factor Models (with Stefan Nagel and Shrihari Santosh)
  Journal of Finance, June 2018, 73(3), 1183-1223.

• Shrinking the Cross Section (with Stefan Nagel and Shrihari Santosh)
  Journal of Financial Economics, February 2020, 135(2), 271-292, Lead Article

• Why Do Discount Rates Vary? (with Shrihari Santosh)
  Journal of Financial Economics, September 2020, 137(3), 740-751.

• Factor Timing (with Valentin Haddad and Shrihari Santosh)
  Review of Financial Studies, May 2020, 33(5), 1980-2018.