CARLOS RAMIREZ | PhD Candidate in Finance

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    I am a PhD candidate in Finance at the Tepper School of Business at Carnegie Mellon and my co-advisors are Burton Hollifield and Bryan Routledge. I am on the 2015-2016 job market and will be available for interviews at the 2016 AFA/AEA meetings in San Francisco, CA.

    My current research models the role that inter-firm relationships play in firms' risk-return trade-off and explores whether changes in shock propagation within network economies have quantitative implications for asset market phenomena. The ultimate goal of my research is to improve our understanding of the impact that economic linkages among market participants have on equilibrium outcomes such as asset prices and returns as well as investors' welfare.

Contact Information


    • Joined Tepper PhD Program 2010
    • Young Research Fellow, Center for Applied Economics, Universidad de Chile, 2009-2010
    • MS Economics, Universidad de Chile, 2008
    • Industrial Engineer, Universidad de Chile, 2008

Research Interests

    • Networks
    • Asset Pricing
    • Financial Intermediation

Work in Progress

    • Inter-firm Relationships and Asset Prices [pdf]
    • (Job Market Paper)
      I study the asset pricing properties that stem from the propagation of shocks within a network economy and the extent to which such a propagation mechanism quantitatively explains asset market phenomena. I show that changes in the propagation of shocks within a network economy are important to understanding variations in asset prices and returns, both in the aggregate and in the cross section. A calibrated model that matches features of customer-supplier networks in the U.S. generates a persistent component in expected consumption growth and stochastic consumption volatility similar to the Long-Run Risks Model of Bansal and Yaron (2004). In the cross section, firms that are more central in the network command higher risk premium than firms that are less central. In the time series, firm-level return volatilities exhibit a high degree of comovement. These two features are consistent with recent empirical evidence.
      Presented at: LBS (2015 TADC), Networks and Contagion Risk Session at INFORMS 2015, Carnegie Mellon.

    • Inter-firm Relationships and the Idiosyncratic Volatility Anomaly
    • I explore the linkage between a firm's idiosyncratic risk and a firm's importance in a network economy. Within the model, inter-firm relationships have a dual nature. On the one hand, they allow a firm to potentially improve both its growth opportunities and its resilience to negative idiosyncratic shocks. On the other hand, they may increase a firm's exposure to negative shocks that affect a firm's partners. In a calibrated model that successfully matches several asset pricing moments, well connected firms exhibit less idiosyncratic return volatility than less connected firms (where idiosyncratic return volatility is measured relative to the Fama and French (1993) model). Well connected firms, however, have greater exposure to systematic risk than less connected firms and, hence, they command higher risk premium. This finding helps explain investors' high demand for stocks with high idiosyncratic return volatility and, thus, their low expected returns, providing a plausible rationale to the idiosyncratic return volatility anomaly of Ang et al. (2006).
      Presented at: Carnegie Mellon.

Working Papers

    • Basket Securities in Segmented Markets [pdf]
    • I study the design and welfare implications of basket securities issued in markets with limited investor participation. Profit-maximizing intermediaries exploit investors' inability to trade freely across different markets, so they choose which market to specialize in. I show that when there is only one intermediary, the equilibrium may not be constrained efficient. Increasing competition among intermediaries increases the variety of baskets issued, but does not always improve investors' welfare. Although competition increases the variety of baskets issued, many of these baskets are redundant, in the sense that coordination among intermediaries could improve investors' risk sharing opportunities. The equilibrium basket structure depends on institutional features of a market such as depth and gains from trade.
      Presented at: Universidad de Chile, LBS (2013 TADC), 2013 Northern Finance Association, 2014 Midwest Finance Association, 2014 Eastern Finance Association, 2014 European Finance Association (Doctoral Tutorial)

    • Imperfect Information Transmission from Banks to Investors: Real Implications [pdf]
    • with Nicolás Figueroa (Universidad Católica de Chile) and Oksana Leukhina (University of Washington)
      Securitized products experienced a dramatic growth before the 2008 crisis. Despite the fact that several empirical papers suggest that securitization contributed to relaxed screening standards, our theoretical understanding of the real implications of securitization markets remains limited. To fill this gap, we propose a general equilibrium model that features characteristics of securitization markets and study the interaction of information transmission in secondary loan markets and screening efforts at loan origination. We show that increasing collateral values and asset complexity help to explain the following pre-crisis observations: (1) lax screening standards, (2) intensified ratings shopping, (3) ratings inflation, and (4) the decline in the differential between yields on assets with low and high ratings. We also show that regulatory policies, such as mandatory rating and mandatory rating disclosure, may exacerbate resource misallocation.
      Presented at: Universidad de Chile*, Universidad Católica de Chile*, University of Washington*, 2013 Midwest Macro Meetings*, Federal Reserve Bank of Atlanta*, 2014 Midwest Economics Association, 2014 North American Summer Meeting of the Econometric Society*, The Economics of Credit Rating Agencies, Credit Ratings and Information Intermediaries Conference* (* presented by coauthors)

Updated: November, 2015