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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

Presentations: SIE-RSA2024, RSFE2024, IRMC2023, LSC-                                    Leibniz2023, GFA2023, CSEFworkshop2022,                                  NSEF-UniNA2022


Job Market Paper
Resilience and Asset Pricing in COVID-19 Disaster

The COVID-19 pandemic can potentially affect stock prices in two main but not mutually independent ways: discount rates and cash flows. This paper concentrates on the second way and investigates a new asset pricing model with a special case of EZ preferences, by quantifying the amplification effect of the firm's financial resilience on COVID-19 consequences including workplace resilience and time-effect macroeconomic sensitivity to this crisis. The model-based equity premium is increasing in the probability of disaster. Results suggest the significant amplification of the random effect of workplace resilience by financial resilience. This paper gives an opportunity not only to reveal significant resilience-heterogeneity but also to propose the mechanism in which workplace resilience and financial resilience interact and affect "significantly" the asset pricing implications. Specifically, I show that the dividend growth of low-resilience firms is significantly more elastic to workplace flexibility and suffers more severely than that of the high-resiliences. Finally, this paper empirically proves that valuation, liquidity, and solvency ratios have a key role not only in financial resilience and the corresponding amplification of the random effect of workplace resilience but also in all tractable formulas of asset pricing implications.

Presentations: CUNEF2025, FMA2024, Unipd dSEA Marco Fanno 2024,                              IRMC2023, IFABS2023, SIE_RSA2023, EBES2023, 

                        RSFE2023, DISES-UNINA2022


COVID-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.

Presentations: GFA2024, RSFE2024, EBES2024, 


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