Alireza Aghaee Shahrbabaki
Field: Empirical Asset Pricing, Empirical Corporate Finance
Research Interests: Limits of Arbitrage, Market efficiency, Demand-based Asset Pricing, Law and Finance.
(Expected) Graduation: June 2025
References
- Stefano Rossi stefano.rossi@unibocconi.it
- Mariano (Max) Croce mariano.croce@unibocconi.it
- Lorenzo Bretscher lorenzo.bretscher@unil.ch
Contact
Bocconi University,
Department of Finance, Office 2.C3 01, Via G. Roentgen 1, 20136, Milan (Italy)
alireza.aghaee@phd.unibocconi.it
My research centers on the theme of market efficiency, with a focus on empirical analysis across diverse financial contexts. In my job market paper, I examine the evolution of market efficiency in the context of index reconstitutions. My second paper investigates how the legal environment and the efficiency of debt enforcement across countries shape corporate debt structures. In my third paper, I analyze the determinants of arbitrage risk, a critical barrier to achieving efficient market benchmarks. I will be on the job market in fall 2024.
JOB MARKET PAPER
Abnormal returns for stocks added to or removed from the S&P 500 index have been declining, despite a sharp rise in the size of underlying demand. I investigate this anomaly by studying the price variation of index-listed stocks due to passive demand shifts induced by the difference in the size of newly added and removed stocks. I find that: (i) stock demand curves have flattened due to reduced risk of arbitrage activity, and (ii) a demand-based model estimated on index-listed stocks generates average abnormal returns for additions and deletions similar to their data counterpart. This result challenges earlier research suggesting that index decisions convey information.
*EFA Doctoral Tutorial Best Paper Award (2024)
WORKING PAPERS
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"Corporate Debt Structure Around the World", with Stefano Rossi and Lorenzo Bretcher
WORK IN PROGRESS
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"Cross-Section of Arbitrage Risk"