Professor of Finance
Gergana Jostova is a professor of finance at the George Washington University School of Business and a CFA charterholder. She joined GW in 2002 after completing her PhD in finance at Boston College. Her research focuses on empirical asset pricing, investments, credit risk and its relation to profitable trading strategies. She has published in the Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Review of Asset Pricing Studies, Journal of Financial and Quantitative Analysis, Journal of Business, Journal of Financial Markets, and the Financial Analysts Journal. Her research has won selective awards from INQUIRE-Europe, the Q-group, the FDIC Center for Financial Research, and the Chicago Quantitative Alliance. Prior to joining GW, she has worked for the Trading Strategy Research Groups at JPMorganChase and Deutsche Bank in New York City.
- 2018 Hillcrest Behavioral Finance Award finalist | 2019
- IQ-KAP Research Prize, First place, by Deka Bank, Frankfurt | 2018
- Best Referee Award, Review of Asset Pricing Studies | 2017
- 2013 Fama-DFA Prize for the Best Paper Published in the Journal of Financial Economics in the Areas of Capital Markets & Asset Pricing, Second Prize | 2014
- 2012 Review of Asset Pricing Studies Best Paper Award | 2013
- INQUIRE Europe Research Award | 2011
- Q-group Research Award | 2011
- Financial Management Association, Asian Conference Best Paper Award | 2010
- Dean’s Research Scholar Research Award, GWSB | 2009 – 2011
- FDIC’s Center for Financial Research Award | 2009
- Q-group Research Award | 2008
- Dean’s Research Scholar Research Award, GWSB | 2007 – 2009
- Teaching Excellence Award | 2007
- Outstanding Faculty Mentor Award (student award) | 2007
- Global and Entrepreneurial Finance Research Institute (GEFRI)’s Award | 2006
- Chicago Quantitative Alliance Annual Academic Competition Award | 2005
- Crain Research Fellowship Award, GWSB | 2005
- Midwest Finance Association Best Paper Award in Investments | 2002
- Magna Cum Laude, American University in Bulgaria | 1996
- Mid-European Student Advertising Competition, third prize | 1995
- National Champion in Physics, Bulgaria | 1989
Ph.D., Finance, Boston College, 2002
M.S., Finance, Boston College
B.A., Business Administration & Applied Economics, American University in Bulgaria, 1996
- BADM 3501 • Financial Management & Markets
- MBAD 6233 • Financial Markets
- FINA 6275 • Investment Analysis/Portfolio Management
- FINA 6278 • Financial Theory and Research (Part II)
- FINA 8397 • Empirical Investments
Prof. Jostova’s research explores topics in empirical asset pricing, investments, and credit risk. Her recent research analyzes a range of profitable trading strategies in stock and bond markets, both in the U.S. and internationally. Her papers examine how these market anomalies relate to credit risk, trading frictions, investor behavior, analyst recommendations, and the trading behavior of mutual and hedge funds.
- “The Distress Anomaly is Deeper Than You Think: Evidence from Stocks and Bonds” (with Doron Avramov, Tarun Chordia, & Alexander Philipov). Review of Finance, 2021, forthcoming.
- “Style and Skill: Hedge Funds, Mutual Funds, and Momentum” (with Mark Grinblatt, Lubomir Petrasek, and Alexander Philipov), Management Science, 2020, Vol. 66 (12), pp. 5505-5531.
- “Determinants of Corporate Bond Trading: A Comprehensive Analysis” (with Edith Hotchkiss), Quarterly Journal of Finance, 2017, Vol. 7 (2).
- Momentum in Corporate Bond Returns (with Stanislava Nikolova, Alexander Philipov, & Christof Stahel). Review of Financial Studies, 2013, Vol. 26 (7), pp. 1649-1693.
Data available for download: Bond Momentum Profits.
- Anomalies and Financial Distress (with Doron Avramov , Tarun Chordia, & Alexander Philipov) Journal of Financial Economics, 2013, Vol. 108 (1), pp. 139-159.
2013 JFE Prize: Fama/DFA Prize for Capital Markets & Asset Pricing, 2nd Prize.
- The World Price of Credit Risk (with Doron Avramov , Tarun Chordia, & Alexander Philipov). Review of Asset Pricing Studies, 2012, Vol. 2 (2), pp. 112-152.
2012 RAPS Best Paper Award.
Data available for download: World Credit Risk Factor.
- Credit Ratings and the Cross-Section of Stock Returns (with Doron Avramov, Tarun Chordia, & Alexander Philipov) Journal of Financial Markets, 2009, Vol. 12, p. 469-499.
- Dispersion in Analysts’ Earnings Forecasts and Credit Rating (with Doron Avramov, Tarun Chordia, & Alexander Philipov). Journal of Financial Economics, 2009, Vol. 91, p. 83-101.
- Momentum and Credit Rating (with Doron Avramov, Tarun Chordia, & Alexander Philipov). Journal of Finance 2007, Vol. 62, No. 5, p. 2503-2520.
- Understanding Changes in Corporate Credit Spreads (with Doron Avramov & Alexander Philipov). Financial Analysts Journal 2007 (March/April), Vol. 63, No. 2, p. 90-105.
- Predictability in Emerging Sovereign Debt Markets. Journal of Business 2006, Vol. 79, No. 2, p. 527-565.
- Bayesian Analysis of Stochastic Betas (with Alexander Philipov). Journal of Financial and Quantitative Analysis 2005, Vol. 40, No. 4, p.747-778.
World Credit Risk Factor, 1989 – 2009
Description: The world credit risk factor is constructed as follows. Each month, countries are sorted into terciles based on their sovereign credit rating at the end of month t-1. In month t, the return for each tercile is calculated as the equally weighted average monthly return across all countries in the tercile. The world credit risk factor is defined as the return differential between high and low credit risk countries. The sample consists of 75 countries (24 developed and 51 emerging). Returns are U.S. dollar denominated.
Bond Momentum Profits (P10-P1 returns), 1974 – 2011
Description: Each month t, bonds are sorted into decile portfolios, P1 to P10, based on their cumulative returns over months t-6 to t-1 (formation period). The momentum strategy is long the winner portfolio, P10, and short the loser portfolio, P1. These positions are held over a six-month holding period (t+1 through t+6, i.e., after a one-month lag). Portfolio returns are equally weighted across their constituent bonds. The overall strategy month-t portfolio return is the equally weighted average month-t return of strategies implemented in the prior month and strategies formed up to six months earlier. The data represent the monthly momentum strategy profits (P10-P1) during the holding period. Momentum strategy profits are provided for all bonds, investment grade bonds, and non-investment grade bonds (the rating classification is done at the end of the formation period). The bond data is obtained from five databases – Lehman, DataStream, Bloomberg, TRACE, and FISD. The final sample contains a total of 81,491 U.S. corporate bonds over the period from January 1973 to June 2011.
- American Finance Association
- Journal of Applied Finance & Banking (2009-current)
Ad Hoc Reviewer
- Journal of Finance
- Review of Financial Studies
- Journal of Financial and Quantitative Analysis
- National Science Foundation
- Financial Analyst Journal
- Journal of Banking and Finance
- Journal of Financial Markets
- Journal of Financial Research
- European Central Bank WPS
- Journal of Financial Econometrics
- Review of Finance
- Financial Review
- Quantitative Finance
- Society of Financial Studies Cavalcade Annual Meeting,
2014 to present
- Financial Management Association Annual Meeting,
2011 to present
- Eastern Finance Association Annual Meeting, 2009, 2010
- Financial Management Association Annual Meeting, 2008
- Deutsche Bank, New York, NY, PhD Summer Associate (2001)
- Emerging Markets Research, Trading Floor.
- J.P. Morgan, New York, NY, PhD Summer Associate (2000)
- Emerging Markets Research, Trading Floor.
- Price Waterhouse, Sofia, Bulgaria, auditor, consultant (1995-1996)