Research

Working Papers 

• Cybersecurity Threats, Credit Risk, and the Role of Dual Ownership (Job Market Paper) 

Presentations: Texas A&M University, 2025 Texas Finance Conference, Southwestern Finance Association (SWFA) 2026 Conference

Abstract:

"I study how corporate bond markets price cybersecurity risk. Ex-post, bond prices decline significantly following cyberattacks—especially for junk bonds. Ex-ante, a one-standard deviation increase in cyber risk exposure is associated with a 4.3 basis point rise in bond yield spreads. Firms with higher cyber risk also issue bonds with more issuer-restrictive covenants. Ownership structure matters: dual ownership—when the same institution holds both debt and equity—attenuates the risk premium to cyberexposed firms. Using mergers among financial institutions as quasi-exogenous shocks to dual ownership, I find that dual holders reduce firm-level cyber risk and mitigate its pricing in the corporate bond market, but interestingly, not in the equity market. These findings have implications for cybersecurity governance, credit contracting, and SEC disclosure rules, highlighting how financial markets internalize operational risks even in the absence of formal regulation."

• Environmental Risk in Municipal Bond Markets: The Role of Air Pollution with Golnaz Bahrami (Penn State) 

Presentations: AFA 2025 (poster presentation), Texas A&M University, Penn State University

Abstract:

"We show that county-level air pollution substantially increases municipal borrowing costs. Utilizing quasi-random variation in fine particulate matter (PM 2.5) exposure generated by the 2005 Clean Air Act nonattainment designations and subsequent coal plant retirements, we find municipalities in polluted counties issue bonds at significantly higher offering yields and yield spreads than their cleaner counterparts. A one-standard deviation increase in log PM2.5 raises municipal bond yield spreads by 1.1 basis points, adding about $259 million in annual interest costs across U.S. counties in our sample. The pollution premium intensifies for bonds with greater repayment risk and longer maturities, indicating investor perceptions of persistent credit risk. We identify three reinforcing fiscal mechanisms driving this premium: elevated local hospital expenditures, reduced intergovernmental transfers, and diminished tax revenues. Collectively, our findings highlight air pollution as a significant factor that tightens municipal financial constraints and limits local governments' fiscal capacity. "

Work in Progress 

• Cybersecurity Risk and the Cross-Section of Corporate Bond Returns

  1. • As a follow-up project based on my job market paper, I am developing a semantics-aware measure of ex-ante cybersecurity risk using deep learning techniques, particularly domain-adapted BERT models applied to firm disclosures and earnings calls. While prior studies have laid important groundwork (such as Florackis et al. (2023), who use textual similarity to breached firms’ disclosures; Jamilov et al. (2025), who build forward-looking indices from earnings calls; and Bianchi et al. (2024), who apply machine learning to predict cyberattacks using financial and textual data), these approaches largely rely on keyword frequency or similarity measures. My project advances this literature by using pre-trained language models fine-tuned to classify the semantic tone and vulnerability expressed in cybersecurity disclosures, distinguishing between proactive mitigation and actual risk exposure. The resulting firm-quarter level risk index will be validated through its ability to predict future cyber incidents and will be extended to both equity and bond markets to examine how forward-looking cyber risk is priced into stock returns, credit spreads, and bond issuance terms. This research will contribute new methodological tools to the growing field of text-based asset pricing and address the increasingly salient intersection of cyber risk and financial markets.

• Do Corporate Bond Liquidity Measures Measure Liquidity? (with Marco Rossi and Farshid Abdi)

  1. • In this project, co-authored with Marco Rossi (Texas A&M) and Farshid Abdi (Texas A&M), we revisit the foundational assumptions behind commonly used liquidity measures in the corporate bond market. Unlike equities, bond prices should revert toward par as they approach maturity (absent default), creating a predictable price path-well approximated by a Brownian-bridge process-that can generate autocorrelated returns even when prices are informationally efficient. This mechanical price behaviour challenges a core microstructure assumption: that return autocorrelation is a reliable signal of transaction costs or market frictions. Through theoretical simulations and empirical evidence, we demonstrate that widely used liquidity proxies—such as Roll (1984) measures—can be biased when applied to bonds. We propose a set of corrections that disentangle true illiquidity from natural price dynamics, aiming to improve the accuracy of bond market liquidity assessment. This work has important implications for asset pricing, bond portfolio construction, and regulatory stress testing frameworks that rely on liquidity metrics as inputs.

• Credit Rating Heterogeneity and the Cross-Section of Corporate Bond Returns (with Hagen Kim)

  1. • In another project with Hagen Kim (Texas A&M), we explore the extent to which credit risk heterogeneity-captured through rating disagreements across agencies-explains yield spreads in the U.S. municipal bond market. We quantify how much of the residual variation in muni spreads can be attributed to rating dispersion and assess whether investors interpret disagreement as informative ambiguity rather than noise. This project will shed light on how fragmented credit assessments affect pricing, risk allocation, and potentially exacerbate fiscal inequality across municipalities.

Pre-Doctoral Publications (Selected)

• An Examination of the Impact of Flexibility and Agility on Mitigating Supply Chain Disruptions with M. Parast and V. Nooraie 

International Journal of Production Economics, 220 (2020): 107438

• How Board of Directors’ Social Capital Enhances the Effectiveness of IT and R&D Resources Toward More Effective Innovation with N. Shekarian, R. Ramirez, and P. Tallon

Hawaii International Conference on System Sciences 2023 (HICSS-56). 3

• The Impact of Flexibility and Redundancy on Improving Supply Chain Redundancy to Disruptions with M. Parast and M. Kamalahmadi 

International Journal of Production Research, 60, no. 6 (2022): 1992-2020

• An Integrative approach to supply chain disruption risk and resilience management: a literature review with M. Parast 

International Journal of Logistics Research and Applications 24, no. 5 (2021): 427-455 

• The impact of supply chain disruptions on organizational performance: a literature review. with M. Parast 

Revisiting supply chain risk (2018): 367-389