Photo of Gill Segal

Gill Segal

Research Interests: asset pricing, macroeconomics, information and uncertainty, sovereign debt

Links: CV

Contact Information

Address: 2420A Steinberg-Dietrich Hall , 3620 Locust Walk, University of Pennsylvania, Philadelphia, PA 19104
Email: segalg@wharton.upenn.edu
Mobile: 215-350-7223

Overview

Dissertation Committee

Professors Amir Yaron (Chair), Itay Goldstein, João Gomes, and Ivan Shaliastovich.

 

Education

The Wharton School, University of Pennsylvania

  • Ph.D. candidate, Finance, 2010 - Present (expected graduation: May 2016)
  • M.A., Finance,  2012

Open University of Israel, Tel-Aviv, Israel

  • M.B.A., Summa Cum Laude,  2007
    •  Studied in parallel to military service at IDF.
  • B.A., Computer-Science, Cum Laude, 2004
    • Studied in parallel to high-school & graduated during 12th grade.

Research

Please see more information & research resources under the `Research' Tab above

Publications
  1. Good and Bad Uncertainty: Macroeconomic and Financial Markets Implications (with Ivan Shaliastovich and Amir Yaron), 2015
Working Papers
  1. A Tale of Two Volatilities: Sectoral Uncertainty, Growth, and Asset-Prices, 2015
    • Job Market Paper
  2. From Private-Belief Formation to Aggregate-Vol Oscillation, 2014
    • Accepted to WFA 2015
  3. The U.S. Economy and Sovereign Defaults, 2013
    • Awarded Best Second-Year PhD Paper
Work In Progress
  1. How Much Private Information Do Managers Have? Evidence From Structural Estimation, 2015.

 

Honors and Awards

  • Robert R. Nathan Fellowship, 2014
  • Jacobs - Levy Fellowship, 2013
  • Irwin Friend Doctoral Fellowship in Finance, 2012 (best second-year PhD paper)
  • Miller, Anderson & Sherrerd Graduate Fellowship in Finance, 2011-2012 (top scorer in the PhD preliminary exam)
  • Dean's Fellowship for Distinguished Merit, 2010-2016
 

Earlier Work Experience

  • Lecturer, Open University of Israel, Tel-Aviv, Israel, 2008-2010
  • Research Assistant, Bar-Ilan University & Hebrew University, 2008-2010
  • Software Developer and Personnel Interviewing Officer, Israel Defense Forces, The Intelligence Corps, 2004-2008

Research

Research

My research focuses on the link between asset-prices and macroeconomics, both empirically and from a theoretical-quantitative perspective. In particular, many of my working papers are dedicated to understanding the pivotal role that fluctuations in volatility, and in belief uncertainty, play in explaining aggregate asset-prices, cross-sectional return behavior, and business-cycle fluctuations. More broadly, I find interest in asset-pricing, sovereign debt, information, and market efficiency.
 

Research Resources:

Tired of waiting for your value-function-iteration code to converge in Matlab? Simulating a cross-section takes forever? Afraid of C++? The following may help you. I provide an example of how to solve a simple production model and how to simulate a cross-section of firms in C++. Intended to be friendly for Matlab users, the C++ code is implemented using the library Armadillo - whose syntax is deliberately similar to Matlab. The attached zip file contains: (1) A pdf that explains the model used in the example, and its implementation; (2) Matlab and C++ codes for the solution and simulation; (3) Pre-downloaded version of Armadillo. The Matlab and C++ codes are kept comparable, so even a first-time C++ programmer can follow the code. In the example, solving the model and simulating 10,000 firms takes more than 18 minutes in Matlab, but only 1 minute in C++/Armadillo. With minimal effort, my provided C++ code can be modified to accommodate more sophisticated economic models, solved using a value-function-iteration: Download Here.

 

List of Research Papers (Below):

 


  • Gill Segal, Ivan Shaliastovich, Amir Yaron (2015), Good and Bad Uncertainty: Macroeconomic and Financial Market Implications, Journal of Financial Economics, 117 (2), 369 - 397. doi: 10.1016/j.jfineco.2015.05.004.  Abstract
  • Gill Segal (Draft), A Tale of Two Volatilities: Sectoral Uncertainty, Growth, and Asset-Prices.    Abstract
  • Gill Segal (Draft), From Private-Belief Formation to Aggregate-Vol Oscillation.    Abstract
  • Gill Segal (Work In Progress), How Much Private Information Do Managers Have? Evidence From Structural Estimation.
  • Gill Segal (Draft), The U.S. Economy and Sovereign Defaults.    Abstract

Awards And Honors

  • Robert R. Nathan Fellowship, The Wharton School, University of Pennsylvania, 2014 Description
  • Jacobs - Levy Fellowship, The Wharton School, University of Pennsylvania, 2013 Description
  • Irwin Friend Doctoral Fellowship in Finance, The Wharton School, University of Pennsylvania, 2012 Description
  • Miller, Anderson & Sherrerd Graduate Fellowship in Finance, The Wharton School, University of Pennsylvania , 2011-2012 Description
  • Dean's Fellowship for Distinguished Merit, The Wharton School, University of Pennsylvania, 2010-2016
  • Presidential Scholarship in M.B.A studies, 2006-2007
  • Dean's Scholarship in B.A. studies, 2004

Teaching

Teaching Assistant, The Wharton School, University of Pennsylvania

  • FNCE 912 (PhD), Financial Institutions, Prof. Itay Goldstein, Spring 2013, 2014, 2015;
  • FNCE 898 (MBA), Global Monetary Institutions, Prof. Zvi Eckstein, Fall 2012, 2013, 2014, 2015;
  • FNCE 934 (PhD), Empirical Asset Pricing, Prof. Ivan Shaliastovich, Fall 2012;
  • FNCE 219 (UGR, MBA), International Financial Markets, Prof. Amir Yaron, Spring 2013, 2014

Lecturer, Open University of Israel, Tel-Aviv, Israel, 2008-2010

  • Taught the undergraduate-level course Financial Theory in the economics department.