I am broadly interested in asset pricing theory and empirics. My agenda is structured around the following couple of broad questions:
1 - What are the determinants of the wedge between theoretical and actual prices in financial markets?
2 - What are the implications for investment decisions?
The pricing of a non-trivial class of equilibrium models is rejected besed on the last century of U.S. stock market data. and investors can profit from it.
Transaction costs are one determinant of the wedge. They are typically neglected in theory models but far from being second order in many realities. For example, minimizing over transaction costs In the very liquid FX market dramatically increse the after cost performance. As another example, proportional and fixed costs in the much less liquid real estate market, in the form of brokerage fees and opportunity costs, can also play an important role in the investment decision process.
My SSRN page is available here
My Google Scholar page is available here
My ORCID ID is https://orcid.org/0000-0001-7447-9710
"Board characteristics and bank performance: An empirical analysis of the size effect in emerging economies" with A. Bouteska, M.K. Hassan and J.A. Perez Armando - Corporate Governance - Forthcoming
"Importance of Transaction Costs for Asset Allocations in Foreign Exchange Markets" with T.A. Maurer and M.P. Taylor - Journal of Financial Economics - September 2024
"Managing Risk and Reaping Rewards: Climate Change Futures as a Game-Changer for Energy Futures Markets" with H.M. Enamul and M.H. Hassan – Journal of Futures Market – August 2024
"Testing the boundaries of applicability of standard Stochastic Discount Factor models" with Y. Zhu, M.H. Hassan, and J. Tian – Journal of Financial Stability – June 2024
"Tail-risk connectedness between sukuk and conventional bond markets and their determinants: Evidence from a country-level analysis " with S.M. Billah, B. Kapar, M.K. Hassan and M.R. Rabbani – Borsa Instanbul Review – January 2024
"Large Scale Mean-Variance Strategies in the U.S. Stock Market" with L.Wang and D.Zirek – Research in International Business and Finance – October 2023
"Dynamics of mining markets: Equilibrium implications for professional and causal miners" with L.Wang, S.Shin, and D.Zirek – Global Finance Journal – August 2023
"Economic policy uncertainty, agency problem, and funding structure: Evidence from U.S. banking industry " with D.V. Tran, M.K. Hassan, A.W. Alam and M. Abdul-Majid - Research in International Business and Finance - December 2021
"Partial Adjustment towards Performance-Based Mutual Fund Returns: evidence from U.S.-based equity funds" with M.K. Hassan and T.Wirtel - International Journal of Finance and Economics - October 2021
"Generalized Instrumented Principal Components" with R.Velu, Z. Zhou and L. Wang
Abstract: In the study of conditional factors at the asset level, the Instrumented Principal Components (IPC) model introduced by Kelly et al. (2019) has become the main workhorse. The model ignores the cross-sectional as well as time series dependence in the returns - features observed empirically and justified theoretically. In this article, we introduce a generalized version of the model that can accommodate these features. Our findings confirm that this results in more efficient estimators leading to a higher spanning. The theory highlights a non-trivial bias in the original formulation. We also introduce a sparse design resulting in easily interpretable estimators.
"The Utility Loss from Transaction Costs" with Nobel Prize P.H. Dybvig.
Abstract: As in continuous time, the nontrading region (NTR) in a mean-variance model with fixed, proportional, and quadratic trading costs is a singleton only for pure quadratic costs. Utility loss from costs is approximately proportional at small cost levels, and approximately constant at large cost levels. Trading can be to the interior of the NTR (fixed costs with or without proportional costs), the exterior of the NTR (quadratic costs with or without proportional costs), or the boundary (pure proportional costs). Absent fixed costs, the NTR is a multidimensional parallelogram. An application shows how to improve on traditional symmetric futures overlay strategies.
"Re-imagining Price Trends in Cryptocurrencies" with I. Filippou
"Endogenous Market Impact" with T.A. Maurer
"Intermediary Asset Pricing and Islamic Finance" with M.K. Hassan
"The costs and benefits of ESG and Islamic Finance" with M.K. Hassan and I. Julio