CARLOS RAMIREZ | Finance PhD Candidate

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Contact Information

    Tepper School of Business
    Carnegie Mellon University
    5000 Forbes Avenue, Pittsburgh, PA.
    Office: 315-C, GSIA.


    • 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 in Financial Economics
    • Financial Intermediation
    • Asset Pricing

Work in Progress

    • Inter-Firm Relationships and the Idiosyncratic Volatility Anomaly
    • (Job Market Paper)
      I study the asset pricing implications of persistent inter-firm relationships in a general equilibrium setting. I assume these relationships potentially allow a firm to improve both its growth opportunities and its resilience to negative idiosyncratic productivity shocks. These relationships, however, may come at a cost since they may increase a firms exposure to negative productivity shocks affecting a firms strategic partners (and the partners of their partners and so forth). These features combined with Epstein and Zin (1989) and Weil (1989) preferences generate an environment where the idiosyncratic return volatility anomaly of Ang et al. (2006) arises naturally. In equilibrium, even when well-connected firms may exhibit less idiosyncratic return volatility than less-connected firms, well-connected firms may be riskier than less-connected firms provided their greater exposure to systematic risk.
      Presented at: Carnegie Mellon, LBS (2015 TADC) [scheduled]

Working Papers

    • Basket Securities in Segmented Markets
    • I study the design and welfare implications of basket securities issued in markets with limited investor participation. Profit-maximizing issuers exploit investors inability to trade freely across different markets and choose which market to specialize in. I show that when the issuer is a monopoly, the equilibrium may not be constrained efficient. Increasing competition among issuers 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 issuers 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
    • with Nicolás Figueroa (Universidad Católica de Chile) and Oksana Leukhina (University of Washington)
      We develop a general equilibrium model to study the interaction of information transmission in secondary loan markets and screening effort at loan issuance. Originating banks are able to identify repaying borrowers at a cost, but they cannot credibly transmit such information to investors. Banks may choose then to employ credit ratings to convey that information in secondary loan markets. The price differential on assets with high and low ratings emerges then as the main determinant of screening effort. We find that rising collateral values and increasing asset complexity help explaining the following pre 2008 financial crisis observations: (1) decrease in screening standards, (2) intensified rating shopping, (3) rating inflation, and (4) the decline in the differential between yields on assets with low and high ratings. Surprisingly, we find regulatory policies, such as mandatory rating and mandatory rating disclosure, to be counterproductive, both exacerbating resource mis-allocation.
      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* (* presented by coauthors)

Updated: October, 2014