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Welcome!
I am an Assistant Professor of Finance at the University of Kansas School of Business. My research interests include empirical asset pricing, macro-finance, and financial econometrics.
Contact
Contact
Email: mghaderi@ku.edu | CV | SSRN | Google Scholar
Publications
Publications
Learning, Slowly Unfolding Disasters, and Asset Prices (with Mete Kilic and Sang Byung Seo)
Journal of Financial Economics 143 (1): 527-549, January 2022. (Internet Appendix)
An earlier version of this paper was circulated under the title "Slowly Unfolding Disasters."
Why Do Rational Investors Like Variance at the Peak of a Crisis? A Learning-Based Explanation (with Mete Kilic and Sang Byung Seo)
Journal of Monetary Economics 142: 103513, March 2024. (Internet Appendix)
Is There a Macro-Announcement Premium? (with Sang Byung Seo)
Management Science, Accepted. (Internet Appendix)
Working Papers
Working Papers
Learning and Subjective Beliefs About Good and Bad Inflation Ranges (with Sang Byung Seo and Ivan Shaliastovich)
An earlier version of this paper was circulated under the title "Learning, Subjective Beliefs, and Time-Varying Preferences for Different Inflation Ranges."
Abstract: We identify desirable/undesirable inflation outcomes under subjective beliefs by comparing survey-based and risk-adjusted distributions of inflation. Intuitively, investors dislike inflation at both extremes, preferring a range in the middle. This "good inflation" region, which investors associate with lower-than-average marginal utility, varies substantially over time in position and width, revealing time-varying preferences across inflation ranges. Different ranges contribute to the inflation risk premium with mixed signs, offsetting each other and often masking important insights into the pricing of inflation risk. We rationalize these empirical patterns using a model where investors learn and update beliefs about hidden deflationary and inflationary recession states.
Reconstructing a Century of U.S. Corporate Bonds: Credit Risk in Historical Perspective (with Sebastien Plante, Nikolai Roussanov, and Sang Byung Seo)
Elements of this paper previously circulated as part of an earlier version of "Pricing of Corporate Bonds: Evidence from a Century-Long Cross-Section."
Abstract: Do corporate bond investors earn compensation for bearing credit risk? We construct a new historical corporate bond database spanning 128 years, from 1895 to 2022, which allows us to estimate a corporate bond counterpart to the equity risk premium. Combining hand-collected monthly corporate bond quotes from three archival print sources with modern datasets, we assemble a panel comprising over 100,000 unique bonds and more than 7 million observations. While evidence from recent samples suggests that corporate bond excess returns are driven largely by the term premium similar to that earned by U.S. Treasuries, our longer historical sample reveals a sizable and statistically significant credit risk premium. Aggregate credit spreads predict future corporate bond returns and macroeconomic aggregates, although their predictive power for business cycle fluctuations weakens when prewar data, including the Great Depression, are added.
Pricing of Corporate Bonds: Evidence From a Century-Long Cross-Section (with Sebastien Plante, Nikolai Roussanov, and Sang Byung Seo)
CRSP Award in Investment and Asset Pricing, Midwest Finance Association
Northern Finance Association Best Paper Award in Asset Pricing
Abstract: To be updated soon!
Can Time‐Varying Risk Premia and Household Heterogeneity Explain Credit Cycles?
Eastern Finance Association Best Doctoral Paper Award in Investments, 2021
Abstract: Using micro-level household mortgage data, I measure dispersion in the credit quality of borrowers in the housing market and show that it forecasts regional real economic activity. I provide empirical evidence that associates the predictive power of dispersion with heterogeneity in the exposure of households' labor income to economy-wide shocks. I explain these observations in a model featuring time-varying risk premia, incomplete markets, and household heterogeneity. Due to risk aversion, the consumption and investment responses of households have a convex association with their labor income exposure to aggregate risks. As a result, dispersion forecasts the aggregate output more strongly in more heterogeneous regions, consistent with the data.
Teaching
Teaching
School of Business, University of Kansas, Lawrence, KS
FIN 410 - Investment Theory and Applications
Bauer College of Business, University of Houston, Houston, TX
FINA 4330 - Corporate Finance
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