My research interests lie at the intersection of financial intermediation and capital markets. I investigate how the transparency and disclosure choices of financial intermediaries impact information asymmetry and influence market behaviour.
Sweeping it under the rug? The securitisation of climate-stressed loans by European banks.
I investigate how major European banks adjust loan securitisation in response to evolving climate risk regulations. Using a proprietary dataset, the study analyses bank behaviour surrounding the ECB’s 2022 Climate Risk Stress Test, treating it as an external shock to risk management. The analysis shows that leading up to the test, the odds of securitising a loan from a climate-stressed industry doubled. This trend reversed sharply after the results were communicated. These findings suggest that banks, anticipating future risk model updates and greater regulatory scrutiny, preemptively securitised climate-sensitive assets. Effectively moving ‘undesirable’ loans off-balance sheet and ‘under the rug’.
When Transparency Matters: Conditional Effects of Green Bond Reporting on Secondary-Market Spreads. with Paul Pronobis (University of Bozen-Bolsano) and Joseph H. Schroeder (Indiana University)
Our study examines how investors price the risk of bank-issued green bonds, questioning whether they react to ongoing transparency or specific disclosure events. Using hand-collected reporting data, the analysis finds that sustained compliance with market standards significantly tightens risk premiums. However, no immediate market reaction occurs within a 10 or 30-day window of a report’s release. This suggests investors incorporate this information into their general investment strategy rather than reacting to the disclosure event itself.
Beyond the index: How active fund managers react to negative information from ESG rating downgrades.
I investigate whether active and passive funds react differently to ESG rating changes for S&P 500 companies. Using a difference-in-differences approach, my work shows that only active funds immediately react to rating downgrades directly, by reducing their stake in the affected companies. This reaction is almost entirely driven by the “News and ESG Controversies” component of the ratings, questioning whether these ratings provide incremental value beyond what is already captured in public news and media coverage.
