Amiyatosh Purnanandam

Research Interests:

  1. Banking: Banking and Real Economy, Measurement & Monitoring of Risk in Banks, Bank Loans.
  2. Real Estate & Mortgages: Subprime crisis, RMBS Market, Racial Differences in Mortgage Market.
  3. Corporate Finance: Risk Management, IPOs & SEOs, Capital Structure, Security Design.
  4. Credit Risk: Default risk and security returns, Modeling of credit risk.

My research covers a broad range of topics in banking, corporate finance, real estate, and credit risk. My recent research work is mostly related to banking, real estate finance & mortgages, and incentives of government agencies. These papers analyze measurement and monitoring of risk in banks, causes and consequences of financial crisis, incentive issues in mortgage securitization markets, racial differences in real estate finance, and the effect of market pressure on bureaucracies' actions. Some of my earlier work has analyzed the effect of default risk on corporate financial policies, and equity returns. In addition, several of my papers focus on corporate financing decisions involving IPOs and SEOs. I analyze the determinants of these decisions, as well as their effects on security returns in financial markets.

Recent Research Themes: (i) Measurement, detection and monitoring of risk in banks; (ii) Race and Banking

Google Scholar Page

Recent Working Papers:

  1. "Why do banks hide losses?", with Thomas Flanagan

  2. "Judging Bank Risk by the Profits They Report", with Ben Meiselman and Stefan Nagel

  3. "Disaster Lending: "Fair Prices" but "Unfair Access"", with Taylor Begley, Umit Gurun, and Daniel Weagley

  4. "Color and Credit: Race, Regulation and the Quality of Financial Services", with Taylor Begley

  5. "A System-wide Approach to Measure Connectivity in the Financial Sector", with Sumanta Basu, Sreyoshi Das, and George Michailidis

Shorter Papers:

  1. Is India's GDP Growth Rate Really Overstated?
    New Paper, Work-in-progress, Comments Welcome.

Publications/ Forthcoming Papers:

  1. "Bank Risk Dynamics and Distance-to-Default", with Stefan Nagel
    forthcoming, Review of Financial Studies.

    Matlab Code
    Estimates of 5-year risk-neutral default probabilities for individual US Banks 1987-2016

  2. "Growth Option Exercise and Capital Structure", with Uday Rajan
    Review of Finance, 2018, 207-241.

  3. "The Strategic Under-reporting of Bank Risk", with Taylor Begley and KC Zheng
    Review of Financial Studies, 2017, 30, 3376-3415.

  4. "Design of Financial Securities: Empirical Evidence from Private-Label RMBS Deals", with Taylor Begley
    Review of Financial Studies, 2017, 30, 120-161.

  5. "Do Short Sellers Trade on Private Information or False Information", with Nejat Seyhun
    Journal of Financial & Quantitative Analysis, forthcoming. Online Appendix

  6. "Can Markets Discipline Government Agencies? Evidence from the Weather Derivatives Market", with Daniel Weagley
    Journal of Finance, 2016, 71, 303-334.

  7. "Seasoned Equity Offerings, Corporate Governance, and Investments", with Han Kim
    Review of Finance, 2014, 18, 1023-1057.

  8. "Originate-to-Distribute Model and the Sub-prime Mortgage Crisis"
    Review of Financial Studies, 2011, 24, 1881-1915.

  9. "The effect of banking crisis on bank-dependent borrowers", with Sudheer Chava
    Journal of Financial Economics, 2011, 99, 116-135.

  10. "CEOs vs. CFOs: Incentives and Corporate Policies", with Sudheer Chava
    Journal of Financial Economics, 2010, 97, 263-278.

  11. "Is Default Risk Negatively Related to Stock Returns?", with Sudheer Chava
    Review of Financial Studies, 2010, 23, 2523-2559.

  12. "Do Shareholders Rights Affect the Cost of Bank Loans?", with Sudheer Chava and Dmitri Livdan
    Review of Financial Studies, 2009, 22, 2973-3004.

  13. "Financial Distress and Corporate Risk Management: Theory & Evidence"
    Journal of Financial Economics, 2008, 87, 706-739.

  14. "Interest Rate Derivatives at Commercial Banks: An Empirical Investigation",
    Journal of Monetary Economics, 2007, 54, 1769-1808.

  15. "Determinants of the Floating-to-Fixed Rate Debt Structure of Firms", with Sudheer Chava
    Journal of Financial Economics, 2007, 85, 755-786.

  16. "Are IPOs Really Underpriced?", with Bhaskaran Swaminathan.
    Review of Financial Studies, 2004, 17, 811-848.

  17. "Market Pricing of Deposit Insurance", with Darrell Duffie, Robert Jarrow, and Wei Yang.
    Journal of Financial Services Research, 2003, 24, 93-119.

Amiyatosh Purnanandam