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I am an Assistant Professor of Finance (tenure track) at Schulich School of Business, York University. I am an applied financial economist with broad research interests in asset pricing. To date, my research can be generally grouped into work on (1) market liquidity, and (2) the role of financial institutions in capital markets.
Honours
2018 WU Visiting Fellow, travel grant for a research stay at Rotman School of Management, WU Vienna University for Economics and Business
2016 High Potential Contact Weeks, travel grant for a research stay at Rotman School of Management, WU Vienna University for Economics and Business
Recent Publications
Christoffersen, S. K., Musto, D. K., Keim, D. B., Rzeźnik, A. (Forthcoming), "Passive-Aggressive Trading: The Supply and Demand of Liquidity by Mutual Funds", Review of Finance.
Abstract
Active mutual funds supply liquidity when demanding it becomes uneconomical. They tilt toward cheaper buy trades after inflows deplete their trading ideas, when trading ideas in general run low, and when they have more stocks to supply liquidity to, and their cheaper trades perform worse. Their largest trades are more likely to supply liquidity, explaining why they were not broken up. Funds perform better when they pay more for their buys, and perform worse when they pay more for their sells, consistent with the implied value of the trades and the correlation between what a fund trades and what it holds.
Aleksandra Rzeźnik
Assistant Professor of Finance