2025 Theses Doctoral

Essays in International Finance

Mondino, Tomas

This dissertation presents three essays on international debt and equity markets, combining corporate finance and asset pricing to study how currency exposure, market segmentation and financial development shape market depth and risk premia.

Chapter One studies how emerging market (EM) firms choose the currency composition of their debt and how resulting currency mismatches impacts credit risk pricing in corporate bonds. I document that firms with higher foreign revenues tend to borrow more in foreign currency and show that mismatches are associated with wider spreads and greater sensitivity to exchange rate depreciations. A dynamic corporate model rationalizes these regional patterns and explains why the natural-hedge slope steepens with currency risk.

Chapter Two (with Geert Bekaert and Roberto De Santis) investigates factor pricing in global corporate bond markets addressing small-sample biases of time series and pricing tests. Using model-comparison tests à la Barillas and Shanken (2017), we find that a parsimonious three-factor global model comprised of the corporate bond market, a maturity spread, and a liquidity spread that prices multiple global and local cross-sections.

Chapter Three (with Geert Bekaert and Campbell R.\ Harvey) reexamines the question whether globalization has increased the distinction between emerging and developed equity markets or whether they remain distinct. We find emerging markets differ systematically in income levels, market development, valuation ratios, and integration. Over time, they have evolved into high-beta assets. Nonetheless, alternative index constructions can materially improve EM portfolio performance relative to simple value-weighted benchmarks.

Together, the chapters show that currency exposure, segmentation, and integration are first-order drivers of EM risk premia and provide tractable frameworks for measuring and pricing these forces in practice.