Research

Research Interests

institutional investors, responsible investing, climate finance, historical finance, fintech, innovation, cryptocurrencies, decentralized autonomous organizations (DAOs)


Working Papers

Abstract: We study how institutional investors that join climate-related investor initiatives decarbonize their equity portfolios. Decarbonization can be achieved either by re-weighting portfolios towards lower carbon emitting firms or alternatively via targeted engagements with portfolio companies to reduce their emissions. Our findings indicate that portfolio re-weighting is the predominant greening strategy by climate-conscious investors , in particular by those based in countries with carbon emissions pricing schemes. We do not uncover much evidence of engagement even after the 2015 Paris Agreement. Furthermore, we find no evidence that climate-conscious investors allocate capital towards firms developing climate patents, but they do re-weight towards firms starting to generate green revenues. Overall, our analysis raises doubts about the effectiveness of investor-led initiatives in reducing corporate emissions and helping an all-economy transition to “green the planet”.

Presentations: Darden Finance Brown Bag Series in April 2022, ICPM (International Centre for Pension Management) Spring Discussion Forum in June 2022*, the Cornell University ESG Investing Research Conference in July 2022, PRI Academic Network Week 2022, the ECGI Conference on Responsible Capitalism in September 2022*, the 2022 Research Symposium on ESG Investing in Private Markets in September 2022*, FMA Annual Meeting in October 2022, the 2023 FMA Napa/Sonoma Conference in March 2023*, MFA Annual Meeting in March 2023, Inquire Europe seminar in March 2023*, Drexel Corporate Governance Conference in April 2023*, 2023 UVA Postdoctoral Research Symposium in May 2023, 6th World Symposium on Investment Research in May 2023*, World Bank in February 2023*, 12,the Portuguese Finance Network Conference in July 2023*, 2023 EFA conference in August 2023*, upcoming presentation at the 2024 AFA Conference in January 2024*; 

Prizes: 2022 Geneva Institute of Wealth Management 15,000 CHF Grant, Best Paper Award  at the 12th Portuguese Finance Network Conference (2023)

Media Coverage: Institutional Investor, ESG Investor

Abstract: Decentralized autonomous organizations (DAOs) are blockchain-based entities that rely on issuing crypto tokens for governance and financing. DAOs represent a departure from traditional corporate structures, as stakeholders directly control decisions and operations via embedded rules and on-chain votes. Despite their growing prominence, the financial management of DAOs remains underexplored. I find a robust positive link between the DAOs’ unissued governance tokens and their cash holdings, suggesting they provide strategic financing flexibility.  Each $1 increase in DAO governance token holdings associates with $0.05 higher liquidity levels. More broadly, DAO cash levels conform to corporate governance theory—they are larger when the DAOs face higher precautionary needs and lower when they engage in voluntary disclosure to lower information asymmetry. Voting power concentration relates to higher cash value, suggesting that the benefits of blockholder monitoring for liquidity management outweigh any potential costs from expropriation risks. In contrast, close stakeholder votes and simpler governance proposal structures correlate with reduced cash reserves. The paper provides foundational evidence on the emerging liquidity management practices of organizations with decentralized governance.

Abstract: This paper investigates the implications for firm equity value and ownership structure when a large institutional investor publicly excludes a firm from its portfolio due to unethical behaviour. To achieve this, it makes use of the GPFG's ethical exclusions. On average, firms lose 1.72% of equity value around exclusion announcements, which is not reversed in the short term. For firms excluded under the product criteria, the effect seems to be driven by the divesting behaviour of ethics-sensitive investors.

Presentations: Mutual Funds, Hedge Funds and Factor Investing Conference, Strategy and Tactics for Effective Engagement Seminar, (poster) Cambridge ESRC DTP Annual Lecture,European Commission Conference on Promoting Sustainable Finance, (poster) Fourth Geneva Summit on Sustainable Finance, Inaugural Irish Academy of Finance (IAF) Conference,Norway Ministry of Finance, Annual Conference, Cambridge Endowment for Research in Finance, Lunch Seminar, UCLA Anderson, PhD Students Seminar, Cambridge Endowment for Research in Finance, Lunch Seminar 

Abstract: Using industry indices spanning 1900–2018 we investigate the impact of sector screening for a well-diversified long-term investor and identify a number of risks associated with the strategy. Specifically, we examine the impact on the portion of the portfolio which is being replaced by other assets. Market returns are not a substitute for industry returns due to changes in sector composition over time and the large cross-sectional dispersion of sector returns. The net impact of sector exclusion can be proxied by allocating a portion of the portfolio to a strategy that is long the market and short a sector. This strategy would introduce unwanted geographic tilts into the portfolio and could suffer substantial and lengthy drawdowns.

Abstract: We survey industry professionals’ views on sector exclusions. Respondents consider negative portfolio screenings most useful for attracting funds from ethically concerned investors and least useful for risk management purposes. Professionals do not anticipate controversial sector outperformance. However, they disagree the least about the expected returns of non-controversial sectors relative to controversial sectors. Investor disagreement has been linked to higher realised returns, suggesting one reason why ex-ante expectations can differ from ex-post realisations. Exclusion scepticism does not seem to stem from an expectation of controversial stocks superior performance, indicating that favourable risk and return expectations are not its driving force.

Abstract: This paper analyses the impact of the quantitative liquidity requirement of Basel III on bank behaviour. In particular, we focus on corporate lending. Using a wide dataset of European, US, and Canadian banks between 2013-2018 and employing a fuzzy RDD, we find that banks below the median LCR charge higher interest rates for corporate lending and make smaller loans. The impact on lending is particularly pronounced for banks at the bottom and top tails of the liquidity distribution. This effect is caused by banks passing through their increased liquidity costs to private sector clients, implying that when the liquidity constraint binds banks have pricing power. The analysis in this study indicates that the Basel III liquidity regulation is a binding constraint for financial institutions and is likely to have a major impact on the private sector access to funding and cost of capital. 

* indicates presentation by co-author.