About

Bernard Herskovic is an associate professor of finance at UCLA Anderson School of Management. His broad research interests include financial economics, economic theory, and macroeconomics. His most recent research demonstrates that changes in input-output networks are sources of systematic risk reflected in equilibrium asset prices. This work serves as a foundation for future research applying network theory to asset pricing and financial economics. Herskovic's other research covers a wide range of disciplines, from the idiosyncratic volatility of stock returns to endogenous network formation in environments involving information acquisition. He has a strong background in economics, having earned a Ph.D. in Economics from New York University in 2015, along with a master's degree from Pontifícia Universidade Católica do Rio de Janeiro and a bachelor's degree from Universidade Federal de Minas Gerais. His teaching experience includes developing and teaching a summer course on international trade and finance at NYU for economics majors. Herskovic emphasizes mathematical precision in his teaching while maintaining focus on underlying intuition, applying this approach to courses such as Investment Management for full-time and fully employed MBA programs. His research has been recognized with awards such as the Cubist Systematic Strategies Ph.D. Candidate Award for Outstanding Research and the C.V. Starr Center Fellowship.

Research topics

• Computer Science
• Econometrics
• Economics
• Business
• Microeconomics
• Finance
• Monetary economics
• Actuarial science
• Commerce
• Mathematical economics
• Marketing

Selected publications

• Interdealer Price Dispersion and Intermediary Capacity

  SSRN Electronic Journal · 2024-01-01

  articleOpen access
  PublisherDOI

• Interdealer Price Dispersion and Intermediary Capacity

  National Bureau of Economic Research · 2024-09-01 · 4 citations

  reportOpen access

  Intermediation capacity varies across dealers, and as a result, misallocation of credit risk reduces the risk-bearing capacity of the dealer sector and increases effective market-level risk aversion. When the efficient reallocation of credit risk within the dealer sector is impaired, interdealer price dispersion increases. Empirically, when interdealer price dispersion increases, bond prices decrease. Interdealer price dispersion explains a substantial portion of bond yield spread changes, the cross-section of bond returns, and the changes in the basis between bond spread and fair-value spreads. We conclude interdealer frictions reduce the risk-bearing capacity of intermediaries and are crucial for intermediary bond pricing.

  PublisherDOI

• Information Leakage from Short Sellers

  SSRN Electronic Journal · 2023-01-01

  articleOpen accessSenior author
  PublisherDOI

• Income-Based Affirmative Action in College Admissions

  The Economic Journal · 2023-02-02 · 1 citations

  articleCorresponding

  Abstract We study whether college admissions should implement quotas for lower-income applicants. We develop an overlapping-generation model and calibrate it to data from Brazil, where such a policy is widely implemented. In our model, parents choose how much to invest in their child’s education, thereby increasing both human capital and likelihood of college admission. We find that, in the long run, the optimal income-based affirmative action increases welfare and aggregate output. It improves the pool of admitted students, but distorts pre-college educational investments. The welfare-maximising policy benefits lower- to middle-income applicants with income-based quotas, while higher-income applicants face fiercer competition in college admissions. The optimal policy reduces intergenerational persistence of earnings by 5.7% and makes nearly 80% of households better off.

  PublisherDOI

• Information Leakage from Short Sellers

  SSRN Electronic Journal · 2023-01-01

  articleOpen accessSenior author
  PublisherDOI

• Replication package for: "Income-Based Affirmative Action in College Admissions"

  Zenodo (CERN European Organization for Nuclear Research) · 2023-01-23

  articleOpen access

  Replication package for: "Income-Based Affirmative Action in College Admissions" by Luiz Brotherhood, Bernard Herskovic, and Joao Ramos

  PublisherDOI

• Micro uncertainty and asset prices

  Journal of Financial Economics · 2023-04-29 · 10 citations

  articleOpen access1st authorCorresponding
  PublisherOA PDFDOI

• Information Leakage from Short Sellers

  National Bureau of Economic Research · 2023-12-01 · 2 citations

  reportOpen accessSenior author

  Using granular data on the entire Brazilian securities lending market merged with all trades in the centralized stock exchange, we identify information leakage from short sellers.Our identification strategy explores trading execution mismatches between short sellers' selling activity in the centralized exchange and borrowing activity in the over-the-counter securities lending market.We document that brokers learn about informed directional bets by intermediating securities lending agreements and leak that information to their clients.We find evidence that the information leakage is intentional and that brokers benefit from it.We also study leakage effects on stock prices.

  PublisherDOI

• Comment on “Stress Relief? Funding Structures and Resilience to the Covid Shock”

  Journal of Monetary Economics · 2023-05-15

  article1st author
  PublisherDOI

• OTC Intermediaries

  Review of Financial Studies · 2022 · 17 citations

  • Computer Science
  • Business
  • Monetary economics

  Abstract We study the effect of dealer exit on prices and quantities in a model of an over-the-counter market featuring a core-periphery network with bilateral trading costs. The model is calibrated using regulatory data on the entire U.S. credit default swap (CDS) market between 2010 and 2013. Prices depend crucially on the risk-bearing capacity of core dealers, yet unlike standard models featuring a dealer sector, we allow for heterogeneity in dealer risk-bearing capacity. This heterogeneity is quantitatively important. Depending on how well dealers share risk, the exit of a single dealer can cause credit spreads to rise by 8 $\%$ to 24$\%$.

  PublisherDOI

Frequent coauthors

• Stijn Van Nieuwerburgh

  Graduate School USA

  65 shared

• Hanno Lustig

  42 shared

• Bryan Kelly

  41 shared

• João Ramos

  Iscte – Instituto Universitário de Lisboa

  14 shared

• Fernando Chague

  12 shared

• Bruno Giovannetti

  Fundação Getulio Vargas

  12 shared

• Bryan T. Kelly

  Capital University

  12 shared

• Howard Kung

  London Business School

  10 shared

Awards & honors

• Cubist Systematic Strategies Ph.D. Candidate Award for Outst…
• C.V. Starr Center Fellowship (2012)
• McCracken PH.D. Fellowship (2010–2015)
• Honorable Mention, MA dissertation Summer Paper, PUC-Rio (20…