Professor of Finance |
Equitable Life of Canada Fellow |
Director, PhD and Research-based Master’s Programs in Management |
Madhu Kalimipalli Ph.D
(currently in the top 10% of Authors on SSRN by all-time downloads. since 12/2017 )
New Working Papers :
"Debt Contracts, Covenant Design, and Mergers and Acquisitions:
Evidence from Bond Repurchases" (Hadiye Aslan- University of of Georgia, Madhu Kalimipalli, Praveen Kumar - University of Houston, B. Venugopal - University of Central Florida).
Presented at Schulich School, York University; University of Central Florida; La Trobe University; McGill University ; 2022 Monash University Financial Markets and Corporate Governance conference and PhD symposium Scheduled); 2022 European FMA ( Scheduled); 2022 CICF (scheduled)
"Do Stock Index Revisions Impact Credit Markets? Evidence from the US Corporate Bond and CDS Markets" ( Ranjini Jha- U of Waterloo, Madhu Kalimipalli, Kai Chen-WLU)
"Do Government Guarantees Help Financial Stability? Evidence from an Emerging Market" (Madhu Kalimipalli, Vijay Marisetty- U of Hyderabad; R. L Shankar- Case Western University)
Presented at the NSE-NYU 2020 Conference ( Video Presentation: @ 1 hr :06 min), Dec 2020; Reserve Bank of India, Mumbai (Aug, 2021) ; University of Twente (Jan, 2022) 2022 Monash University Financial Markets and Corporate Governance conference and PhD symposium (Scheduled);
"Do Firms Benefit from Carbon Risk Management? Evidence from the Credit Default Swaps Market" With Huu Duong, Monash University, Petko S. Kalev and Saurabh Trivedi, La Trobe Business School.
Presented at IWFSAS (Aug, 2021); Institute for Sustainable Finance (Queen's University) (Sept, 2021); 2022 MFA conference;
“On the Interconnectedness of Financial Institutions: Emerging Market Experience” (Sanjiv Das, Madhu Kalimipalli and Subhankar Nayak) Forthcoming (2022) , Journal of International Financial Markets, Institutions & Money (click here).
We study how globalization impacts systemic risk in emerging markets. Our evidence is consistent with the notion that globalization engenders financial stability and does not lead to large systemic risk spillovers across emerging market regions.
"Information and Liquidity of Over-the-Counter Securities: Evidence from Public Registration of Rule 144A Bonds ” (Huang, Allan, Madhu Kalimipalli, Song Han, and Ke Wang). Forthcoming (2021), Journal of Financial Markets (SSRN link)
We examine the liquidity effects of information disclosure arising from public registration of Rule 144A debt.
Role of Institutional Investors: Evidence from the Foreign “Rule 144A” Debt market (Huang, Allan, Madhu Kalimipalli, Subhankar Nayak and Latha Ramchand). Forthcoming (2020), Quarterly Journal of Finance (SSRN link| QJF link)
We examine the unique role played by institutional investors in the private corporate debt market and find that QIBs enabled funding in the foreign 144A debt market despite the financial crisis.
“Evaluating the Impact of Emerging Market Corporate Debt”, with Olga Dodd, Auckland University of Technology; and Wing Chan, WLU. Forthcoming (2020), International Review of Financial Analysis. (SSRN link)
We examine how post-GFC leverage growth in emerging markets impacted the firm level credit risks.
Risk Mitigation by Institutional Participants in the Secondary Market: Evidence from Foreign Rule 144A Debt Market (Huang, Allan, Madhu Kalimipalli, Subhankar Nayak and Latha Ramchand). Journal of Banking and Finance (2018). (click here)
We examine the special role of institutional traders in the foreign debt markets.
Das, Sanjiv, Kalimipalli, Madhu and Subhankar Nayak, 2014, "Did CDS Trading Improve the Market for Corporate Bonds?", Journal of Financial Economics. (SSRN link). 111, 2, 495-525
Semifinalist for the Best paper award at the FMA, Denver, 2011
Presentations: AEA 2013 conference (San Diego), WFA 2012 conference (Las Vegas); FIRS 2012 conference, University of Minnesota; FDIC-JFSR Fall 2011 Banking Conference among others.
We study the impact of CDS introduction on underlying corporate bond markets.
Kalimipalli,Madhu, S. Nayak, and Perez M. Fabricio, 2013, “Dynamic Effects of Idiosyncratic Volatility and Liquidity on Corporate Bond Spreads”, Journal of Banking and Finance Volume 37, Issue 8, August 2013, Pages 2969-2990. (SSRN link)
We study the dynamic impact of idiosyncratic volatility and bond liquidity on corporate bond spreads over time and empirically disentangle both effects.
Kalimipalli, Madhu and Subhankar Nayak (2012) “Idiosyncratic Volatility vs. Liquidity? Evidence from the US Corporate Bond Market”, Journal of Financial Intermediation,21,217-242. (SSRN link)
We extend Campbell and Taksler (2003) by conditioning for underlying bond liquidity, and exploring the relative contribution of idiosyncratic equity volatility and bond liquidity in the cross-sectional pricing of corporate bond spreads.
Jha, Ranjini and Madhu Kalimipalli, 2010, “ The Economic Significance of Conditional Skewness Forecasts in OptionMarkets”, Journal of Futures Markets, Vol. 30, No. 4, 378-406. (SSRN link)
We investigate to what extent conditional skewness forecasts of the underlying asset returns can be used to trade profitably in the index options market
BEST PAPER AWARD in Derivatives and Risk Management at the Mid West Finance Association 2003 Annual Meetings
Bancel , Franck, Madhu Kalimipalli, and Usha R. Mittoo,2009, “Cross Listing and Long Term Performance of ADRs: Revisiting European Evidence”, Journal of International Financial Markets, Institutions & Money, 19, 895–923. (SSRN link)
We examine the validity of several theories of cross-listing employing a sample of over 250 European ADRs representing 19 countries during the 1970–2002 period.
Chan, Wing, R. Jha, and Madhu Kalimipalli, 2009,“The Economic Value of Realized Volatility in forecasting Implied Volatility”, Journal of Financial Research, Vol. XXXII, No. 3, 231–259. (LEAD PAPER). (SSRN link)
We study the economic benefits of using (intra-day based) realized volatility measures to forecast future implied volatility for pricing, trading, and hedging in the S&P 500 index options market.
BEST PAPER AWARD in Derivatives at the Northern Finance Association 2004 Annual Meetings.
Smith, Brian,, Ben Amoako-Adu and Kalimipalli, Madhu ,2009,“Value of Concentrated Corporate Ownership and Control”, Applied Financial Economics, 19, 955–974. (SSRN link)
We study the impact of concentrated control on firm value under dual-class and single-class closely-held ownership corporate structures compared to widely-held firms.
Social Science Research Network’s Top Ten Download list for Governance and Ownership Recent Hits.
Kalimipalli, Madhu and Latha Ramchand,2006, “Does the Method of Entry Matter? Evidence from Indian ADRs and GDRs”, Pacific-Basin Finance Journal, Volume 14, issue 4, 349-366. (SSRN link)
We study the impact on volatility, returns, liquidity and valuation on the local market following different ADR issues, viz., Level I, II, III, Rule 144A and Regulation S offerings, by the Indian firms in the global market
Kalimipalli, Madhu and Raul Susmel,2004, “Regime-Switching Stochastic Volatility and Short-Term Interest Rates”, Journal of Empirical Finance, Volume 11, Issue 3, June 2004, 309-329 (LEAD PAPER). (SSRN link)
We introduce regime switching in a two-factor stochastic volatility model to explain the behavior of risk-free short-term interest rates.
Athanassakos, George and Madhu Kalimipalli,2003, “Analyst Forecast Dispersion and Future Stock Return Volatility” Quarterly Journal of Business and Economics, Vol. 42, Nos. 1 and 2, Winter/Spring, 57-78. (SSRN link)
We examine the relationship between analysts’ forecast dispersion and future stock return volatility using cross-sectional data for 160 U.S. firms from 1981 to 1996.
Carayannopoulos, Peter and Madhu Kalimipalli,2003, “Convertible Bonds and Pricing Biases”, Journal of Fixed Income, Volume 13, Number 3, December, pp 64-73. (SSRN link)
Using a reduced form pricing model, we study the pricing biases in the US convertible bond market
The paper was abstracted in the Chartered Financial Analyst (CFA) digest, August 2004 Volume 34, No. 3.
Das, Sanjiv R, Jan Ericsson, and Madhu Kalimipalli, 2003,“Liquidity and Bond Markets”,Journal of Investment Management, Volume 1, Number 4, December. 1-9.
We review and discuss the extant literature on liquidity in bond markets.
Kalimipalli, Madhu and Arthur Warga,2002, “Bid/Ask Spreads, Volume and Volatility in the Corporate Bond Market”, Journal of Fixed Income, Volume 11, Number 4, March, 31-42. (SSRN link)
We provide the first microstructure analysis of the time series relationship between bid-ask spreads, volatility and volume in the market for corporate bonds.
Smith, Brian. Amoako-Adu, and Kalimipalli, M, 2008, “Fair Share: How much value is lost with dual class-control structure?”, Canadian Investment Review, Vol. 20, 4, 49-50.
Kalimipalli, Madhu and Latha Ramchand, “Changes in Liquidity Following Exposure to Foreign Shareholders; The Effects of Foreign Listings and Issues of American Depositary Receipts of Indian Firms”, National Stock Exchange (NSE) News, National Stock Exchange of India Ltd, November 2001.
Permanent working papers:
Is default risk priced in equity options? (Madhu Kalimipalli and Laleh Samarbaksh ).
Presented at FMA Applied Finance conference (2019, New York); NFA (2015); Midwest Finance Conference(2015); Accepted at the Optionmetrics Inaugural 2012 conference, Oct 15, New York.
“Predicting Implied volatility: Does credit risk matter?” ( Madhu Kalimipalli and Laleh Samarbaksh).