Taisiya Sikorskaya is an Assistant Professor of Finance at the University of Chicago Booth School of Business. Her research examines how institutional investors affect asset prices, retail participation in options markets, and limits to arbitrage. Her work has been published in the Journal of Finance, Journal of Financial Economics, and Review of Financial Studies, and has been cited in international media outlets including Bloomberg and The Economist. Her research has received several awards and distinctions, including the 2025 Fama-DFA Prize for the best paper in the Journal of Financial Economics, the 2024 Top Finance Graduate Award, and the AQR Asset Management Institute Fellowship Award. Before joining Chicago Booth, she earned her PhD in Finance from London Business School and worked in asset management in Switzerland and the UK.
Research interests: Asset Pricing, Asset Management, Limits to Arbitrage, Retail Trading.
Published Papers
Institutional Investor Mandates, Securities Lending, and Short-Selling Constraints. Accepted in The Journal of Financial Economics.
Strategic Arbitrage in Segmented Markets (with S. Bryzgalova and A. Pavlova). The Journal of Financial Economics, 166, 2025. A part of this paper was previously circulated under the title “Profiting from Investor Mistakes: Evidence from Suboptimal Option Exercise.”
Retail Trading in Options and the Rise of the Big Three Wholesalers (with S. Bryzgalova and A. Pavlova). The Journal of Finance, 78(6), 2023, pp. 3465-3514.
Benchmarking Intensity (with A. Pavlova). The Review of Financial Studies, 36(3), 2023, pp. 859–903. Editor’s Choice.
Working Papers
The Hidden Cost of Stock Market Concentration: When Funds Hit Regulatory Limits (with L. Pastor and J. Wang).
Sparse Portfolios and Benchmarking in Corporate Bond Markets (with Z. Li and A. Pavlova).
Two APs Are Better Than One: ETF Mispricing and Primary Market Participation (with E. Gorbatikov).