Mohammad Ghaderi

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

Email: mghaderi@ku.edu  |  CV  |  SSRN  | Google Scholar 

Publications

Learning, Slowly Unfolding Disasters, and Asset Prices (with Mete Kilic and Sang Byung Seo)  


Why Do Rational Investors Like Variance at the Peak of a Crisis? A Learning-Based Explanation (with Mete Kilic and Sang Byung Seo) 

Working Papers

Can Time‐Varying Risk Premia and Household Heterogeneity Explain Credit Cycles? 


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.
Presented at: University of Houston, University of Kansas, University of Georgia, Cornerstone Research, SWFA 2021, EFA 2021, AREUEA 2022

Is There a Macro-Announcement Premium? (with Sang Byung Seo)


Abstract: The conditional return volatility barely drops at macro-announcements. This is at odds with the notion that high announcement returns are a manifestation of a large announcement premium. We show that models with an announcement premium cannot explain the joint patterns of return and volatility over announcement days. Surprisingly, traditional models, which do not feature such a premium, can. Our estimation results based on a statistical setup indicate that the average announcement return is mostly attributable to the monetary policy surprise and pure small-sample components, which do not average out in-sample; the announcement premium is estimated to be small, if any.
Presented at:  University of Houston, Florida State University, University of Wisconsin-Madison, Virtual Derivative Workshop, Seoul National University, MFA 2021, SWFA 2021, EFA 2021, 2021 North American Summer Meeting of the Econometric Society, Silicon Prairie Finance Conference, 2022 European Finance Association Meeting

Do Peso Problems Explain Option Pricing Puzzles? (with Mete Kilic and Sang Byung Seo)


Abstract: The average return to writing out of the money index options is extremely high. We develop a novel approach to investigate the role that the risk of rare economic disasters plays in explaining this puzzle. By estimating physical and risk-neutral stock price dynamics in an unbalanced panel of stock and options data, our approach allows us to obtain long-sample statistics of option returns going back to the Great Depression. Our results show that the high average option return is not a product of the high risk-aversion or behavioral biases of investors. Instead, it manifests an inherent Peso problem in studying the return distribution of options over relatively short samples.

Work in Progress

Option-Implied Intertemporal Preferences (with Kris Jacobs, Hyung Joo Kim and Sang Byung Seo)

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