Jacob S. Sagi

Associate Professor of Finance

Kenan-Flagler Business School

The University of North Carolina at Chapel Hill

McColl 4109, CB #3490, Room #4412

Chapel Hill, NC 27599-3490

Tel: 919.962.8399

Fax: 615.343.7177

Official Website








·       Real estate finance and capital markets (Mod 4)






·       “Modern Asset Pricing and Project Evaluation in the Energy Industry”, Journal of Energy Literature (2000), vol. 6, pp. 3-46 (with David Laughton and Michael Samis).

·       “Asset Pricing With Unforeseen Contingencies”, Journal of Financial Economics (2006), 82, 417-453 (with Alan Kraus).

·       “Firm Specific Attributes and the Cross-Section of Momentum”, Journal of Financial Economics (2007), 84, 389-434 (with Mark S. Seasholes).

·        “A Liquidity-Based Theory of Closed-End Funds”,  Review of Financial Studies (2009), 1, 257-299 (with Martin Cherkes and Richard H. Stanton)

Ψ  Winner of the ‘Best Paper’ award at the 2006 Utah Winter Finance Conference

·       “Trading Relative Performance with Alpha Indexes”, Financial Analyst Journal (2011), 67, 77-92 (with Robert E. Whaley).

·       “Predicting Risk from Financial Reports with Regression,” in Proceedings of Human Language Technologies: The 2009 Annual Conference of the North American Chapter of the Association for Computational Linguistics, pp. 272–280, Boulder, Colorado. Association for Computational Linguistics. (with Shimon Kogan, Dimitry Levin, Bryan Routledge, and Noah Smith).

·       “Managed Distribution Policies in Closed-End Funds and Shareholder Activism” forthcoming in the Journal of Financial and Quantitative Analysis (with Martin Cherkes and Jay Wang)



Working papers

·        “The Interaction Between Quality Control and Production”,  mimeo

·        “Endogenous Regime Changes in the Term Structure of Real Interest Rates”, mimeo (with Jorgen Haug)

·       “Do Fund Managers Make Informed Asset Allocation Decisions?”, mimeo (with Bradyn Breon-Drish)

·        “Dynamic Corporate Capital Stocks: Cross-sectional and Inter-temporal Return Patterns” mimeo (with Matt Spiegel and Masa Watanabe)

·       “Information Content of Public Firm Disclosures and the Sarbanes-Oxley Act” mimeo (with Shimon Kogan, Bryan Routledge, and Noah Smith)

·       “Estimating Oil Risk Factors Using Information from Equity and Futures Markets” mimeo (with Ethan Chiang and Keener Hughen)




·       “What is an ‘Endogenous State Space’? ”, Economic Theory (2006), vol. 27, pp. 305-320.

·       “Event Exchangeability: Probabilistic Sophistication without Continuity or Monotonicity”, Econometrica  (2006), vol. 74, pp. 771-786 (with Chew, Soo Hong)

·       “Anchored Preference Relations”, Journal of Economic Theory  (2006), vol. 130, pp. 283-295

·       “Inter-temporal Preference for Flexibility and Risky Choice”, Journal of Mathematical Economics (2006), vol. 42, pp. 698-709           (with Alan Kraus)

·       “Small worlds: modeling attitudes toward sources of uncertainty”, Journal of Economic Theory (2008), vol 139, pp. 1–24, (with Chew, Soo Hong)

Ψ  The 2003 version

·       “An Inequality Measure for Stochastic Allocations”, forthcoming at the Journal of Economic Theory, (with Chew, Soo Hong)


Working papers

·        “Modeling implications of source-invariance to Machina's `almost objective fair bets'” mimeo.

·       “You Need to Recognize Ambiguity to Avoid It” mimeo (with Chew, Soo Hong and Mark Ratchford)

o   Internet Appendix (Full description of the experiment)


Finance at Kenan-Flagler


Last updated January 4, 2013