Ali Ebrahimnejad
Finance Department, Fulton 337
Carroll School of Management
Boston College
140 Commonwealth Ave.
Chestnut Hill, MA 02467
EDUCATION
+1 617 817 5303
Ali.Ebrahimnejad@bc.edu
BOSTON COLLEGE, CARROLL SCHOOL OF MANAGEMENT, BOSTON, USA
PhD in Finance, September 2011-May 2016 (expected)
QUEEN’S UNIVERSITY, SCHOOL OF BUSINESS, KINGSTON, CANADA
MSc in Finance, September 2009-August 2010
MAASTRICHT UNIVERSITY, MAASTRICHT, THE NETHERLANDS
MPhil in Economic & Financial Research-Financial Economics, September 2007-August
2009
SHARIF UNIVERSITY OF TECHNOLOGY, TEHRAN, IRAN
Bachelor of Science, Mechanical Engineering, September 2003- July 2007
RESEARCH
INTERESTS
Investments, International Capital Markets, Market Microstructure
WORKING
PAPERS
“Idiosyncratic Volatility and the Role of Fundamentals: A Cross-Country Analysis”
Job Market Paper
I investigate the relation between fundamental idiosyncratic volatility and stock returns
idiosyncratic volatility using data from 56 countries over 1980-2014. I find a strong
positive relation between fundamental idiosyncratic volatility and idiosyncratic volatility
of returns. This association, however, seems to be entirely concentrated in the developed
economies and I find no effect in the emerging markets. Specifically, fundamental
idiosyncratic volatility does not lead to more idiosyncratic return volatility in countries
with poor legal institutions and weak shareholder protection laws.
“The Effect of Short-selling On Idiosyncratic Volatility: Evidence from Hong Kong”
I examine the effect of short-selling on stock price informativeness using a unique
institutional feature in the Hong Kong market. I exploit the quarterly revision of the stocks
designated by the exchange for short-selling and find that stock price synchronicity tends
to decrease after short-sale constraints are removed. Once stocks are deleted from the list,
their synchronicity increases to its previous level. My findings are consistent with
arbitrageurs relying on short-selling to reflect information into stock prices, and support
the intuition that stock price synchronicity reflects the extent of stock price
informativeness.
WORK IN
PROGRESS
“Determinants of Stock Return Volatility: A Cross-industry Analysis”
(with Pierluigi Balduzzi, Gil Sadka and Ronnie Sadka)
An existing literature has examined the determinants of stock returns both at the aggregate
and firm-level. Campbell and Shiller (1988) decompose the variance of aggregate stock
returns and find that discount rate news drives a larger fraction of stock return volatility.
Vuolteenaho (2002) applies a modified decomposition at the firm-level and shows that,
unlike at the aggregate level, firm-level volatility is primarily driven by news about the
cash flows. We investigate this relationship across different industries and over time.
Different industries, due to their economic nature differ in the relative contribution of cash
flow and discount rate news to their volatility. In addition, the relative importance of cash
flow and discount rate news varies over the business cycle and after certain structural
changes.
“Mutual Funds’ Investment Horizon and Destabilizing Behavior”
(with Saeed Hosseinzadeh)
A large literature has documented the importance of mandatory portfolio disclosure for
mutual funds and their changing behavior around mandatory disclosure dates. We exploit
the exogenous variation in disclosure date, determined by the random establishment date
of the fund, as a proxy for mutual funds’ investment horizon and study the impact of
investment horizon on trading behavior. Funds very close to the next disclosure date tend
to sell (not to buy) distressed stocks, hence destabilize the prices. In contrast, funds with a
longer time to the next portfolio disclosure date are more likely to decide based on
fundamentals and behave the opposite, hence stabilize the prices. We examine the policy
implications for the proposed increase in the frequency of mandatory portfolio disclosure
and the resulting market destabilizing behavior.
RESEARCH
EXPERIENCE
Boston College, Carroll School of Management, Boston, USA
Research Assistant, 09/11-09/13
• Research on financial indicators of US commercial banks measured by the Federal
Reserve, supervised by Professor Philip Strahan
Helsinki School of Economics, Department of Accounting & Finance, Helsinki, Finland
Research Assistant, 05/10-08/10
• Conducted research on hedge funds and currency carry trade, supervised by Professor
Matti Suominen
Queen’s School of Business, Kingston, Canada
Research Assistant, 01/10-05/10
• Conducted research on “Overvaluation and Debt Issuance“, supervised by Dr.
Lynnette Purda and Dr. Wei Wang
CONFERENCES
Ebrahimnejad, Ali, “Credit Ratings During Credit Crunch: Implications for Investors and
Regulators”, 2010.08, presented at Finance & Economics Conference 2010, Lupcon
Center for Business Research, Frankfurt, Germany
Bams, Dennis, Ebrahimnejad, Ali, “Developing a Commercial Credit Risk Rating Model:
Case Study of a Petrochemical Company”, 2009.08, presented at Credit Scoring & Credit
Control Conference, The Credit Research Centre, the University of Edinburgh
HONORS
20th rank in Physics & Math State Universities Entrance Examination (400,000
participants), summer 2003
55th rank in MBA State Universities Entrance Examination (14,000 participants), spring
2006
AWARDS
Carroll School of Management PhD scholarship, September 2011
Queen’s School of Business Entrance Scholarship, August 2009
Queen’s Graduate Award, January 2010
UM Company scholarship, Belden Co. scholarship, June 2008
The LEVIN Institute Scholarship, March 2008
UM Company scholarship, SABIC-EUROPE Co. scholarship, June 2007
METEOR Research School Grant, June 2007
PROFESSIONAL Turquoise Partners, Tehran, Iran
EXPERIENCE
Senior Equity Analyst, 11/10-09/11
SABIC-Europe Petrochemical Co, Sittard, the Netherlands
Credit Risk Analyst (Internship), 04/09-08/09
John Hancock Financial Services Inc., New York City, USA
Analyst and project team member at the Levin Institute, 09/08 – 12/08
SeaQuation, Maastricht, the Netherlands
Scientific Analyst (Internship) for IT/Finance optimization in the banking industry, 03/0807/08
TEACHING
EXPERIENCE
Boston College, TA for Financial Management (Professor Jonathan Reuter), 01/15-05/15
Boston College, TA for Basic Finance (Professor Jonathan Reuter), 01/14-05/14
Boston College, TA for Investments (Professor Jeffrey Pontiff), 09/13-12/13
Queen’s School of Business, TA for Introduction to Finance (Professor Fatma Sonmez and
Professor Fabio Moneta), 09/09-12/09
COMPUTER
SKILLS
Proficient with Microsoft Office, Stata, SAS, MATLAB
REFERENCES
Professor Pierluigi Balduzzi (Chair)
Boston College, Department of Finance
pierluigi.balduzzi@bc.edu
(617) 552-3976
Professor Alan Marcus
Boston College, Department of Finance
alan.marcus@bc.edu
(617) 552-2767
Professor Jeffrey Pontiff
Boston College, Department of Finance
pontiff@bc.edu
(617) 552-6786
Professor Ronnie Sadka
Boston College, Department of Finance
ronnie.sadka@bc.edu
(617) 552-0899
Professor Hassan Tehranian
Boston College, Department of Finance
hassan.tehranian@bc.edu
(617) 552-3944