Andrei Semenov
Associate Professor
Office: Vari Hall, 1028
Phone: (416) 736-2100 Ext: 77025
Email: asemenov@yorku.ca
Primary website: http://www.yorku.ca/asemenov
Professor Andrei Semenov graduated from Université de Montréal with a PhD degree in Economics. In 2003, he joined the Department of Economics at York University, Toronto.
Professor Semenov's research interest focuses on theoretical and empirical asset pricing, risk management, behavioral finance, and the econometrics of financial markets. He has an extensive publication record in leading international journals. Professor Semenov has received a number of honors, fellowships, and awards, including the Ben Graham Center for Value Investing Award for the best paper in areas related to asset pricing, market anomalies, and behavioral finance presented at the Annual Conference of the Multinational Finance Society (Jerusalem, 2019) and the Stephen A. Ross Best Paper Award for the best article published in Finance Research Letters in 2006.
Professor Semenov has served as a session organizer, session Chair, reviewer, and member of the program committee for numerous scientific conferences, as well as a reviewer for several leading scholarly journals. He is currently an Associate Editor of the British Journal of Economics, Management & Trade and a member of the Editorial Board of the Journal of Stock & Forex Trading.
Degrees
PhD Economics, Université de MontréalResearch Interests
- The Ben Graham Center for Value Investing Award for the best paper in areas related to asset pricing, market anomalies, and behavioral finance presented at the Annual Conference of the Multinational Finance Society (Jerusalem) - 2019
- The Stephen A. Ross Best Paper Award for the best article published in Finance Research Letters - 2006
"The stock size and the predictability of returns" (co-authored with Al.Semenov). In Statistical Mechanics and Random Walks: Principles, Processes and Applications, A. Skogseid and V. Fasano (Ed.), New York, Nova Science Publishers, Inc., 2012, pp. 509-544.
"The measure of relative risk aversion in the consumption CAPM with power utility", Applied Financial Economics Letters (from 2009 incorporated into Applied Economics Letters), Vol. 2, Issue 2 (March 2006), 111-114.
"Disentangling risk aversion and intertemporal substitution through a reference level" (co-authored with R. Garcia and É. Renault), Finance Research Letters, Vol. 3, Issue 3 (September 2006), 181-193 (winner of the Stephen A. Ross Best Paper Award for the best article published in Finance Research Letters in 2006).
"Testing the random walk hypothesis through robust estimation of correlation", Computational Statistics & Data Analysis, Vol. 52, Issue 5 (January 2008), 2504-2513.
"Historical simulation approach to the estimation of stochastic discount factor models", Quantitative Finance, Vol. 8, Issue 4 (June 2008), 391-404.
"Estimation of the consumption CAPM with imperfect sample separation information", International Journal of Finance and Economics, Vol. 13, Issue 4 (October 2008), 333-348.
"Risk factor beta conditional Value-at-Risk", Journal of Forecasting, Vol. 28, Issue 6 (September 2009), 549-558.
"Departures from rational expectations and asset pricing anomalies", Journal of Behavioral Finance, Vol. 10, Issue 4 (December 2009), 234-241.
"Uninsurable risk and financial market puzzles" (co-authored with P. Basu and K. Wada), Journal of International Money and Finance, Vol. 30, Issue 6 (October 2011), 1055-1089.
"Behavioral heuristics and financial modelling", Editorial, Journal of Stock & Forex Trading, Vol. 1, Issue 3 (July 2012).
"Is consumption risk priced in the stock market?", Journal of Empirical Finance, Vol. 26, Issue C (March 2014), 112-130.
"The small-cap effect in the predictability of individual stock returns", International Review of Economics and Finance, Vol. 38 (July 2015), 178-197.
"Background risk in consumption and the equity risk premium", Review of Quantitative Finance and Accounting, Vol. 48, Issue 2 (February 2017), 407-439.
"Measuring the stock's factor beta and identifying risk factors under market inefficiency", The Quarterly Review of Economics and Finance, Vol. 80 (May 2021), 635-649.
Current Courses
| Term | Course Number | Section | Title | Type |
|---|---|---|---|---|
| Fall 2024 | AP/ECON2500 3.0 | A | Introductory Statistics for Economists I | LECT |
| Fall 2024 | AP/ECON2500 3.0 | D | Introductory Statistics for Economists I | LECT |
Upcoming Courses
| Term | Course Number | Section | Title | Type |
|---|---|---|---|---|
| Winter 2025 | AP/ECON2500 3.0 | M | Introductory Statistics for Economists I | LECT |
Professor Andrei Semenov graduated from Université de Montréal with a PhD degree in Economics. In 2003, he joined the Department of Economics at York University, Toronto.
Professor Semenov's research interest focuses on theoretical and empirical asset pricing, risk management, behavioral finance, and the econometrics of financial markets. He has an extensive publication record in leading international journals. Professor Semenov has received a number of honors, fellowships, and awards, including the Ben Graham Center for Value Investing Award for the best paper in areas related to asset pricing, market anomalies, and behavioral finance presented at the Annual Conference of the Multinational Finance Society (Jerusalem, 2019) and the Stephen A. Ross Best Paper Award for the best article published in Finance Research Letters in 2006.
Professor Semenov has served as a session organizer, session Chair, reviewer, and member of the program committee for numerous scientific conferences, as well as a reviewer for several leading scholarly journals. He is currently an Associate Editor of the British Journal of Economics, Management & Trade and a member of the Editorial Board of the Journal of Stock & Forex Trading.
Degrees
PhD Economics, Université de MontréalResearch Interests
Awards
- The Ben Graham Center for Value Investing Award for the best paper in areas related to asset pricing, market anomalies, and behavioral finance presented at the Annual Conference of the Multinational Finance Society (Jerusalem) - 2019
- The Stephen A. Ross Best Paper Award for the best article published in Finance Research Letters - 2006
All Publications
"The stock size and the predictability of returns" (co-authored with Al.Semenov). In Statistical Mechanics and Random Walks: Principles, Processes and Applications, A. Skogseid and V. Fasano (Ed.), New York, Nova Science Publishers, Inc., 2012, pp. 509-544.
"The measure of relative risk aversion in the consumption CAPM with power utility", Applied Financial Economics Letters (from 2009 incorporated into Applied Economics Letters), Vol. 2, Issue 2 (March 2006), 111-114.
"Disentangling risk aversion and intertemporal substitution through a reference level" (co-authored with R. Garcia and É. Renault), Finance Research Letters, Vol. 3, Issue 3 (September 2006), 181-193 (winner of the Stephen A. Ross Best Paper Award for the best article published in Finance Research Letters in 2006).
"Testing the random walk hypothesis through robust estimation of correlation", Computational Statistics & Data Analysis, Vol. 52, Issue 5 (January 2008), 2504-2513.
"Historical simulation approach to the estimation of stochastic discount factor models", Quantitative Finance, Vol. 8, Issue 4 (June 2008), 391-404.
"Estimation of the consumption CAPM with imperfect sample separation information", International Journal of Finance and Economics, Vol. 13, Issue 4 (October 2008), 333-348.
"Risk factor beta conditional Value-at-Risk", Journal of Forecasting, Vol. 28, Issue 6 (September 2009), 549-558.
"Departures from rational expectations and asset pricing anomalies", Journal of Behavioral Finance, Vol. 10, Issue 4 (December 2009), 234-241.
"Uninsurable risk and financial market puzzles" (co-authored with P. Basu and K. Wada), Journal of International Money and Finance, Vol. 30, Issue 6 (October 2011), 1055-1089.
"Behavioral heuristics and financial modelling", Editorial, Journal of Stock & Forex Trading, Vol. 1, Issue 3 (July 2012).
"Is consumption risk priced in the stock market?", Journal of Empirical Finance, Vol. 26, Issue C (March 2014), 112-130.
"The small-cap effect in the predictability of individual stock returns", International Review of Economics and Finance, Vol. 38 (July 2015), 178-197.
"Background risk in consumption and the equity risk premium", Review of Quantitative Finance and Accounting, Vol. 48, Issue 2 (February 2017), 407-439.
"Measuring the stock's factor beta and identifying risk factors under market inefficiency", The Quarterly Review of Economics and Finance, Vol. 80 (May 2021), 635-649.
Current Courses
| Term | Course Number | Section | Title | Type |
|---|---|---|---|---|
| Fall 2024 | AP/ECON2500 3.0 | A | Introductory Statistics for Economists I | LECT |
| Fall 2024 | AP/ECON2500 3.0 | D | Introductory Statistics for Economists I | LECT |
Upcoming Courses
| Term | Course Number | Section | Title | Type |
|---|---|---|---|---|
| Winter 2025 | AP/ECON2500 3.0 | M | Introductory Statistics for Economists I | LECT |
