Stephen Szaura

Title: 
PhD Student, Finance
Stephen Szaura
Contact Information
Email address: 
stephen.szaura [at] mail.mcgill.ca
Address: 

Bronfman Building [Map]
1001 rue Sherbrooke Ouest
Montreal, Quebec
Canada
H3A 1G5

Degree(s): 
  • Desautels Faculty of Management, McGill University 2015-2021 
    PhD in Management, Specialization in Finance
  • Ohio State University 2019-2020
    Visiting PhD student
  • Notre Dame University 2019
    Visiting PhD student
  • University of Toronto 2013-2015
    PhD in Statistics/Mathematical Finance – transferred and completed MSc. program
  • University of Waterloo 2011-2013
    Masters of Quantitative Finance
    Thesis Title: Structural Credit Risk Modeling of Closed End Bond Funds 
  • University of Manitoba 2004-2008
    Honours Bachelor of Science Degree (First Class Honours) - Joint Actuarial Mathematics and Statistics
Area(s): 
Finance
Group: 
PhD Student
Selected publications: 

P.P.Boyle and S. Szaura. Leverage and Closed End Bond FundsJournal of Fixed Income. v24(4). pp. 47-59. 2015.

Awards, honours, and fellowships: 

Awards

  • McGill Travel Grant ($2,900), March 2020
  • McGill Desautels PhD Student Teaching Award, October 2019
  • TMX Canadian Derivatives Scholarship ($15,000), July 2019
  • McGill Travel Grant ($2,800), December 2018
  • 2019 AFA Travel Grant Award, September 2018
  • 3rd Place in Graduate Management Consulting Association (GMCA) 2016 Case Competition, March 2016
  • 2nd Place in Winton Capital - Bellairs Stock Portfolio Performance Competition, January 2016
  • National Bank Financial Group Fellow ($5,000), August 2015, 2016
  • McGill Desautels Faculty of Management PhD student stipend ($20,000 per year), August 2015, 2016, 2017, 2018
  • Ontario Graduate Scholarship ($15,000), July 2014
  • University of Waterloo President’s Graduate Scholarship ($10,000) - declined, March 2013
  • National Science and Engineering Research Council (NSERC) PGS M ($17,500), March 2013
  • University of Waterloo MQF Research Assistantship ($2,000), March 2013
  • University of Waterloo President’s Graduate Scholarship ($10,000), September 2012
  • Ontario Graduate Scholarship ($15,000), September 2012
  • Featured work experience on Cultural Vistas website for 2012 Train USA Visa, September 2012

Actuarial Achievements

  • Enrolled in Enterprise Risk Management (ERM) FSA Module, January 8, 2016
  • Completed Financial Modelling FSA Module, January 30, 2015
  • Society of Actuaries Hickman Doctoral Fellowship and Renewals ($20,000), April 2013, 2014, 2015, 2016, 2017
  • Associate of the Society of Actuaries (ASA) designation, July 2009
  • Colin E. Jack Award for the highest mark on Society of Actuaries exam C/4 for Canadians, June 2009

Service

  • Volunteer for McGill Management Doctoral Program Recruitment – Finance Area Information Sessions, Oct 2016
  • Volunteer for McGill Masters in Management of Finance (McGill MMF) Information Sessions, Oct 2015
  • Paper Discussant for Northern Finance Association (NFA) Conference – “Impact of Sponsor Ownership on Fixed-Income Fund Performance”, September 12-14, 2014, Ottawa, Ontario
  • Volunteer Fire Warden for the Actuarial Department in Sun Life Group Retirement Services, Sept 2010 - July 2011
  • Volunteer for Team Sun Life Financial in Motionball Marathon of Sports, May 2011
  • Sun Life Financial P4 Award for demonstrating Partnership and Performance, March 2011
  • Sun Life Financial P4 Award for demonstrating Passion, December 2010
  • Society of Actuaries volunteer examination invigilator, May 2009
Conferences: 
  • Bellairs Workshop and Tutorial of High-Dimensional Learning for Financial Data – “A Momentum Stock Trading Strategy using Economic Sentiment Data for S&P 500 Stock Predictions” - Conference Trading Strategy Presentation, January 15-22, 2016, Bellairs Research Institute, Barbados
  • Montreal Institute of Structure Finance and Derivatives IFSID Conference - Attendee, September 25-26, 2015, Montreal, Quebec
  • University of Waterloo Masters in Quantitative Finance Alumni Conference and Annual Dinner*, October 4, 2014, Waterloo, Ontario
  • Northern Finance Association (NFA) Conference – “Impact of Sponsor Ownership on Fixed-Income Fund Performance” - Paper Discussant, September 12-14, 2014, Ottawa, Ontario

*Presentation by co-author

Current research: 

Working Papers:

1. Do Asset Pricing Factors Really Price Corporate Bond Returns? v1(1). pp. 1-64. 2020.

2. Do Option-Based Measures of Stock Mispricing Find Investment Opportunities or Market Frictions? v1(1). pp 1 - 49. 2019. with Martijn Cremers, Ruslan Goyenko, and Paul. Schultz.
Recipient of 2018 CDI Research Grant ($45,000) and SSHRC Insight Grant (Ruslan)

3. Accounting Transparency and the Implied Volatility Smile. v1(1). pp. 1 – 45. 2020. with Hitesh Doshi, Jan Ericsson, and Fan Yu.

Work in Progress:

4. Option Idiosyncratic Jumps and Expected Option Returns 2018. with Yoontae Jeon

Pre-PhD-Publications

5. P.P.Boyle and S. Szaura. Leverage and Closed End Bond Funds. Journal of Fixed Income. v24(4). pp. 47-59. 2015.

Presentations

(Paper in ( ), * indicates presentation by coauthor)

  • CUHK Derivatives and Quant Investing Conference (2*), October 14, 2019, Hong Kong
  • SUNY Buffalo Finance Seminar (2*), October 4, 2019, Buffalo, New York
  • Notre Dame University Finance Brownbag Seminar (2*), September 27, 2019, South Bend, Indiana
  • McGill Finance Seminar (2*), April 5, 2018, Montreal, Quebec
  • Bank of Canada – Laurier Market Structure Conference PhD student poster session (4), May 7, 2018, Ottawa, Ontario
  • Joint HEC/McGill Finance PhD student workshop (4), April 20, 2017, McGill University, Montreal, Quebec
  • University of Waterloo Masters in Quantitative Finance Alumni Conference and Annual Dinner (5), October 4, 2014, Waterloo, Ontario
  • Oxford University – Man Institute of Quantitative Finance (5*), October 18, 2013, Oxfordshire, England

Research interests

Empirical Asset Pricing, Derivatives, Credit Risk, Fixed Income

Coronavirus (COVID-19)

For the latest information on McGill University's response to COVID-19, please visit the Coronavirus Information website.

For Desautels specific updates please visit our COVID-19 FAQ page.

Back to top