Selected Papers
Workplace Sustainability or Financial Resilience?
Due to the variety of corporate risks in turmoil markets and the consequent financial distress especially in COVID-19 time, this paper investigates corporate resilience and compares different types of resilience that can be potential sources of heterogeneity in firms' implied rate of return. Specifically, the novelty is not only to quantify firms' financial resilience but also to compare it with workplace resilience which matters more in the COVID-19 era. The study prepares several pieces of evidence of the necessity and insufficiency of these two main types of resilience by comparing earnings expectations and implied discount rates of high- and low-resilience firms. Particularly, results present evidence of the possible amplification of workplace resilience by the financial status of firms in the COVID-19 era. The paper proposes a novel composite-financial resilience index as a potential measure for disaster risk that significantly and persistently reveals low-resilience characteristics of firms and resilience-heterogeneity in implied discount rates.
Risk Management 26, 7
https://doi.org/10.1057/s41283-023-00139-9
Presentations:
SIE-RSA2024, RSFE2024, IRMC2023, LSC-Leibniz2023, GFA2023, CSEFworkshop2022, NSEF-UniNA2022
Resilience and Asset Pricing in COVID-19 Disaster
The COVID-19 pandemic potentially affected stock prices in two non-mutually exclusive ways: discount rates and cash flows. This paper focuses on the latter and analyzes it through the lens of an asset-pricing model. It shows how workplace resilience and financial resilience interacted and significantly affected asset prices. The model-based equity premium increases with the probability of a disaster. The results suggest the significant amplification of workplace resilience by financial resilience. Specifically, the dividend growth of low-resilience firms is significantly more responsive to workplace flexibility and suffers more severely than that of high-resilience firms.
Economies 13, 5
Special Issue: Economics after the COVID-19
https://doi.org/10.3390/economies13050123
Presentations:
DEA2025, FMA2024, Unipd dSEA Marco Fanno 2024, IRMC2023, IFABS2023, SIE_RSA2023, EBES2023, RSFE2023, DISES-UNINA2022
COVID-19 Intensity, Resilience, and Expected Returns
This research note proposes an interpretation of relative behavior of expected return of high- and low-resilience assets and the corresponding differential in COVID-19 disaster. It considers "COVID-19 as a disaster" and defines the disaster probability based on the COVID-intensity with Poisson distribution. The model is presented in a multi (t+1)-period framework with Bernoulli trials and clarifies how investors' updating probability is different from disaster probability. The setup explains the importance of this consideration and its impact on expected returns and its differential. The paper explicitly shows the necessity of conditions for an increasing expected return in terms of degree of resilience, in a sense that there is a threshold on odds-ratio of investors' updating about the disaster, explaining the flip points in expected returns of high- and low-resilience assets. This suggests an interpretation for the novel evidence by Pagano et al. (2023). The proofs provide some evidence of the important role of COVID-intensity in relative price fluctuations of high- and low-resilience assets. Specifically, an increase in COVID-19 intensity increases the expected return of low-resilience assets more than that of the high-resiliences.
Risks 13, 3
Special Issue: Risk and Return Analysis in the Stock Market
https://doi.org/10.3390/risks13030060
Presentations:
GFA2024, RSFE2024, EBES2024, NSEF-Naples2023