Curriculum Vitae

De, Koustav

[link to pdf CV]


·   I am a PhD candidate at the Ross School of Business, researching on asset pricing and behavior of individual investors.
·   Worked at Deloitte Consulting (Hyderabad, India) as an Actuarial Analyst.
·    Worked at development and design projects at Tata Consultancy Services (Kolkata, India).


PhD|3rd year Candidate | Stephen M. Ross School of Business, University of Michigan
·   Major: Finance
·   Focus on Asset Pricing and Behavioral Finance

MS | May 2012 | Indian Statistical Institute, Kolkata
·   Major: Quantitative Economics (MSQE)
·   Focus on Economics, Econometrics, Finance

BE | Aug 2007 | Jadavpur University, Kolkata
·   Major: Electrical Engineering

Fellowship Honors and Awards

·   Telluride Scholarship (2015-present).
·   Allan D. Gilmour Doctoral Fellowship (2014, 2016-present).
·   Stephen M. Ross Doctoral Fellowship (2013-present).
·   Best MSQE Student of the Year Award (2011).


Losers Buy Beta (Job Market Paper)
I empirically show that investors tend to buy higher beta stocks following realized losses. This behavior is observed in institutional as well as individual investors, but is more pronounced among individual investors with lower expertise, who on an average buy a new stock with up to 15% higher beta than that of the old stock they were holding. For an agent with utility consistent with prospect theory, this behavior emerges as the optimal response to her problem of maximizing utility within a mental account. Furthermore, this behavior can aggregate up during market downturns and cause pricing distortions in a direction similar to the beta anomaly. With this insight, I suggest a modification to the betting against beta trading strategy that can improve the Sharpe ratio more than twofold.

Consumption Based Asset Pricing Adjusting for Measurement Error in Consumption (working paper)
This paper presents a modification to the testable Euler equation in the form of an adjustment term due to additive measurement error in consumption data. The error in consumption data has the potential to magnify the equity premium puzzle in a CRRA framework and including the adjustment term leads to a reduction in the estimated risk aversion coefficient. The paper also empirically estimates a ballpark figure for the variance of measurement error and demonstrates a significant resolution of the puzzle by including measurement error in the model.

Disposition Effect and Market Timing (working paper)
This paper finds evidence that despite disposition effect investor decision to sell or hold on to stock is rational in the short run. Running hazard models on a large data-set spanning over fourteen years, I find that the decision to sell a stock is more related to its short term return jump, rather than its overall return over the entire holding period. Moreover, individuals’ decision to sell/hold a stock is extremely well timed in the short run (weekly horizon). On average, individual investors are successful at timing their selling/holding decisions of individual stocks, both with respect to the market performance and the overall performance of their own portfolios.


Teaching Experience:

Taught FIN 300 (Winter 2016, Ross School of Business) Core finance course for BBA students.

Assisted FIN 408 (Winter 2017, Ross) Capital Market and Investment Strategy for BBA students.


Conference Presentations:

·   Summer Research Conference (Indian School of Business, Hyderbad 2017)
·   Special PhD Paper Presentations (FMA, Boston 2017)