The Dark Side of CEO Inside Debt: Evidence from Stock Price Crash Risk (with Ahmed Elnahas), The Journal of Corporate Finance. Article Link
Investigating the Performance of an Order Imbalance based Trading Strategy in a High-Frequency Trading (with Masoud Eftekharzadeh Maraghi), Industrial Engineering & Management Systems., 2020, Vol.19 No.1 pp.174-183. Article Link.
Cybersecurity Risk and Corporate Bond Yield Spreads (with Siamak Javadi and Fariba Gholami).
Abstract: Using a newly developed measure, we show that creditors view cybersecurity as a significant risk factor. We find that following a covenant violation, cybersecurity risk exposure declines, and that monthly credit spread changes for firms with high cyber risk are significantly larger than those of otherwise similar firms with no cyber risk. This result is driven by poorly rated bonds and those with longer-term maturity and significantly more pronounced after 2011 when the SEC mandated reporting material cybersecurity incidents and exposure. Consistently, we further document that the demand for insurance against the debt of high cyber risk firms is significantly higher. We also find a spillover effect to no-cyber risk firms that either they or their main customers operate in high cyber risk industries, hinting on the systematic nature of this risk.
Conferences:
2024 Southern Finance Association (SFA) annual meeting, Palm Beach, Florida.
2024 FMA European Conference, Turin, Italy.
2024 Southwestern Finance Association (SWFA) annual meeting, Las Vegas, Nevada.
The Impact of Biodiversity Risk on the Cost of Bank Loans (with Siamak Javadi, Ahmed Elnahas, and Fariba Gholami).
Abstract: We find robust empirical evidence that firms with higher exposure to biodiversity risk pay significantly higher spreads on their bank loans. This result is robust to different model specifications, several measures of biodiversity risk, and survives a battery of tests to ease various endogeneity concerns. In particular, we find that firms that have no exposure to biodiversity risk still pay higher spreads on their loans when their customers are exposed to this risk, hinting on the systemic nature of this risk. We further show that the adverse of biodiversity risk is driven by poorly rated borrowers and long-term loans. Overall, our evidence suggests that lenders consider biodiversity risk as a relevant risk factor.
Conferences:
2025 Southwestern Finance Association (SWFA) annual meeting, San Antonio, Texas
The Effect of Air Quality on Real Estate Prices: Climate Change Deniers vs. Believers (with Diego Escobari, and Maryam Najmi)
Abstract: In this paper we study the role of climate change beliefs on the effect that air quality has on real estate prices. We present a mixture model that endogenously separates different types of buyers and sellers into different market pricing equilibria based on their beliefs about climate change. In the ‘Believers’ pricing equilibrium, poorer air quality leads to lower real estate prices, while in the ‘Deniers’ equilibrium air quality has no statistically significant effect on prices. Increasing beliefs that climate change is happening, that is human caused, that there is scientific consensus, or that they will personally be affected, they all increase the probability of being in a ‘Believers’ pricing equilibrium. The results also show that real estate properties in the climate change ‘Believers’ equilibrium are traded at lower prices.
ESG Uncertainty and Corporate Debt (with Siamak Javadi, Md Showaib Rahman Sarker, and Solmaz Batebi).
Corporate Social Responsibility Uncertainty and M&A Decisions (with Farzad Abbasnezhad).