Julien Pénasse

University of Luxembourg

4 Rue Albert Borschette

Luxembourg, L-1246

Luxembourg

SCHOLARLY PAPERS

10

DOWNLOADS
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Top 18,305

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4,275

SSRN CITATIONS
Rank 27,306

SSRN RANKINGS

Top 27,306

in Total Papers Citations

12

CROSSREF CITATIONS

21

Scholarly Papers (10)

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 836 (44,465)
Citation 6

Abstract:

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

2.

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 594 (69,785)
Citation 8

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

3.

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 520 (82,616)
Citation 1

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Anomalies, Cross-Sectional Return Predictability, Market Efficiency

4.

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 510 (84,393)
Citation 1

Abstract:

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Stock return predictability, Bayesian panel VAR, Asset allocation

5.

Measuring Macroeconomic Tail Risk

Paris December 2017 Finance Meeting EUROFIDAI - AFFI
Number of pages: 88 Posted: 02 May 2016 Last Revised: 29 Apr 2022
Roberto Marfè and Julien Pénasse
University of Turin - Collegio Carlo Alberto and University of Luxembourg
Downloads 421 (106,293)
Citation 5

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Rare disasters, equity premium, return predictability

6.
Downloads 418 (106,892)
Citation 4

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 Scheinkman
University of Luxembourg, Tilburg University - Department of Finance and Columbia University
Downloads 400 (111,448)
Citation 3

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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: 26 Oct 2022
Julien Pénasse, Luc Renneboog and José Scheinkman
University of Luxembourg, Tilburg University - Department of Finance and Columbia University
Downloads 18 (812,860)
Citation 1

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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 363 (125,521)
Citation 1

Abstract:

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art; return predictability; sentiment; fads

8.

Cash Flow-Wise ABCDS Pricing

Number of pages: 33 Posted: 18 Sep 2008 Last Revised: 03 Nov 2008
Julien Pénasse
University of Luxembourg
Downloads 327 (140,654)
Citation 1

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

International Capital Markets and Wealth Transfers

Swedish House of Finance Research Paper No. 22-15
Number of pages: 62 Posted: 27 Apr 2022 Last Revised: 17 Nov 2022
Stockholm School of Economics, Indiana University - Kelley School of Business - Department of Finance, London Business School and University of Luxembourg
Downloads 197 (231,624)

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

10.

Real-Time Forecasts of Auction Prices

Number of pages: 30 Posted: 26 Feb 2020
Julien Pénasse
University of Luxembourg
Downloads 89 (425,506)

Abstract:

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