Faculty & Research

Profile:

My primary area of expertise is finance, specifically empirical asset pricing. My research investigates the risks of corporate and sovereign default, the need to design governance structures that mitigate risk, and inefficiencies in financial markets. In the area of credit risk I have examined accurate default prediction and demonstrated the empirical superiority of reduced form models compared to credit ratings and distance to default. I have also investigated whether or not investors are appropriately compensated for exposure to default risk. My interest in corporate finance is reflected in studies investigating how default risk can be reduced by the introduction of contingent capital or governance structures. Another area of focus is behavioral finance, where I have examined the role of market frictions in explaining stock market anomalies as well as information flows between CDS and stock markets.

Publications:

• Mordecai Avriel, Jens Hilscher, and Alon Raviv. "Inflation Derivatives Under Inflation Target Regimes." Journal of Futures Markets (2013). (forthcoming)
• Jens Hilscher and Elif Sisli-Ciamarra. "Conflicts of interest on corporate boards: The effect of creditor-directors on acquisitions." Journal of Corporate Finance 19. 1 (2013): 140-158.
• Pavel Bandarchuk and Jens Hilscher. "Sources of Momentum Profits: Evidence on the Irrelevance of Characteristics." Review of Finance 17. 2 (2013): 809-845.
• John Y. Campbell, Jens Hilscher, and Jan Szilagyi. "Predicting Financial Distress and the Performance of Distressed Stocks." Journal of Investment Management 9. 2 (2011): 14-34.
• Jens Hilscher and Yves Nosbusch. "Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt." Review of Finance 14. 2 (2010): 235-262.
• John Y. Campbell, Jens Hilscher, and Jan Szilagyi. "In Search of Distress Risk." The Journal of Finance 63. 6 (2008): 2899-2939.

Awards & Honors:

• (2012) Eastern Finance Association Outstanding Paper in Corporate Finance
• (2012) Eastern Finance Association Outstanding Paper in Financial Institutions
• (2012) Harry M. Markowitz Award - Journal of Investment Management Best Paper Award
• (2010) Deutsche Bank Prize in Financial Economics - Review of Finance Best Paper Award (2nd Prize)
• (2009) IBS prize for Excellence in Teaching 2008/2009