Julien Penasse

University of Luxembourg

4 Rue Albert Borschette

Luxembourg, L-1246

Luxembourg

SCHOLARLY PAPERS

9

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Top 18,456

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2,867

SSRN CITATIONS
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SSRN RANKINGS

Top 31,247

in Total Papers Citations

5

CROSSREF CITATIONS

19

Scholarly Papers (9)

1.

The Missing Risk Premium in Exchange Rates

Swedish House of Finance Research Paper No. 17-18
Number of pages: 62 Posted: 14 Dec 2016 Last Revised: 29 Nov 2017
Magnus Dahlquist and Julien Penasse
Stockholm School of Economics and University of Luxembourg
Downloads 628 (45,778)
Citation 6

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Currency returns, forward premium puzzle, present-value model, real exchange rates, uncovered interest rate parity.

2.

Return Predictability: Learning from the Cross-Section

Number of pages: 52 Posted: 10 Mar 2015 Last Revised: 28 Mar 2017
Julien Penasse
University of Luxembourg
Downloads 476 (65,124)

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Stock return predictability, Bayesian panel VAR, Asset allocation

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: 66 Posted: 26 Feb 2020
Julien Penasse and Luc Renneboog
University of Luxembourg and Tilburg University - Department of Finance
Downloads 384 (84,079)
Citation 6

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

4.

Understanding Alpha Decay

Number of pages: 30 Posted: 18 Apr 2017 Last Revised: 14 Oct 2019
Julien Penasse
University of Luxembourg
Downloads 319 (103,709)
Citation 1

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Anomalies, Cross-Sectional Return Predictability, Market Efficiency

5.

Cash Flow-Wise ABCDS Pricing

Number of pages: 33 Posted: 18 Sep 2008 Last Revised: 03 Nov 2008
Julien Penasse
University of Luxembourg
Downloads 311 (106,570)
Citation 1

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

6.

Measuring Macroeconomic Tail Risk

Paris December 2017 Finance Meeting EUROFIDAI - AFFI
Number of pages: 70 Posted: 02 May 2016 Last Revised: 17 Jun 2020
Roberto Marfè and Julien Penasse
University of Turin - Collegio Carlo Alberto and University of Luxembourg
Downloads 258 (130,023)
Citation 6

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Rare disasters, equity premium, return predictability

7.

Sentiment and Art Prices

Economics Letters, Vol. 122, No. 3, 2014
Number of pages: 9 Posted: 26 Feb 2020
Julien Penasse, Luc Renneboog and Christophe Spaenjers
University of Luxembourg, Tilburg University - Department of Finance and HEC Paris - Finance Department
Downloads 223 (150,152)

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art; return predictability; sentiment; fads

When a Master Dies: Speculation and Asset Float

Number of pages: 49 Posted: 04 Jun 2019 Last Revised: 02 Mar 2020
Julien Penasse, Luc Renneboog and José Scheinkman
University of Luxembourg, Tilburg University - Department of Finance and Columbia University
Downloads 194 (171,659)

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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
Julien Penasse, Luc Renneboog and José Scheinkman
University of Luxembourg, Tilburg University - Department of Finance and Columbia University
Downloads 2 (728,961)
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9.

Real-Time Forecasts of Auction Prices

Number of pages: 30 Posted: 26 Feb 2020
Julien Penasse
University of Luxembourg
Downloads 72 (353,094)

Abstract:

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