COVID-19: Fear of pandemic and short-term IPO performance. -with Sharif Mazumder. (2021), Finance Research Letters
GJR-GARCH Volatility Modeling Under NIG and ANN for Predicting Top Cryptocurrencies.-with Fahad Bin Mostafa, Mohammad Rafiqul Islam, and Nguyet Nguyen. (2021), Journal of Risk and Financial Management
Doctoral Student Excellence in Research, Texas Tech University (2021).
SEC Reforms of Floating NAV and the Lending Behavior of Money Market Funds. -with Drew Winters (R&R at Journal of Financial and Quantitative Analysis; FMA Conference, 2021; Global Finance Virtual Conference, 2021)
Abstract: This study examines the impact of large exogenous outflows from money market funds (MMFs) on their borrowers due to the 2016 Securities and Exchange Commission (SEC) reforms. By exploiting cross-MMF outflow variation, we document the financial distress that MMFs transmit to the broader economy. We show that the MMF, experiencing a one percent more decrease in liquidity as measured by the change in asset under management, cuts lending to the borrower by an additional 0.40 percent. We nd that borrowers having strong relationships with the family do not experience any signicant negative spillover due to these large outflows.
Money Market Reforms: The Effect on the Commercial Paper Market. with Kyle Allen, Matthew Whitledge, and Drew Winters. (R&R at Journal of Banking & Finance; FMA Conference, 2022)
Abstract: This study examines the effects of the 2016 Securities and Exchange Commission (SEC) reforms on the commercial paper market. By exploiting the differential time effect, we document a rise in the commercial paper (CP) rates. The rise in CP rates is more pronounced when the shadow floating NAV period starts and is almost similar across different types of commercial papers. Our cross-sectional analysis finds support for relationship-based lending in both commercial paper holdings and rates. We find that big issuers experienced a decrease and small issuers observed an increase in lending from money market funds (MMFs) through the commercial paper in the post-period. We find no evidence that rates vary across the size of the issuer in the post-period. Finally, financial institutions pay higher rates in the post-period than non-financial institutions.
Do Firms in Highly Competitive Industries Benefit More from External Monitoring? with Leyuan You and Michael Zheng. (R&R at Journal of Business Finance & Accounting; Southwestern Finance Virtual Conference, 2021; Global Finance Virtual Conference, 2021)
Abstract: This study examines the differential impact of analyst coverage terminations on earnings management for firms in competitive vs. non-competitive industries. Specifically, exploiting an exogenous shock in external monitoring proxied by analyst coverage termination, we find that firms facing greater product market competition increase earnings management significantly more than other firms when analyst monitoring attenuates. This effect is more pronounced for firms with greater financial constraints, higher information asymmetry, greater agency problems, and in the pre-SOX period. Event study results also show that only firms in the most competitive industries experience a significant price drop around analyst termination dates. Taken together, our results suggest that competition can best be viewed as a complement to other corporate governance mechanisms. Strong external monitoring is needed to curb competition-induced manager misbehaviors.
Bank-Level Political Risk and the CD Rates Charged by Money Market Funds. with Kyle Allen and Ahmed S. Baig (Under Review at Journal of Financial Services Research)
Abstract: By exploiting a bank-level measure of political risk, we investigate whether political risk exposure of banks is associated with an increase in their Certificates of Deposit (CDs) rates charged by Money Market Funds (MMFs). While previous studies rely on aggregate economy-wide proxies for political risk, our study is unique as we utilize a novel bank-level political risk measure and show that the risk exposure is associated with an increase in the short-term borrowing costs for banks. Our findings are robust to a range of univariate and multivariate regression specifications corrections for endogeneity concerns using propensity score matching techniques.
High Skilled Employees and Stock Price Crash Risk. with Sharif Mazumder
Corporate Culture and Stock Price Crash Risk. with Rasheek Irtisam