Stephen Walter Szaura Website: https://sites.google.com/view/stephenszaura/home Cell: (+1-514-726-6312) [email protected] Education McGILL UNIVERSITY, Quebec, Canada Sept 2015 – Expected 2021 PhD in Finance (Supervisor: Ruslan Goyenko)

OHIO STATE UNIVERSITY, Ohio, USA Sept 2019 – March 2020 Visiting PhD student (Sponsor: Rene Stulz)

NOTRE DAME UNIVERSITY, Indiana, USA Jan 2019 – April 2019 Visiting PhD student (Sponsor: Paul Schultz)

UNIVERSITY OF TORONTO, Ontario, Canada Sept 2013 – Aug 2015 PhD in Statistics/Mathematical Finance – transferred and completed MSc. program

UNIVERSITY OF WATERLOO, Ontario, Canada Sept 2011 – Aug 2013 Masters of Quantitative Finance Thesis: Structural Credit Risk Modeling of Closed End Bond Funds (Supervisors: Phelim Boyle and Adam Kolkiewicz)

UNIVERSITY OF MANITOBA, Manitoba, Canada Sept 2004 – May 2008 Honours Bachelor of Science Degree (First Class Honours) - Joint Actuarial Mathematics and Statistics

Research Interests: Empirical Asset Pricing, Derivatives, Credit Risk, Fixed Income

Working Papers: 1. Do Asset Pricing Factors Really Price Corporate Bond Returns? v1(1). pp. 1-64. 2020. 2. Do Option-Based Measures of Stock Mispricing Find Investment Opportunities or Market Frictions? v1(1). pp 1 - 49. 2019. with Martijn Cremers, Ruslan Goyenko, and Paul. Schultz. Recipient of 2018 CDI Research Grant ($45,000) and SSHRC Insight Grant (Ruslan) 3. Accounting Transparency and the Implied Volatility Smile. v1(1). pp. 1 – 45. 2020. with Hitesh Doshi, Jan Ericsson, and Fan Yu. Work in Progress: 4. Option Idiosyncratic Jumps and Expected Option Returns 2018. with Yoontae Jeon

Pre-PhD-Publications 5. P.P.Boyle and S. Szaura. Leverage and Closed End Bond Funds. Journal of Fixed Income. v24(4). pp. 47-59. 2015.

Presentations (Paper in ( ), * indicates presentation by coauthor)  CUHK Derivatives and Quant Investing Conference (2*), October 14, 2019, Hong Kong  SUNY Buffalo Finance Seminar (2*), October 4, 2019, Buffalo, New York  Notre Dame University Finance Brownbag Seminar (2*), September 27, 2019, South Bend, Indiana  McGill Finance Seminar (2*), April 5, 2018, Montreal, Quebec  Bank of Canada – Laurier Market Structure Conference PhD student poster session (4), May 7, 2018, Ottawa, Ontario  Joint HEC/McGill Finance PhD student workshop (4), April 20, 2017, McGill University, Montreal, Quebec  University of Waterloo Masters in Quantitative Finance Alumni Conference and Annual Dinner (5), October 4, 2014, Waterloo, Ontario  Oxford University – Man Institute of Quantitative Finance (5*), October 18, 2013, Oxfordshire, England

Citizenship: Canada Gender: Male Last Updated: August 18, 2020

Summer Schools/Workshop Invitations  Summer School on Theoretical and Empirical Market Microstructure – Lugano University Swiss Finance Institute, June 24 - 28, 2019, Lugano, Switzerland  Summer School on Liquidity in Financial Markets and Institutions – Olin School of Business, University of Washington at St. Louis, August 16 – 18, 2017, St. Louis, Missouri  SoFiE Financial Econometrics Summer School “The Econometrics of Derivatives Markets” – Kellogg School of Management, Northwestern University, July 24 – July 28, 2017, Evanston, Illinois  Winton Capital - Bellairs Workshop and Tutorial of High-Dimensional Learning for Financial Data – “A Momentum Stock Trading Strategy using Economic Sentiment Data for S&P 500 Stock Predictions” - Conference Trading Strategy Presentation, January 15-22, 2016, Bellairs Research Institute, Barbados  Sixth Annual Risk Management Conference - Attendee, March 7-10, 2016, Mont-Tremblent, Quebec  Montreal Institute of Structured Finance and Derivatives IFSID Conference - Attendee, September 2015-2018 Montreal, Quebec

Academic Employment History Mendoza Business School Notre Dame University South Bend, Indiana Research Assistant Jan 2019 – April 2019  Research assistant work for Ruslan Goyenko and Paul Schultz for option implied factors and option quote differences

Desautels Faculty of Management McGill University Montreal, Quebec Sessional Instructor FINE 448: Financial Derivatives May 2018 - June 2018  Prepared lectures, created assignments tests and final examination for class of 20 undergraduate students  Subsequently supervised individual undergraduate student research course on Monte Carlo in Finance (BUS 400)  Received overall final teaching evaluation of 4.15 / 5

Bank of Canada Ottawa, Ontario Economic and Financial Sector Summer Student June 2017 - Sept 2017  Research assistant in Financial Markets Department (FMD) for Jean-Sebastien Fontaine and Bruno Feunou

Desautels Faculty of Management McGill University Montreal, Quebec Teaching Assistant (x2) MMF FINE 673: Finance Fundamentals Feb 2017 - April 2017, Feb 2018 - April 2018  Creating and advising SAS tutorial sessions and lab assignment questions  Conducted tutorials and office hours instructing masters students on empirical finance testing methods

Teaching Assistant - Applied Corporate Finance FINE 443 Jan 2017 - April 2017  Creating questions and marking of midterm tests and final examinations  Conducted tutorials and office hours instructing undergraduate students on case studies and textbook problems

Department of Statistics and Actuarial Science University of Toronto Toronto, Ontario Sessional Instructor (x2) Sept 2014 - June 2015  ACT 348 Intermediate Life Contingencies to a class of 70 undergraduate students  ACT 230 Introduction to Math Finance to a class of 50 undergraduate students  Prepared lectures, created midterm tests and final examinations  Wrote letters of recommendation for students applying to graduate programs

Department of Statistics and Actuarial Science University of Toronto Toronto, Ontario Teaching Assistant (x3) Sept 2014 - June 2015  Prepared and conducted weekly tutorials, quizzes and marking of midterm tests and final examinations  Courses TA’d: STA 255 Statistical Theory, STA 247 Probability with Computer Applications, and ACT 455 Advanced Topics in Actuarial Science

University of Waterloo, Department of Statistics Waterloo, Ontario Bloomberg Demonstrator Sept 2011 – April 2012  Created a user guide for faculty and students summarizing important functions of the Bloomberg terminal  Conducted weekly tutorials instructing graduate students on use of the Bloomberg terminals

Citizenship: Canada Gender: Male Last Updated: August 18, 2020

Industry Employment History NUMERIX New York, New York Financial Engineering/Actuarial Intern May 2012 - Aug 2012

Sun Life Financial - Corporate Risk Management / Group Retirement Services Toronto, Ontario Intermediate Actuarial Analyst Aug 2008 – July 2011

Awards  McGill Travel Grant ($2,900), March 2020  McGill Desautels PhD Student Teaching Award, October 2019  TMX Canadian Derivatives Scholarship ($15,000), July 2019  McGill Travel Grant ($2,800), December 2018  2019 AFA Travel Grant Award, September 2018  3rd Place in Graduate Management Consulting Association (GMCA) 2016 Case Competition, March 2016  2nd Place in Winton Capital - Bellairs Stock Portfolio Performance Competition, January 2016  National Bank Financial Group Fellow ($5,000), August 2015, 2016  McGill Desautels Faculty of Management PhD student stipend ($20,000 per year), August 2015, 2016, 2017, 2018  Ontario Graduate Scholarship ($15,000), July 2014  University of Waterloo President’s Graduate Scholarship ($10,000) - declined, March 2013  National Science and Engineering Research Council (NSERC) PGS M ($17,500), March 2013  University of Waterloo MQF Research Assistantship ($2,000), March 2013  University of Waterloo President’s Graduate Scholarship ($10,000), September 2012  Ontario Graduate Scholarship ($15,000), September 2012  Featured work experience on Cultural Vistas website for 2012 Train USA Visa, September 2012

Actuarial Achievements  Enrolled in Enterprise Risk Management (ERM) FSA Module, January 8, 2016  Completed Financial Modelling FSA Module, January 30, 2015  Society of Actuaries Hickman Doctoral Fellowship and Renewals ($20,000), April 2013, 2014, 2015, 2016, 2017  Associate of the Society of Actuaries (ASA) designation, July 2009  Colin E. Jack Award for the highest mark on Society of Actuaries exam C/4 for Canadians, June 2009

Service  Volunteer for McGill Management Doctoral Program Recruitment – Finance Area Information Sessions, Oct 2016  Volunteer for McGill Masters in Management of Finance (McGill MMF) Information Sessions, Oct 2015  Paper Discussant for Northern Finance Association (NFA) Conference – “Impact of Sponsor Ownership on Fixed- Income Fund Performance”, September 12-14, 2014, Ottawa, Ontario  Volunteer Fire Warden for the Actuarial Department in Sun Life Group Retirement Services, Sept 2010 - July 2011  Volunteer for Team Sun Life Financial in Motionball Marathon of Sports, May 2011  Sun Life Financial P4 Award for demonstrating Partnership and Performance, March 2011  Sun Life Financial P4 Award for demonstrating Passion, December 2010  Society of Actuaries volunteer examination invigilator, May 2009

Skills and Interests  Financial Databases: CRSP, LiveVol, OptionMetrics, TRACE, Bloomberg, COMPUSTAT  Computing Software / Typesetting: Matlab, SAS, MS Office, LaTeX  Leisure activities: reading, listening to jazz music, golfing, playing recreational sports, and international travel  New York City International House (IHouse) Alumni, May to August, 2012

Working Paper Summaries (Abstracts) Do asset pricing factors really price corporate bond returns? I document a budding Factor Zoo of characteristics/factors whose aim is to predict the cross-section (CS) of corporate bond returns and generate a statistically significant alpha. In spirit of Harvey et al. [2016], we apply different multiple hypothesis testing (MHT) methods to published t-statistics, CS regressions and portfolio sorts in the CS of corporate bond returns to determine benchmark t-statistics and false discovery rates. In a sample of 32,690 signals in the CS of corporate Citizenship: Canada Gender: Male Last Updated: August 18, 2020 bond returns: around 0.09−5% reject the null hypothesis of no signal return predictability, however, there are no rejections of the null hypotheses under the dual hurdle. When validating our main results using the characteristics of Green et al. [2017] we find that the fraction of null hypotheses that are rejected under MHT are between 0.9−2%. Our findings are robust to different factor specifications and value-weighting in returns. Our results suggest that the stock and corporate bond return cross-sections are more segmented than previously documented.

Do Option-Based Measures of Stock Mispricing Find Investment Opportunities or Market Frictions? Researchers have proposed several option-based measures of stock mispricing. These measures are based on differences between implied and actual stock prices, differences in implied volatilities across options, and on option trading volume. In general, stocks that these measures indicate are mispriced are small and/or hard to borrow. When hard-to-borrow stocks are omitted, returns to shortselling are insignificant for some of the measures and greatly diminished for others. Three of the nine measures we test, however, predict positive abnormal returns for value-weighted portfolios. There are no obvious market frictions to prevent investors from earning these abnormal returns.

Accounting Transparency and the Implied Volatility Smile The option-implied volatility smile is typically attributed to distributional properties of the underlying that violate the lognormality assumption in the classic Black-Scholes model. The most obvious departures are thought to be jump risk and stochastic volatility. In this paper, we extend the Duffie-Lando (2001) credit risk model to stock option pricing, whereby incomplete accounting information and the risk of bankruptcy together act as the economic source of jump risk for stocks. Empirical tests using individual stock options indicate that both leverage ratio and a commonly used measure of accounting transparency can explain the cross-sectional variation of the skewness of the implied volatility smile.

References

Ruslan Goyenko (Advisor) Desautels Faculty of Management, McGill University 1001 Sherbrooke West Montreal, Canada H3A 1G5 Phone: +1-514-398-5692 Mobile: +1-514-944-3735 [email protected]

Paul Schultz Mendoza College of Business, University of Notre Dame South Bend, IN 46556, United States Phone: 574-631-3338 [email protected]

Jan Ericsson Desautels Faculty of Management, McGill University 1001 Sherbrooke West Montreal, Canada H3A 1G5 Phone: +1-514-398-3186 [email protected]

Citizenship: Canada Gender: Male Last Updated: August 18, 2020