Andrei Semenov

Department of Economics

Associate Professor

Office: Vari Hall, 1028
Phone: (416) 736-2100 Ext: 77025
Emailasemenov@yorku.ca
Primary websitewww.yorku.ca/asemenov

Professor Andrei Semenov graduated from Université de Montréal with a PhD degree in Economics. In 2003, he joined the Department of Economics at York University, Toronto. Professor Semenov's research interest focuses on theoretical and empirical asset pricing, risk management, behavioral finance, and the econometrics of financial markets. He has an extensive publication record in leading international journals. Professor Semenov has received a number of honors, fellowships and awards, including (in co-authorship) the Stephen A. Ross Best Paper Award for the best article published in Finance Research Letters in 2006. Professor Semenov has served as a session organizer, session Chair, reviewer and member of the program committee for numerous scientific conferences, as well as a reviewer for several leading scholarly journals. He is currently an Associate Editor of the British Journal of Economics, Management & Trade and a member of the Editorial Board of the Journal of Stock & Forex Trading.

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Area of Specialization

Financial Economics, Financial Econometrics

Degrees

PhD Economics, Université de Montréal


Research Interests

Theoretical and Empirical Asset Pricing, Risk Management, Behavioral Finance, Financial Econometrics

Selected Publications

"Is consumption risk priced in the stock market?", Journal of Empirical Finance, Vol. 26, Issue C (March 2014), 112-130.

"Uninsurable risk and financial market puzzles" (co-authored with P. Basu and K. Wada), Journal of International Money and Finance, Vol. 30, Issue 6 (October 2011), 1055-1089.

"Disentangling risk aversion and intertemporal substitution through a reference level" (co-authored with R. Garcia and É. Renault), Finance Research Letters, Vol. 3, Issue 3 (September 2006), 181-193 (winner of the Stephen A. Ross Best Paper Award for the best article published in Finance Research Letters in 2006).

All Publications

Book Chapters

"The stock size and the predictability of returns" (co-authored with Al.Semenov). In Statistical Mechanics and Random Walks: Principles, Processes and Applications, A. Skogseid and V. Fasano (Ed.), New York, Nova Science Publishers, Inc., 2012, pp. 509-544.

Journal Articles

"The measure of relative risk aversion in the consumption CAPM with power utility", Applied Financial Economics Letters (from 2009 incorporated into Applied Economics Letters), Vol. 2, Issue 2 (March 2006), 111-114.

"Disentangling risk aversion and intertemporal substitution through a reference level" (co-authored with R. Garcia and É. Renault), Finance Research Letters, Vol. 3, Issue 3 (September 2006), 181-193 (winner of the Stephen A. Ross Best Paper Award for the best article published in Finance Research Letters in 2006).

"Testing the random walk hypothesis through robust estimation of correlation", Computational Statistics & Data Analysis, Vol. 52, Issue 5 (January 2008), 2504-2513.

"Historical simulation approach to the estimation of stochastic discount factor models", Quantitative Finance, Vol. 8, Issue 4 (June 2008), 391-404.

"Estimation of the consumption CAPM with imperfect sample separation information", International Journal of Finance and Economics, Vol. 13, Issue 4 (October 2008), 333-348.

"Risk factor beta conditional Value-at-Risk", Journal of Forecasting, Vol. 28, Issue 6 (September 2009), 549-558.

"Departures from rational expectations and asset pricing anomalies", Journal of Behavioral Finance, Vol. 10, Issue 4 (December 2009), 234-241.

"Uninsurable risk and financial market puzzles" (co-authored with P. Basu and K. Wada), Journal of International Money and Finance, Vol. 30, Issue 6 (October 2011), 1055-1089.

"Behavioral heuristics and financial modelling", Editorial, Journal of Stock & Forex Trading, Vol. 1, Issue 3 (July 2012).

"Is consumption risk priced in the stock market?", Journal of Empirical Finance, Vol. 26, Issue C (March 2014), 112-130.

"The small-cap effect in the predictability of individual stock returns", International Review of Economics and Finance, Vol. 38 (July 2015), 178-197.

"Background risk in consumption and the equity risk premium", Review of Quantitative Finance and Accounting, Vol. 48, Issue 2 (February 2017), 407-439.

Current Courses

TermCourse NumberSectionTitleType 
Summer 2017 AP/ECON2500 3.0  Introductory Statistics for Economists I LECT  
Summer 2017 AP/ECON2500 3.0  Introductory Statistics for Economists I LECT  


Professor Andrei Semenov graduated from Université de Montréal with a PhD degree in Economics. In 2003, he joined the Department of Economics at York University, Toronto. Professor Semenov's research interest focuses on theoretical and empirical asset pricing, risk management, behavioral finance, and the econometrics of financial markets. He has an extensive publication record in leading international journals. Professor Semenov has received a number of honors, fellowships and awards, including (in co-authorship) the Stephen A. Ross Best Paper Award for the best article published in Finance Research Letters in 2006. Professor Semenov has served as a session organizer, session Chair, reviewer and member of the program committee for numerous scientific conferences, as well as a reviewer for several leading scholarly journals. He is currently an Associate Editor of the British Journal of Economics, Management & Trade and a member of the Editorial Board of the Journal of Stock & Forex Trading.

Area of Specialization

Financial Economics, Financial Econometrics

Degrees

PhD Economics, Université de Montréal

Research Interests:

Theoretical and Empirical Asset Pricing, Risk Management, Behavioral Finance, Financial Econometrics

All Publications

Book Chapters

"The stock size and the predictability of returns" (co-authored with Al.Semenov). In Statistical Mechanics and Random Walks: Principles, Processes and Applications, A. Skogseid and V. Fasano (Ed.), New York, Nova Science Publishers, Inc., 2012, pp. 509-544.

Journal Articles

"The measure of relative risk aversion in the consumption CAPM with power utility", Applied Financial Economics Letters (from 2009 incorporated into Applied Economics Letters), Vol. 2, Issue 2 (March 2006), 111-114.

"Disentangling risk aversion and intertemporal substitution through a reference level" (co-authored with R. Garcia and É. Renault), Finance Research Letters, Vol. 3, Issue 3 (September 2006), 181-193 (winner of the Stephen A. Ross Best Paper Award for the best article published in Finance Research Letters in 2006).

"Testing the random walk hypothesis through robust estimation of correlation", Computational Statistics & Data Analysis, Vol. 52, Issue 5 (January 2008), 2504-2513.

"Historical simulation approach to the estimation of stochastic discount factor models", Quantitative Finance, Vol. 8, Issue 4 (June 2008), 391-404.

"Estimation of the consumption CAPM with imperfect sample separation information", International Journal of Finance and Economics, Vol. 13, Issue 4 (October 2008), 333-348.

"Risk factor beta conditional Value-at-Risk", Journal of Forecasting, Vol. 28, Issue 6 (September 2009), 549-558.

"Departures from rational expectations and asset pricing anomalies", Journal of Behavioral Finance, Vol. 10, Issue 4 (December 2009), 234-241.

"Uninsurable risk and financial market puzzles" (co-authored with P. Basu and K. Wada), Journal of International Money and Finance, Vol. 30, Issue 6 (October 2011), 1055-1089.

"Behavioral heuristics and financial modelling", Editorial, Journal of Stock & Forex Trading, Vol. 1, Issue 3 (July 2012).

"Is consumption risk priced in the stock market?", Journal of Empirical Finance, Vol. 26, Issue C (March 2014), 112-130.

"The small-cap effect in the predictability of individual stock returns", International Review of Economics and Finance, Vol. 38 (July 2015), 178-197.

"Background risk in consumption and the equity risk premium", Review of Quantitative Finance and Accounting, Vol. 48, Issue 2 (February 2017), 407-439.


Teaching:

Current Courses

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TermCourse NumberSectionTitleType 
Summer 2017 AP/ECON2500 3.0  Introductory Statistics for Economists I LECT  
Summer 2017 AP/ECON2500 3.0  Introductory Statistics for Economists I LECT