Paul Karehnke

ESCP Business School

79 avenue de la République

75011

France

SCHOLARLY PAPERS

10

DOWNLOADS
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Top 26,376

in Total Papers Downloads

2,766

SSRN CITATIONS
Rank 25,218

SSRN RANKINGS

Top 25,218

in Total Papers Citations

30

CROSSREF CITATIONS

7

Scholarly Papers (10)

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 584 (67,177)
Citation 11

Abstract:

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

2.

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 459 (90,089)
Citation 7

Abstract:

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

3.

Skewness Preferences in Choice under Risk

Number of pages: 15 Posted: 26 Nov 2019 Last Revised: 11 Aug 2021
Sebastian Ebert, Sebastian Ebert and Paul Karehnke
Frankfurt School of Finance & ManagementFrankfurt School of Finance & Management and ESCP Business School
Downloads 404 (104,410)
Citation 1

Abstract:

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

4.

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, Tilburg University and ESCP Business School
Downloads 403 (104,714)
Citation 8

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

5.

Systematic Skewness and Stock Returns

Number of pages: 63 Posted: 29 Dec 2020 Last Revised: 08 Aug 2022
Paul Karehnke
ESCP Business School
Downloads 269 (161,726)

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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 181 (234,087)
Citation 3

Abstract:

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

7.

Two Skewed Risks

Number of pages: 45 Posted: 31 Mar 2020 Last Revised: 01 Sep 2022
Arthur Beddock and Paul Karehnke
City University of Hong Kong (CityU) - Department of Economics and Finance and ESCP Business School
Downloads 154 (267,914)

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

8.

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 138 (292,428)
Citation 2

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

9.

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 104 (358,206)

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stereotype, gender gap, self-confidence, subjective ability

10.

Online Appendix: Skewness Preferences in Choice under Risk

Number of pages: 72 Posted: 10 Sep 2021
Sebastian Ebert, Sebastian Ebert and Paul Karehnke
Frankfurt School of Finance & ManagementFrankfurt School of Finance & Management and ESCP Business School
Downloads 70 (453,552)

Abstract:

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