Firm Foreign Activity and the Geography of Exchange Rate Risk, (with Francesca Carrieri)

Abstract: Globally-focused firms, more than domestic ones, are the key drivers of foreign exchange rate (FX) risk. They explain a larger fraction of the factors’ variation and have higher FX exposure, specifically during the home currency depreciation. Their exposure is higher in countries more dependent on the export sector and to neighbors’ currencies, in line with gravity effects. Consistent with the geography of FX risk, those in the core of the global trade network are less exposed, especially to relatively close currencies, reflecting diversification benefits. Overall, we find the economic origins of FX risk pricing in the trade channel over investment. 


When Is Intertemporal Risk Pricing Visible?  Evidence from Economic States and Firm-Level Information (with Francesca Carrieri)

[Revised and Resubmitted to the Journal of Banking and Finance]

Abstract: We show that the statistical evidence for intertemporal risk premia is unevenly distributed across economic states and becomes most visible when economic conditions depart from their normal range. In contrast, market risk remains significantly priced across virtually all economic environments. The price of intertemporal risk decreases during an economic downturn, unlike market risk,  but increases under tight funding conditions. SHAP attribution analysis further shows that the informational relevance of firm-level signals evolves systematically across economic conditions. In particular, firm characteristics from the Return and Valuation categories become substantially more informative during recessions and receive the largest attribution in Defensive and Cyclical industries, respectively, consistent with the economic roles of these firms. 


Corporate Biodiversity Exposure and the Market Response to Earnings Announcements (with Lilian Ng, Tracy Wang, Nathan Zhu)

Abstract:  Biodiversity loss is increasingly recognized as a material financial risk, yet its governance implications for capital markets remain underexplored. We examine whether corporate biodiversity exposure (CBE), defined as the extent to which a firm’s polluting facilities are located near conservation-priority areas, impairs the market’s interpretation of earnings news. We argue that CBE generates location-based interpretive frictions that weaken the information content of earnings announcements. Consistent with this prediction, firms with higher CBE exhibit significantly weaker earnings response coefficients, indicating reduced earnings informativeness. Exploiting the staggered expansion of protected areas, a stacked difference-in-differences design establishes causality. The magnitude of this effect varies systematically with governance institutions: it is amplified in institutional settings that heighten ecological and regulatory uncertainty, such as states with weaker species protection, lower biodiversity ratings, non-attainment air quality designations, limited biodiversity-related media coverage, or low population density. In contrast, it is mitigated at the firm level where stronger information environments, supported by biodiversity disclosure, institutional ownership, analyst coverage, media attention, or NGO activism, reduce interpretation costs. Overall, our findings reveal a distinct informational channel through which biodiversity exposure constrains price discovery and underscore the role of governance and disclosure in managing nature-related financial risks.