Curriculum Vitae

De, Koustav

1735 Washtenaw Avenue, Ann Arbor, MI 48104 | 734-834-8622 | koustavd@umich.edu

Education:

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).
·   Stephen M. Ross Doctoral Fellowship (2013-present).
·   Best MSQE Student of the Year Award 2011.

Employment:

2013-present
·   I am a PhD candidate at the Ross School of Business, researching on asset pricing and behavior of individual investors.
2012-2013
·   Worked at Deloitte Consulting (Hyderabad, India) as an Actuarial Analyst.
2007-2010
·    Worked at development and design projects at Tata Consultancy Services (Kolkata, India).

Research:

Increased Demand for High Beta Stocks among Investors in the Loss & Related Asset Pricing Distortions (Job Market Paper)
This paper empirically shows that investors tend to buy higher beta stocks following small realized losses. This behavior is observed in institutional as well as individual investors, but more pronounced in lower skilled individual investors who on an average buy a new stock with up to 15% higher beta than that of the old stock they were holding. This behavior can be inferred from a theoretical framework where agents with prospect theory utility and narrow framing choose optimal risk level within each mental account and decide endogenously whether to close a mental account or keep it open. And finally with this insight into investor trading behavior I suggest an improvement to betting against beta trading strategy that can improve the Sharpe ratio by more than twice.

Consumption Based Asset Pricing Adjusting for Measurement Error in Consumption (working paper  2015)
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 2014)
This paper finds evidence that despite disposition effect investor decision to sell or hold on to stock is rational in the short run. First of all, 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.

Additional Interests:

·   I am also recipient of Telluride Association scholarship and live in the scholarship house of their Michigan Branch, it is provided to individuals of good academic standing at University of Michigan and who are interested in community related work. I am involved in tutoring 9th standard students from underprivileged background.

·   Film making also interests me, I have been involved with a group making documentaries. I also maintain a website for films made by our group and some other similar groups and individuals.

[link to pdf CV]