Semyon Malamud is Associate Professor of Finance at the Ecole Polytechnique Fédérale de Lausanne; he joined SFI in 2007 and has held an SFI Senior Chair since 2015. He is also a research fellow at the Centre for Economic Policy Research. He obtained his PhD in Mathematics from ETH Zurich. Prof. Malamud is a regular speaker at leading academic conferences worldwide and his papers have been published in the top journals in finance and economics. In 2015 he was elected a Lamfalussy Fellow of the European Central Bank.
His main research interest lies in asset pricing.
In recent research, Prof. Malamud develops a dynamic general equilibrium model of exchange traded funds (ETFs). The model shows that the creation/redemption mechanism for ETFs serves as a shock propagation channel through which temporary demand shocks may have long-lasting impacts on future prices. In particular, such shocks may lead to a momentum in asset returns and a persistent ETF pricing gap. Introducing new ETFs may reduce both the volatility and co-movement in the returns, and may also improve the liquidity of the underlying securities.