Elsa Allman

Research Interests: Sustainable Finance, Climaterisk, ESG Disclosure, Banking, Financial Stability

Education:

Experience:

Skills and Background

Languages: Bilingual in English and French; good written and spoken level of Spanish

IT: Advanced in R, Stata, LaTeX, MS Office; knowledge of VBA, Eviews, Matlab, Python

International Background: Lived in Haiti, Vietnam, Madagascar, India and attended international schools (French School of New Delhi, Lycée of Antananarivo, American School of Antananarivo).

Working Papers:

The Effect of ESG Disclosure on Corporate Investment Efficiency, with Joonsung Won 2021

This paper examines the effects of environmental, social and governance (ESG) disclosure on investment efficiency, using the adoption of Directive 2014/95/EU as a quasi-natural shock on disclosure quality. We document a significant and robust reduction of underinvestment for U.S. firms with significant activities in the EU, which exposes them to the Directive, relative to U.S. firms not affected. These firms are able to raise additional debt after the adoption of the Directive, although there is no evidence of any impact on new capital raised in equity markets. In addition, investment efficiency gains are strongest for firms with ex-ante lower ESG disclosure levels and firms that are financially constrained. These results suggest that nonfinancial disclosure requirements can play a role in mitigating adverse selection problems for underinvesting firms, especially in debt markets, in a manner similar to disclosure of financial information.
Presentations: Baruch Finance Brownbag (February 2020), Financial Markets and Corporate Governance Conference (FMCG) (2021)

External Reviews and Green Bond Credibility, with Brandon Lock, 2021

In an effort to alleviate greenwashing concerns, firms are increasingly commissioning voluntary external reviews and certifications of their green bond issues. This paper examines the role of external parties in reducing information asymmetry in the green bond market and the ensuing effects on green bond pricing. Initial evidence does not suggest that external reviews, on average, provide issuers with at-issue funding cost reductions. In subsequent analyses, we find that external reviews reduce at-issue costs for green issuers domiciled in common law countries, including the United States. Specifically, these issuers benefit from a 0.5 percentage point lower greenium (i.e., the difference between the yield on a green bond and the yield on a similar conventional bond). Funding costs are lowest when issuers obtain external reviews from audit firms or rating agencies. Overall, our results suggest that the pricing implications of green bond external reviews depend crucially on both the location of the green issuer and the reputation of the external reviewer.
Presentations: Baruch Finance PhD Symposium (May 2020)

Pricing Climate Change Risk in Corporate Bonds, 2020

Using a firms geographic footprint to measure its exposure to sea level rise (SLR), I find that corporate bonds bear a climate risk premium upon issuance. A one standard deviation increase in firms SLR exposure is associated with a 7 basis point premium, representing a 3% increase in average yield spread. This effect is more pronounced for geographically concentrated firms, and within industries vulnerable to extreme weather conditions. I do not find evidence that credit rating agencies account for SLR exposure at bond issuance. Results are robust to placebo tests and inverse propensity weighting to address possible endogeneity.
Presentations: Baruch Finance Brownbag (April 2020), ASSA Poster Session (January 2021)

Shadow Banks and Bank Systemic Risk, 2019

Shadow banks, non-bank lenders defined as unregulated non-depository institutions, currently dominate the U.S. residential mortgage market. Their market share has risen from 21% to 35% between 2007 and 2013, surpassing pre-crisis levels. In this paper, I examine empirically whether the rise of shadow banks in the mortgage market impacts systemic risk in the regulated banking system. I find that shadow banks penetration increases systemic risk of small banks but reduces it for larger banks. Controlling for endogeneity, I find that a 10 percentage point increase in shadow banking penetration increases average systemic risk contributions by 23% for small banks with assets of $500 million. In contrast, for large banks with $1 trillion in assets, a 10percentage point increase of shadow banks market share is accompanied by an 80% reduction in systemic risk. These results suggest that shadow banks act as disruptive substitutes to small banks, but complement larger banks which subsequently reduce their systemic risk.
Presentations: Baruch Finance Seminar (March 2019), Banque de France Seminar DEMS (July 2019)

ESG-Linked Loans, with Sonali Hazarika and Mo Qiao, Work in Progress

Disclaimer: The biographical information is as of the date of posting.