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Associate Professor of Finance
Vrije Universiteit Amsterdam & Tinbergen Institute CV Email: [email protected] |
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What's new?
- I am co-organizing the 6th edition of Research in Behavioral Finance Conference, which will take place on September 18-19, 2026, in Amsterdam. Call for papers here.
- My recent research shows that poison bonds are on the rise, entrenching incumbent managers and destroying shareholder value. This has important implications for the agency theory of debt: (i) more debt may not discipline the management; and (ii) managerial entrenchment can lead to conflicts of interest between shareholders and creditors, even when firms are not under financial distress.
- A new paper documents a novel benefit of convertible bonds: they facilitate integration between equity and credit markets by attracting investors active in both stocks and straight bonds, thereby making bond value strategies more profitable.
- Another working paper shows that investors are willing to pay more for environmental and social benefits.
Working Papers
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Poison Bonds
with Shuo Xia EFA '25, Aarhus Workshop on Strategic Interaction in Corporate Finance '25, SFS Cavalcade APAC '24, WFA '24, SGF '24, Finance Down Under '24, NYU/Penn Conference on Law & Finance '24, FMA Consortium on Asset Management '24, Venice Finance Workshop '23, ... Abstract: This paper documents the rise of "poison bonds"--corporate bonds that allow bondholders to demand immediate repayment in change-of-control events. The share of poison bonds among new issues has grown significantly in recent years, from below 20% in the 90s to over 60% since the mid-2000s, predominantly driven by investment-grade issues. We show that a key factor behind this rise is shareholders' aversion to poison pills, leading firms to issue poison bonds as an alternative. Our analysis suggests that this practice entrenches incumbent managers and destroys shareholder value. Holding a portfolio of firms that remove poison pills but promptly issue poison bonds generates negative abnormal returns of -7.3% per year. Our findings have important implications for the agency theory of debt: (i) more debt does not necessarily discipline the management; and (ii) even without financial distress, managerial entrenchment can lead to conflicts between shareholders and creditors. Coverage: Harvard Law School Forum on Corporate Governance, Institutional Investor, FT Alphaville (2x) |
The rise of poison bonds coincides strikingly with the fall of poison pills.
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,Integrating Credit and Equity Markets: A Novel Benefit of Convertible Bonds
with Alexey Ivashchenko FMA Consortium on Asset Management '26 (Scheduled), MFA '26 (Scheduled), EUROFIDAI-ESSEC Paris December '25, Derivative Markets Conference '25, RBFC '24, ... Abstract: We provide empirical evidence that convertible bonds integrate equity and credit markets by aligning the valuations of a firm’s stock and straight bonds. The issuance of new convertibles significantly improves cross-market integration, while the anticipated maturity of non-callable convertibles—despite carrying no new information—leads to re-segmentation. These patterns cannot be explained by changes in default risk or other observable firm characteristics. Consistent with the idea that convertibles attract investors seeking exposure to both markets, we find that convertible bond investors are more likely to simultaneously hold other securities from the same issuer. This suggests an increased presence of cross-market arbitrageurs and supports a limits-to-arbitrage explanation for the observed segmentation between credit and equity markets. Finally, with more arbitrageurs present, convertibles make bond mispricing less persistent and bond value strategies more profitable. |
Firm-level stock-bond market segmentation increases again following the maturity of convertible bonds.
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Green Preferences: Evidence from the Greenium in Green Bonds
with Shuo Xia OU-RFS Climate and Energy Finance Research Conference '24, CICF '24, CSR Düsseldorf '23, ESSFM-Gerzensee '23 (Evening Session), SoFiE Seoul '23, FMA Europe '23, RBFC '22, ... (Previously circulated under "ESG Investing Beyond Risk and Return") Invited for Dual Submission at Review of Financial Studies Abstract: Are investors willing to sacrifice wealth for social benefits? We study green bonds to empirically disentangle nonpecuniary motivations from pecuniary benefits behind socially responsible investing. We propose a new method to estimate the premium of a green bond, the so-called "greenium'', by comparing the green bond to an equivalent synthetic non-green bond that is constructed using a yield curve bootstrapped from the same issuer' conventional bonds. In contrast to recent studies of green bonds, we find an economically sizable greenium both at issuance and after trading. Our analysis shows that previous studies likely underestimate the greenium because of the green halo effect. Our greenium estimates also increase when investors are less concerned about greenwashing or become more aware of climate change. Overall, this paper provides direct evidence of investors' nonpecuniary preferences for green assets. Coverage: Vuurwerk Jubileum Editie |
Our estimates show that the greenium varies over time and closely with investors' green sentiment. For example, the greenium peaked in 2016Q1, just after the Paris Agreement.
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The Social Risks of Generative AI
with Marco Ceccarelli Corporate Finance Day '25, Asian FA '25 Abstract: This paper shows that the equity market prices the novel social risks associated with generative AI. We exploit the release of ChatGPT as an information shock that updated investor beliefs about AI-related tail risks. Using pre-event ESG scores as proxies for firms' social risk management, we show that, controlling for AI productivity exposure, low-ESG firms underperform high-ESG firms by 4 percentage points over the two weeks following the release. The effect is concentrated in the Social pillar, particularly data privacy and security. Increases in option-implied downside risk indicate that changes in discount rates are the channel. A low-minus-high ESG portfolio of AI-exposed firms earns significant alphas during 2023–2024, suggesting that investors demand compensation for bearing AI-related downside risks. Our findings are consistent with a tail-risk model in which social risks of AI are priced through discount rates. |
Stocks in the bottom ESG rating quintile underperformed those in the top quintile by four percentage points during the two weeks following ChatGPT's release on November 30, 2022.
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Work in Progress
Poison Bonds 2.0
with Shuo Xia
More about Poison Bonds, Dual Ownership, Convertible Bonds...
Poison Bonds 2.0
with Shuo Xia
More about Poison Bonds, Dual Ownership, Convertible Bonds...
Published/Accepted Papers
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Cross-Extrapolative Beliefs: Evidence from Equity Analysts
with Patrick Verwijmeren (Previously circulated under "News/Noise from Other Industries: Overgeneralization and Analyst Beliefs") Management Science, Accepted. Summary: Muti-tasking agents form non-rational beliefs not only by extrapolating from experiences within a specific task but also by cross-extrapolating from their experiences with other concurrent tasks. |
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The Corporate Investment Benefits of Mutual Fund Dual Holdings
with Patrick Verwijmeren and Shuo Xia Journal of Financial and Quantitative Analysis, 2025; 60: 734-770. Summary: The increasing dual ownership of mutual fund families allows firms to increase valuable investments, especially when families encourage cooperation among their fund managers. Coverage: Harvard Law School Forum on Corporate Governance |
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How Do Options Add Value? Evidence from the Convertible Bond Market
with Inmoo Lee and Patrick Verwijmeren Review of Finance, 2023; 27: 189-222. Summary: The availability of stock options helps security issuers attract more buyers and reduces issuers' cost of financing. |
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Director Attention and Firm Value
with Patrick Verwijmeren Financial Management, 2020; 49: 361-387 Summary: Firm value drops significantly when board members are distracted. Coverage: Harvard Law School Forum on Corporate Governance and Financial Regulation |
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