David Sraer

David Sraer

Associate Professor

UC Berkeley

Biography

David Sraer is an associate professor at UC Berkeley, in the department of economics and the Haas school of business, where he currently serves as the chair of the finance unit. He holds the James J. and Marianne B. Lowrey Chair in Business.

David is a finance department editor for Management Science and an associate editor for the Journal of Finance.

He is also a member of the Economic Council of the French Prime Minister (CAE), a research associate at the NBER and a research affiliate at the CEPR.

Interests

  • Corporate Finance
  • Macro-Finance
  • Behavioral Finance

Publications

Peer-reviewed articles

(2022). Quantifying Reduced-Form Evidence on Collateral Constraints. Journal of Finance.

PDF DOI

(2013). Bottom-up Corporate Governance. Review of Finance.

PDF DOI

(2012). The Collateral Channel. American Economic Review.

PDF DOI

(2011). Growth LBO. Journal of Financial Economics.

PDF DOI

(2011). Individual Investors and Volatility. Journal of Finance.

PDF DOI

Teaching

PhDBA 239FB: Corporate Finance Theory (Fall 2022, 2021)

MFE 230S: Behavioral Finance (Spring 2022, 2020, 2019, 2018, 2017, 2016)

EWMBA 203: Introduction to Finance (Spring 2019, 2018, 2017)

EWMBA 236F: Behavioral Finance (Spring 2015)

UGBA 136F: Behavioral Finance (Spring 2016, 2015)

PHD 297T: Inefficient Markets (Spring 2017, 2016, 2015)

Data

Replication file for “The Collateral Channel” (2012) by Chaney, Sraer and Thesmar: You can find a replication folder on the AER website here

Replication file for “Speculative Betas” (2016) by Hong and Sraer: You can download here a zip file that contains the code and source files necessary to replicate the results in the current version of Speculative Betas. You need, however, to download all the datasets necessary to construct the beta portfolios and the main time-series used in the analysis (stock return data from CRSP, dispersion of analyst forecasts from IBES, etc.). The zip file contains a readme.doc file that explains precisely how to do this and how to run the code.

To allow for a quick replication of the main result in our paper, we also provide two additional STATA datasets and a do file in this zip file:

  • 20_beta_sorted_portfolios.dta contains the value-weighted returns of 20 beta sorted portfolios excluding microcaps, penny stocks and using NYSE thresholds.

  • 40_beta_portfolios_spec_nonspec.dta contains the value-weighted returns of 20 beta sorted portfolios constructed from speculative stocks and 20 beta portfolios constructed from non-speculative stocks.

  • main_table.do contains a program to run the main analysis of the paper presented in Table 3 (panel A) and Table 5 using only these two datasets.

If you have any question/comments about these programs and datasets, please contact David Sraer

Replication package for “The Banking View of Bond Risk Premia” (2020) by Haddad and Sraer: You can find the replication folder here.

**Replication package for “Banks’ exposure to interest rate risk and the transmission of monetary policy” (2021) by Gomez, Landier, Sraer and Thesmar: You can find the replication folder here.

Contact