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, Ahmed Elnahas, and Fariba Gholami). R&R at Financial Management
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.
Ahead of the Market: Green Banks and the Pricing of Biodiversity Risk (with Siamak Javadi, Ahmed Elnahas, and Fariba Gholami). Under Review
Abstract: Using a sample of bank loans from 2001 to 2020, we find robust empirical evidence that firms with higher exposure to biodiversity risk pay significantly higher loan spreads. This result is distinct from the climate risk effect and survives various tests to ease endogeneity concerns and confirm robustness. Importantly, this adverse effect is observed only when the lending bank has a high ESG score. Hinting at the systemic nature of this risk, firms with no direct biodiversity exposure still pay higher spreads when their customers are exposed. The adverse effect is further driven by poorly rated borrowers and long-term loans, but again only when the lender is a high ESG bank. Overall, our evidence demonstrates that environmentally conscious lenders viewed biodiversity as a relevant risk factor and began pricing it well before COP15 and the Kunming Declaration in October 2021, after which prior studies document biodiversity-risk pricing in other markets.
Conferences:
2026 Vietnam Symposium in Banking and Finance (Scheduled), Hanoi, Vietnam
2026 Sydney Banking and Financial Stability Conference (Scheduled), Sydney, Australia
2026 7th CEFGroup Symposium (Scheduled), University of Otago, New Zealand
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, Damian Stefanov Damianov, and Maryam Najmi). Under Review
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.
Conferences:
2026 Financial Management Association (FMA) annual meeting (Scheduled), Tampa, Florida
Acquirer ESG Ratings Uncertainty & Merger Outcomes (with Farzad Abbasnezhad and Mohammad Ali Fallah).
Abstract: ESG ratings differ sharply across providers, leaving investors uncertain about firms’ ESG performance. Using a large sample of mergers and acquisitions by US public acquirers from 2003 to 2020, we examine whether the relationship between acquirer ESG and the market reaction to merger announcements is conditional on uncertainty about the acquirer's ESG profile. We find that acquirers with high ESG ratings experience higher returns around the merger announcement when rating disagreement is low. Proxies for the acquirer’s opacity, including analyst dispersion, analyst coverage, idiosyncratic volatility, and illiquidity, do not explain this finding. The announcement effect is concentrated among acquirers held primarily by dedicated institutional investors, consistent with long-horizon investors rewarding ESG performance when they can measure it reliably. High-ESG acquirers with low rating uncertainty earn higher long-run buy-and-hold abnormal returns and exhibit larger post-merger improvements in operating performance.
ESG Uncertainty and Corporate Debt (with Siamak Javadi, Md Showaib Rahman Sarker, and Solmaz Batebi).
Visa dependence and the deadweight cost of distress (with Farzad Abbasnezhad)
When Care is Out of Reach: Mental Health Inequalities for Immigrant Students (with Marcie (Xi) Mao, and Jo Redcliffe)
Conferences:
2027 Society for Social Work and Research annual conference (Scheduled), San Francisco, California