Faculty Profile



Dr. Sirmans joined the Harbert College of Business in 2018 as an Assistant Professor of Finance. His teaching experience includes Principles of Business Finance, Debt and Money Markets, International Finance, MBA Advanced Corporate Finance, and PhD Seminar on Investments. Prior to joining Auburn University, Dr. Sirmans was on the faculty at the University of Arkansas. He received his PhD in Finance from the University of Florida in 2014.

His research has been featured in conferences across the U.S., Europe, Asia, and the Middle East. His paper "Exodus from Sovereign Risk" was awarded the WRDS Best Paper in Empirical Finance. His paper "Related Securities and the Cross-Section of Stock Return Momentum" recently came in 2nd place in the Chicago Quantitative Alliance (CQA) Annual Academic Competition.

Research Areas

Investments, International Finance, Politics and Finance, Sovereign Risk, Credit Default Swaps, Firm Distress, Real Estate


Research Projects

  • Exodus from Sovereign Risk
    Jongsub Lee, Andy Naranjo, Stace Sirmans
    The Journal of Finance, 71:4 (2016)

    2013 WRDS Best Paper in Empirical Finance

    Using 5-year credit default swap (CDS) spreads on 2,364 companies in 54 countries during 2004-2011, we show that firms exposed to better property rights institutions through their foreign asset positions (Institutional channel) and firms whose stocks are listed on exchanges with stricter disclosure requirements (Informational channel) reduce their CDS spreads by 40 bps for a one standard deviation increase in their exposure on the two channels. These channels capture distinct effects beyond those associated with firm- and country-level fundamentals. Overall, we find that firm-level global asset and information connections are important mechanisms to delink firms from their sovereign risk.

    2013 SFS Finance Cavalcade (Miami, Florida)
    2013 WU Gutman Symposium (Vienna, Austria)
    2013 China International Conference in China (Shanghai, China)
    2013 Southern Finance Association (Puerto Rico, USA)
    Texas A&M University
    Brigham Young University
    Clemson University
    University of Missouri
    Iowa State University
    University of Arkansas
    Tulane University
    University of Florida

  • Determinants of Mortgage Interest Rates
    Stace Sirmans, Stanley D. Smith, G. Stacy Sirmans
    Journal of Real Estate Finance and Economics, 50:1 (2015)

    The 10-year Treasury rate has long been considered the primary determinant of 30-year mortgage interest rates. The contemporaneous 10-year LIBOR swap rate is shown to better explain the contemporaneous mortgage rate than the contemporaneous 10-year Treasury rate. This result appears to hold over most of the sample period, 1987–2011, using a variety of statistical tests. Given the long-held belief that the mortgage rate is best explained by the 10-year Treasury rate, this paper makes an important contribution to the literature by demonstrating that the swap rate is superior.

    2012 American Real Estate Society

  • Related Securities and the Cross-Section of Stock Return Momentum
    Jongsub Lee, Andy Naranjo, Stace Sirmans

    2016, 2nd Place in the Chicago Quantitative Alliance Academic Competition

    We document that related securities linked through firm fundamentals provide important cross-market return performance information. During 2003-2015, we find significantly stronger stock return momentum for entities whose past stock and CDS returns are in congruence versus entities whose past stock and CDS returns disagree. A dynamic stock trading strategy based on this cross-sectional performance differential earns an annualized alpha of nearly 18% with a Sharpe ratio of 1.37, avoids crash risk, and is robust to out-of-sample tests using international stocks. Relative pricing of credit across related securities explains, in part, the cross-section of stock return momentum.

    2018 CBOE/FMA Conference on Derivatives and Volatility in Chicago, IL
    2016 Financial Management Association Annual Meeting in Las Vegas, NV
    2016 Chicago Quantitative Alliance Fall Meeting in Chicago, IL
    2016 Northern Finance Association Annual Conference in Mont Treblant, Quebec
    2016 Financial Econometrics and Empirical Asset Pricing Conference in Lancaster, UK
    2016 European Financial Management Association Annual Meeting in Basel, Switzerland
    2016 9th Annual Meeting of the Risk, Banking, and Finance Society in Jerusalem, Israel
    2015 Southern Finance Association (Captiva Island, Florida)
    University of South Florida
    Auburn University
    University of Arkansas

  • CDS Momentum: Slow Moving Credit Ratings and Cross-Market Spillovers
    Jongsub Lee, Andy Naranjo, Stace Sirmans

    2014 FMA Best Paper in Investments (Previous Version)

    We show that endogenous information signaling in the CDS market, together with sluggish updates on corporate credit ratings assigned by major rating agencies, creates anomalies such as return momentum within the CDS market and across CDS-to-stock return momentum. Using 5-year credit default swap (CDS) contracts on 1,247 U.S. firms from 2003 to 2011, a three-month formation and one-month holding period CDS momentum strategy yields 52 bps per month with a Sharpe ratio of 0.423. The performance is better for entities with lower credit ratings (83 bps per month), high CDS depth (80 bps per month), and during the financial crisis (97 bps per month). Furthermore, our cross-market tests show that by incorporating past CDS returns into the stock momentum portfolio formation process, traditional stock momentum strategies avoid abrupt losses during the crisis period and improve their performance by a net of 104 bps per month. This joint-market momentum strategy is particularly profitable for entities with high CDS depth. Importantly, we show that both within the CDS market and CDS-to-stock joint-market, momentum profits exist because CDS returns correctly anticipate future credit rating changes. This mechanism completely differentiates CDS momentum from bond return momentum.

    2017 Southwestern Finance Association Annual Meeting (Little Rock, Arkansas)
    2015 Southwest Symposium (Tulsa, Oklahoma)
    2015 American Economic Association (Boston, Massachusetts)
    2014 Financial Management Association (Nashville, Tennessee)
    2014 XXIII International Rome Conference on Money, Banking and Finance (Rome, Italy)

  • Credit Default Swaps, Equity Risk, and Corporate Risk-Taking
    Hong Liu, Stace Sirmans, Kangzhen Xie

    This study links the trading of CDS contracts to increased equity risk and reduced corporate risk-taking. Because the CDS hinders successful debt renegotiation with creditors and weakens shareholders' put option to strategically default, equity values of CDS firms are more sensitive to cash flow risk. As a result, we show that the onset of CDS trading is accompanied by a rise in equity market beta and return volatility, particularly for firms with poor credit ratings, high liquidation costs, and broad CDS market depth. In the years after CDS trading begins, we find that firms reduce corporate risk-taking by pushing for diversification across industries, scaling back risky R&D investment, and reducing demand for leverage. Overall, this study highlights the importance of the firm's relationship with creditors for shareholder risk and corporate decision-making.

    2017 Financial Management Association (Boston, Massachusetts)

  • Maturity Clienteles in the Municipal Bond Market
    David T. Brown, Stace Sirmans

    This paper finds empirical support for the idea that term premiums arise when an excess supply of long-term bonds forces shorter holding period investors to bear price risk. The empirical support comes from the tax-exempt (municipal) bond market where an ex-ante measure of the expected excess return on long maturity bonds is significantly and negatively related to the size of the positions held by long holding period investors (property and casualty insurance companies) and hence negatively related to the extent that short holding period investors are required to hold long-term bonds. The required excess returns on longer term bonds (term premiums) would cause implied marginal tax rates to decline with maturity and thus are a new potential explanation for at least part of the “muni puzzle” (Chalmers, 1998).

    2012 Midwest Finance Association (New Orleans, Louisiana)
    2012 University of Florida Seminar (Gainesville, Florida)
    2013 Municipal Finance Conference (Boston, Massachusetts)


  • Principles of Finance

    Introduction to the financial system and financial management. Addresses the role and functions of financial intermediaries and markets for fixed income and equity securities; understand how interest and exchange rates are determined and assets valued; learning how firms effectively manage financial resources and create value through investment and financing decisions.

    Principles of Managerial Finance, Brief (7th Edition) with MyFinanceLab

    The Wall Street Journal
    CNBC News
    Bloomberg News

  • International Finance

    This course covers principles of finance from the perspective of a multinational corporation or an investor in foreign financial markets. Knowledge of international finance is a fascinating subject and is becoming increasingly important as global economies become more integrated. Much of the class will have the feel of a course in political science. We will start by discussing aspects of the global financial environment, such as exchange rate markets, monetary policy, and macroeconomic conditions. Then, we will explore issues with managing a multinational firm, such as political and currency exposures and obtaining foreign financing.

    Multinational Business Finance (14th Edition) with MyFinanceLab

    CNN Money World News
    International Business Times
    CNBC World News & Analysis
    Financial Times Global Economy

  • Advanced Corporate Finance

    This course dives into key concepts of applied corporate finance not previously introduced in the prerequisite Corporate Finance course. We will examine the most common valuation methodologies used on Wall Street and learn how they are used for investments in venture capital, IPOs, mergers & acquisitions, real estate, and distressed securities. These skills are critical for corporate executives looking to create value, investment bankers assisting in raising capital, and hedge fund professionals seeking a good investment opportunity. Together, we will go through each step in the valuation process while discussing cases and real-world examples along the way.

    Prerequisite: FINN3043

  • PhD Seminar on Investments

    This is an advanced doctoral research seminar on investments. Class time is devoted to discussing influential academic articles, theoretical underpinnings, empirical methodologies, and recent trends in the literature. The course objective is to become acquainted with and engage in academic research on investments.

    Prerequisite: N/A