Document Type


Degree Name

Doctor of Philosophy (PhD)



Program Name/Specialization



Lazaridis School of Business and Economics

First Advisor

Madhu Kalimipalli

Advisor Role



This dissertation comprises three essays investigating topics in insurance on debt and equity. The first essay utilizes patent groups as an indicator of technological proximity and demonstrates that climate risk associated with technology-related firms can predict the next quarter’s Credit Default Swap (CDS) for the focal firm. The findings indicate that a 24 basis point (bps) change in the next quarter’s CDS can be attributed to the spillover effect from technology-related companies. Sentiment analysis reveals that this outcome is primarily driven by concerns related to regulatory factors. Importantly, these results remain robust even after accounting for firm-specific characteristics and industry-fixed effects. Additionally, the observed effect is more pronounced among smaller firms with lower levels of Research and Development (R&D).
The second essay investigates the COVID-19 crisis that prompted unprecedented government interventions to stabilize global financial markets. Focusing on the Federal Reserve’s intervention in the corporate bond market in 2020, we explore the implications that this credit support event had on equity and corporate bond insurance costs. Our findings reveal a significant reduction in insurance pricing for program-participating companies, indicating the far-reaching influence of the Federal Reserve’s announcements on market dynamics. This impact spans various maturities, underscoring a fundamental factor driving risk across different time frames. We employ a difference-in-difference methodology and structural credit risk modeling to quantitatively assess the credit support impact on corporate securities insurance costs. The intervention effectively mitigates credit risk, stabilizing
market prices and altering credit perceptions among participants.
The third essay sheds new light on how changes in corporate governance may impact firm value through the lens of option markets, focusing on shareholder activism via voting. Using an extensive sample of 61,150 annual shareholder meetings during the period 2003 to 2019 and associated firm- level daily option market price data, our difference-in-differences tests reveal that shareholder voting
is associated with significantly greater risk reduction in option prices for contentious (treated) versus non-contentious (control) meetings. The risk reduction in long-dated option contracts, maturing post shareholder-meeting dates, arises mainly from two sources: (a) significant decreases in both implied volatility and tail risk measures, as well as (b) significant decreases in option risk from both contentious shareholder and director proposals. Our cross-sectional tests reveal that implied
volatility and tail risk reduction are predominantly found among firms with higher information asymmetry, i.e., less competitive firms, smaller firms, and high-growth firms. Our study contributes to the literature by unpacking the effects of corporate governance changes in the context of option markets.

Convocation Year


Convocation Season


Available for download on Saturday, August 31, 2024