Tatyana Marchuk

Davydiuk, Tetiana; Marchuk, Tatyana & Rosen, Samuel (2023)

Market Discipline in the Direct Lending Space

The Review of financial studies Doi: 10.1093/rfs/hhad081

Using the exclusion of business development companies (BDCs) from stock indexes, this paper studies the effectiveness of market discipline in the direct lending space. Amid share sell-offs by institutional investors, a drop in BDCs’ valuations limits their ability to raise new equity capital. Following this funding shock, BDCs do not adjust their capital structure while reducing the risk exposure of their portfolios. We document a greater reduction in risk for BDCs subject to stronger market discipline from their debtholders. BDCs pass through the capital shock to their portfolio firms by reducing their investment intensity.

Croce, Mariano Massimiliano; Marchuk, Tatyana & Schlag, Christian (2023)

The Leading Premium

The Review of financial studies, 36(8), s. 2997- 3033. Doi: 10.1093/rfs/hhad009

In this paper, we consider conditional measures of lead-lag relationships between aggregate growth and industry-level cash-flow growth in the US. Our results show that firms in leading industries pay an average annualized return 3.6% higher than that of firms in lagging industries. Using both time series and cross sectional tests, we estimate an annual pure timing premium ranging from 1.2% to 1.7%. This finding can be rationalized in a model in which (a) agents price growth news shocks, and (b) leading industries provide valuable resolution of uncertainty about the growth prospects of lagging industries.

Croce, Mariano Massimiliano; Marchuk, Tatyana & Schlag, Christian (2017)

The Leading Premium

[Academic lecture]. North American Summer Meeting of the Econometric Society.

Croce, Mariano Massimiliano; Marchuk, Tatyana & Schlag, Christian (2017)

The Leading Premium

[Academic lecture]. Society for Economic Dynamics.

Croce, Mariano Massimiliano; Marchuk, Tatyana & Schlag, Christian (2017)

The Leading Premium

[Academic lecture]. Western Finance Association.

Marchuk, Tatyana (2017)

The Financial Intermediation Premium in the Cross Section of Stock Returns

[Academic lecture]. NBER Summer Institute: Risk of Financial Institutions.

Marchuk, Tatyana (2017)

The Financial Intermediation Premium in the Cross Section of Stock Returns

[Academic lecture]. Arne Ryde Conference on Financial Intermediation.