Julien Pénasse

University of Luxembourg

4 Rue Albert Borschette

Luxembourg, L-1246

Luxembourg

  • University of Luxembourg

SCHOLARLY PAPERS

11

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SSRN CITATIONS
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Top 16,594

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67

CROSSREF CITATIONS

22

Scholarly Papers (11)

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1.

The Missing Risk Premium in Exchange Rates

Swedish House of Finance Research Paper No. 17-18
Number of pages: 71 Posted: 14 Dec 2016 Last Revised: 14 Apr 2021
Magnus Dahlquist and Julien Pénasse
Stockholm School of Economics and University of Luxembourg
Downloads 904 (51,168)
Citation 6

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Currency returns, forward premium puzzle, purchasing power parity, state-space model, uncovered interest rate parity.

2.

Measuring Macroeconomic Tail Risk

Number of pages: 104 Posted: 02 May 2016 Last Revised: 18 Jan 2024
Roberto Marfè and Julien Pénasse
University of Turin - Collegio Carlo Alberto and University of Luxembourg
Downloads 831 (57,441)
Citation 5

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Rare disasters, equity premium, return predictability

3.

Speculative Trading and Bubbles: Evidence from the Art Market

CentER Discussion Paper Series No. 2014-068, 7th Miami Behavioral Finance Conference 2016
Number of pages: 74 Posted: 26 Feb 2020 Last Revised: 01 Dec 2020
Julien Pénasse and Luc Renneboog
University of Luxembourg and Tilburg University - Department of Finance
Downloads 766 (64,077)
Citation 19

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Art Market; Bubbles; Return Predictability; Auction; Trading Volume

4.

Understanding Alpha Decay

Management Science, accepted manuscript
Number of pages: 19 Posted: 18 Apr 2017 Last Revised: 18 Jan 2022
Julien Pénasse
University of Luxembourg
Downloads 650 (79,120)
Citation 6

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Anomalies, Cross-Sectional Return Predictability, Market Efficiency

5.

When a Master Dies: Speculation and Asset Float

Downloads 590 (89,356)
Citation 13

When a Master Dies: Speculation and Asset Float

Review of Financial Studies, Forthcoming
Number of pages: 65 Posted: 04 Jun 2019 Last Revised: 14 Jan 2021
Julien Pénasse, Luc Renneboog and José A. Scheinkman
University of Luxembourg, Tilburg University - Department of Finance and Columbia University
Downloads 562 (93,942)
Citation 2

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Speculative Bubbles, Asset Float, Short-Sales Constraints, Heterogeneous Beliefs, Art Auction

When a Master Dies: Speculation and Asset Float

NBER Working Paper No. w26831
Number of pages: 50 Posted: 09 Mar 2020 Last Revised: 24 Apr 2023
Julien Pénasse, Luc Renneboog and José A. Scheinkman
University of Luxembourg, Tilburg University - Department of Finance and Columbia University
Downloads 28 (929,731)
Citation 1

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6.

Return Predictability: Learning from the Cross-Section

Number of pages: 52 Posted: 10 Mar 2015 Last Revised: 28 Mar 2017
Julien Pénasse
University of Luxembourg
Downloads 538 (100,430)
Citation 1

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Stock return predictability, Bayesian panel VAR, Asset allocation

7.

Sentiment and Art Prices

Economics Letters, Vol. 122, No. 3, 2014
Number of pages: 9 Posted: 26 Feb 2020
Julien Pénasse, Luc Renneboog and Christophe Spaenjers
University of Luxembourg, Tilburg University - Department of Finance and University of Colorado Boulder - Leeds School of Business
Downloads 474 (117,014)
Citation 1

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art; return predictability; sentiment; fads

8.

International Capital Markets and Wealth Transfers

Downloads 455 (122,841)
Citation 1

International Capital Markets and Wealth Transfers

Swedish House of Finance Research Paper No. 22-15
Number of pages: 78 Posted: 27 Apr 2022 Last Revised: 24 Jun 2023
Magnus Dahlquist, Christian Heyerdahl-Larsen, Anna Pavlova and Julien Pénasse
Stockholm School of Economics, BI Norwegian Business School, London Business School and University of Luxembourg
Downloads 455 (121,495)
Citation 2

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Currency risk premium, habit formation, net foreign assets, wealth transfers

9.

Cash Flow-Wise ABCDS Pricing

Number of pages: 33 Posted: 18 Sep 2008 Last Revised: 03 Nov 2008
Julien Pénasse
University of Luxembourg
Downloads 357 (161,928)
Citation 1

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Asset-Backed Securities (ABS), credit default swap (CDS), ABCDS, pay-as-you-go (PAUG), securitization, valuation

10.

Real-Time Forecasts of Auction Prices

Number of pages: 30 Posted: 26 Feb 2020
Julien Pénasse
University of Luxembourg
Downloads 114 (460,394)

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Information and market efficiency; MIDAS; Information diffusion; Art auctions; Forecasting; Market sentiment.

11.

Online Appendix for Measuring Macroeconomic Tail Risk

Number of pages: 38 Posted: 24 Apr 2024
Roberto Marfè and Julien Pénasse
University of Turin - Collegio Carlo Alberto and University of Luxembourg
Downloads 12 (1,067,102)

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rare disasters, equity premium, return predictability