Sergey Mazyavkin

Background

About Sergey Mazyavkin

I am a third-year Ph.D. in Finance candidate at the Alliance Manchester Business School, my research focuses on both theoretical and empirical asset pricing, with a particular emphasis on the cross-section of stocks' and options' returns. My work explores how firms' policies, shaped by real options, respond to various market phenomena and how these decisions influence expected returns. In my first paper, my co-authors and I explore the implications of "zombie firms" on the financing costs of healthy competitors in the same product markets. Using a real options model with Cournot competition, we demonstrate that zombie firms raise the financing costs for healthy firms, a finding supported by empirical evidence from standard asset pricing tests. My second paper focuses on the relationship between cross-sectional stock return predictors and delta-hedged option returns. While delta-hedging is designed to eliminate stock price exposure, I investigate why portfolio returns of delta-hedged options exhibit patterns similar to stock portfolios, offering a theoretical explanation. In addition to my research, I teach several courses on derivative instruments at both undergraduate and master’s levels, aligning with my core areas of expertise. I have also taught corporate finance and math courses. Before starting my Ph.D, I worked in risk management, where I dealt with automating risk reporting and credit risk monitoring systems. It was all about the application of a proper econometric modelling and statistical analysis to support strategic lending decisions. I also contributed to developing digital tools for liquidity risk calibration and enhancing data-driven decision-making for project finance initiatives.