Paul Karehnke

ESCP Business School

6-8 avenue de la Porte de Champerret

75017

France

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 24,068

SSRN RANKINGS

Top 24,068

in Total Papers Downloads

4,017

SSRN CITATIONS
Rank 21,791

SSRN RANKINGS

Top 21,791

in Total Papers Citations

51

CROSSREF CITATIONS

8

Scholarly Papers (12)

1.

Crowding and Tail Risk in Momentum Returns

Number of pages: 69 Posted: 01 Oct 2017 Last Revised: 17 Oct 2020
Pedro Barroso, Roger M. Edelen and Paul Karehnke
CATÓLICA-LISBON School of Business & Economics, Virginia Tech and ESCP Business School
Downloads 760 (62,874)
Citation 11

Abstract:

Loading...

Momentum, crash risk, institutional investors, crowded trade, destabilize

2.

Skewness Preferences in Choice under Risk

Number of pages: 31 Posted: 26 Nov 2019 Last Revised: 17 Sep 2023
Sebastian Ebert and Paul Karehnke
and ESCP Business School
Downloads 586 (87,587)
Citation 1

Abstract:

Loading...

risk preferences, downside risk aversion, prudence, skewness preferences, orders of skewness preferences

3.

Time-Varying State Variable Risk Premia in an ICAPM

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 46 Posted: 17 Mar 2017 Last Revised: 01 Feb 2020
Pedro Barroso, Martijn Boons and Paul Karehnke
CATÓLICA-LISBON School of Business & Economics, Nova School of Business and Economics and ESCP Business School
Downloads 506 (105,114)
Citation 8

Abstract:

Loading...

Conditional Asset Pricing Models, State Variable Risk Premiums, Intertemporal CAPM, Time-Varying Consumption Predictability

4.

A Simple Skewed Distribution with Asset Pricing Applications

Review of Finance, Forthcoming, 28th Australasian Finance and Banking Conference
Number of pages: 53 Posted: 18 Aug 2015 Last Revised: 28 Jul 2016
Frans de Roon and Paul Karehnke
Tilburg University - Department of Finance and ESCP Business School
Downloads 495 (107,999)
Citation 10

Abstract:

Loading...

Skewness, Value-at-Risk, Expected Shortfall, Portfolio Choice, Asset Pricing

5.

Systematic Skewness and Stock Returns

Number of pages: 69 Posted: 29 Dec 2020 Last Revised: 12 Feb 2024
Paul Karehnke
ESCP Business School
Downloads 471 (114,467)

Abstract:

Loading...

asset pricing, systematic skewness, residual co-skewness, skewness preference, market capitalization, momentum

6.

Spanning Tests for Assets with Option-Like Payoffs: The Case of Hedge Funds

Management Science, Forthcoming
Number of pages: 55 Posted: 01 Oct 2015 Last Revised: 07 Oct 2020
Paul Karehnke and Frans de Roon
ESCP Business School and Tilburg University - Department of Finance
Downloads 219 (258,681)
Citation 3

Abstract:

Loading...

hedge funds; mutual funds; writing options; performance evaluation; mean-variance-skewness spanning; prudence; portfolio choice

7.

Two Skewed Risks

Number of pages: 46 Posted: 31 Mar 2020 Last Revised: 23 Aug 2023
Arthur Beddock and Paul Karehnke
City University of Hong Kong (CityU) - Department of Economics and Finance and ESCP Business School
Downloads 212 (266,653)

Abstract:

Loading...

Skewness, Portfolio Choice, Asset Pricing, Conditional Value-at-Risk, Conditional Expected Shortfall

8.

Beta Horizons

Number of pages: 40 Posted: 04 Apr 2024
Paul Karehnke and Frans de Roon
ESCP Business School and Tilburg University - Department of Finance
Downloads 186 (300,204)

Abstract:

Loading...

beta, long-horizon, cost of capital

9.

On Portfolio Choice with Savoring and Disappointment

Management Science, Forthcoming
Number of pages: 25 Posted: 10 Jul 2013
Elyes Jouini, Paul Karehnke and Clotilde Napp
Univ. Paris Dauphine - CEREMADE, ESCP Business School and CNRS and Université Paris-Dauphine
Downloads 164 (335,169)
Citation 2

Abstract:

Loading...

endogenous beliefs, anticipatory feelings, disappointment, optimism, portfolio choice, skewness, under-diversification

10.

Online Appendix: Skewness Preferences in Choice under Risk

Number of pages: 19 Posted: 10 Sep 2021 Last Revised: 17 Sep 2023
Sebastian Ebert and Paul Karehnke
and ESCP Business School
Downloads 150 (361,155)
Citation 2

Abstract:

Loading...

Risk preferences, downside risk aversion, prudence, skewness preferences, orders of skewness preferences

11.

Stereotypes, Underconfidence and Decision-Making with an Application to Gender and Math

Journal of Economic Behavior and Organization, Forthcoming
Number of pages: 28 Posted: 21 Feb 2018
Elyes Jouini, Paul Karehnke and Clotilde Napp
Univ. Paris Dauphine - CEREMADE, ESCP Business School and CNRS and Université Paris-Dauphine
Downloads 138 (385,775)
Citation 4

Abstract:

Loading...

stereotype, gender gap, self-confidence, subjective ability

12.

First-Order Prudence and its Implications for Precautionary Savings and the Risk-Free Rate

Number of pages: 38 Posted: 27 Jan 2023 Last Revised: 17 Sep 2023
Sebastian Ebert and Paul Karehnke
and ESCP Business School
Downloads 130 (406,786)

Abstract:

Loading...

Prudence, precautionary saving, risk-free rate puzzle, expected utility, probability weighting