Research

Research Interests

Asset pricing / Macro-finance / Corporate finance / Sovereign credit risk / Fintech

My research is at the juncture of asset pricing, corporate finance, and macro-finance. Current interests are oriented toward developing theoretical and empirical approaches to demonstrate how incorporating changes in macroeconomic conditions (also labeled long-run risk as opposed to the contemporaneous shocks of the CAPM-type of risk) can improve our understanding of issues in asset pricing and corporate finance (CV). 

Publications

Sovereign Risk Premia and Global Macroeconomic Conditions (2023), with S. Andrade and A. Jeanneret

Journal of Financial Economics, 147 (1), 172-197.

Research Spotlight, UNSW Sydney

Editorial: Can gender equality and auditing be ESG issues?

Corporate Governance and Organizational Behavior Review, Volume 7, Issue 3, 2023

Working Papers

Are Cryptocurrencies Priced in the Cross-section? A portfolio Approach, with K. Assamoi and Z. Guo

Aims to develop an asset pricing framework with both macroeconomic and market factors for the pricing of cryptocurrencies.

What Drives the Expected Return on a Stock: Short-Run or Long-Run Risk?, with C. Dorion and A. Jeanneret 

Are Cryptocurrencies Exposed to Factor Risk?, with G. Akbari and Z. Guo

Provides theoretical and empirical evidence that firms with good governance (ESG score) have high long-term debt ratios and (book) equity returns. 

Works in Progress

Business Cycles, Competition, and Stock Returns

Business Cycles, Competition, and Stock Returns, with Hyacinthe Somé

Is Investing in the Cross-Section of Cryptocurrency Profitable?, with G. Akbari

Managerial commitment and long-term firm value

Agency conflicts and cost of equity 

Long-term economic outlook and equity prices 

Is debt financing by firms good for economic growth?

Are cryptocurrencies priced in the cross-section? A portfolio approach