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Pascal J. Maenhout

INSEAD - Finance

Assistant Professor of Finance

Boulevard de Constance

F-77305 Fontainebleau Cedex

France

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INSEAD - Finance
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SCHOLARLY PAPERS

11

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Top 2,430

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13,289

CITATIONS

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Scholarly Papers (11)

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1.

The Price of Correlation Risk: Evidence from Equity Options

EFA 2005 Moscow Meetings

Number of pages: 60 Posted: 25 Feb 2005 Last Revised: 14 Jul 2008

Joost Driessen, Pascal J. Maenhout and Grigory Vilkov

Tilburg University - Center and Faculty of Economics and Business Administration, INSEAD - Finance and Frankfurt School of Finance & Management

Downloads 2,745 (3,837)

Citation 39

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Abstract:

Correlation risk, Dispersion trading, Index volatility, Stochastic volatility, Expected option returns

2.

Option-Implied Correlations and the Price of Correlation Risk

Downloads 2,368 ( 4,919)

Citation 28

2

Option-Implied Correlations and the Price of Correlation Risk

Advanced Risk & Portfolio Management Paper

Number of pages: 47 Posted: 26 Oct 2012 Last Revised: 19 Apr 2016

Joost Driessen, Pascal J. Maenhout and Grigory Vilkov

Tilburg University - Center and Faculty of Economics and Business Administration, INSEAD - Finance and Frankfurt School of Finance & Management

Downloads 1,570 (9,646)

Citation 28

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Abstract:

implied correlation, return predictability, index variance, variance risk premium, individual options

Option-Implied Correlations and the Price of Correlation Risk

Netspar Discussion Paper No. 07/2013-061

Number of pages: 48 Posted: 26 Nov 2013

Joost Driessen, Pascal J. Maenhout and Grigory Vilkov

Tilburg University - Center and Faculty of Economics and Business Administration, INSEAD - Finance and Frankfurt School of Finance & Management

Downloads 798 (27,138)

Citation 28

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3.

Individual Stock-Option Prices and Credit Spreads

Yale ICF Working Paper No. 04-14; EFA 2004 Maastricht Meetings Paper No. 5147

Number of pages: 56 Posted: 30 Jun 2004

Martijn Cremers, Joost Driessen, Pascal J. Maenhout and David Weinbaum

University of Notre Dame, Tilburg University - Center and Faculty of Economics and Business Administration, INSEAD - Finance and Syracuse University

Downloads 2,187 (5,618)

Citation 69

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4.

Does Skin in the Game Matter? Director Incentives and Governance in the Mutual Fund Industry

Yale ICF Working Paper No. 06-34

Number of pages: 41 Posted: 20 Mar 2005

Martijn Cremers, Joost Driessen, Pascal J. Maenhout and David Weinbaum

University of Notre Dame, Tilburg University - Center and Faculty of Economics and Business Administration, INSEAD - Finance and Syracuse University

Downloads 1,548 (10,055)

Citation 23

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5.

A Portfolio Perspective on Option Pricing Anomalies

AFA 2004 San Diego Meetings; EFA 2003 Annual Conference Paper No. 916

Number of pages: 52 Posted: 23 Jul 2003

Joost Driessen and Pascal J. Maenhout

Tilburg University - Center and Faculty of Economics and Business Administration and INSEAD - Finance

Downloads 1,079 (17,699)

Citation 38

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6.

Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor

Downloads 996 ( 19,942)

Citation 22

2

Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor

Harvard Institute of Economic Research Paper No. 1899

Number of pages: 28 Posted: 01 Aug 2000

John Y. Campbell, Joao F. Cocco, Francisco Gomes, Pascal J. Maenhout and Luis M. Viceira

Harvard University - Department of Economics, London Business School, London Business School, INSEAD - Finance and Harvard Business School - Finance Unit

Downloads 996 (19,575)

Citation 22

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Hedging Demand, Intertemporal Portfolio Choice, And Mean Reversion

Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor

Harvard Institute of Economic Research Paper No. 1899

Posted: 10 Apr 2002

John Y. Campbell, Joao F. Cocco, Francisco Gomes, Pascal J. Maenhout and Luis M. Viceira

Harvard University - Department of Economics, London Business School, London Business School, INSEAD - Finance and Harvard Business School - Finance Unit

Abstract:

7.

Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model

Downloads 904 ( 23,008)

Citation 52

3

Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model

BIS Working Paper No. 191, EFA 2006 Zurich Meetings

Number of pages: 50 Posted: 04 Mar 2005

Martijn Cremers, Joost Driessen and Pascal J. Maenhout

University of Notre Dame, Tilburg University - Center and Faculty of Economics and Business Administration and INSEAD - Finance

Downloads 658 (35,341)

Citation 52

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Abstract:

Credit spreads, jump risk premium, firm value model

Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model

BIS Working Paper No. 191

Number of pages: 51 Posted: 20 Sep 2007

Martijn Cremers, Joost Driessen, Pascal J. Maenhout and David Weinbaum

University of Notre Dame, Tilburg University - Center and Faculty of Economics and Business Administration, INSEAD - Finance and Syracuse University

Downloads 246 (114,942)

Citation 52

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Abstract:

Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model

The Review of Financial Studies, Vol. 21, Issue 5, pp. 2209-2242, 2008

Posted: 19 Sep 2008

Martijn Cremers, Joost Driessen and Pascal J. Maenhout

University of Notre Dame, Tilburg University - Center and Faculty of Economics and Business Administration and INSEAD - Finance

Abstract:

G12, G13

8.

Investing Retirement Wealth: A Life-Cycle Model

Downloads 841 ( 25,560)

Citation 66

2

Investing Retirement Wealth: A Life-Cycle Model

Harvard Institute of Economic Research Paper No. 1896

Number of pages: 50 Posted: 15 Aug 2000

John Y. Campbell, Joao F. Cocco, Francisco Gomes and Pascal J. Maenhout

Harvard University - Department of Economics, London Business School, London Business School and INSEAD - Finance

Downloads 783 (27,843)

Citation 66

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Abstract:

Investing Retirement Wealth: a Life-Cycle Model

NBER Working Paper No. w7029

Number of pages: 49 Posted: 20 Apr 1999 Last Revised: 12 Oct 2010

John Y. Campbell, Joao F. Cocco, Francisco Gomes and Pascal J. Maenhout

Harvard University - Department of Economics, London Business School, London Business School and INSEAD - Finance

Downloads 58 (343,694)

Citation 66

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9.

The World Price of Jump and Volatility Risk

AFA 2005 Philadelphia Meetings, Forthcoming

Number of pages: 53 Posted: 02 Jan 2005

Joost Driessen and Pascal J. Maenhout

Tilburg University - Center and Faculty of Economics and Business Administration and INSEAD - Finance

Downloads 362 (75,647)

Citation 12

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10.

A Central-Planning Approach to Dynamic Incomplete-Market Equilibrium

AFA 2003 Washington, DC Meetings

Number of pages: 36 Posted: 21 Dec 2002

Bernard Dumas and Pascal J. Maenhout

INSEAD and INSEAD - Finance

Downloads 259 (109,439)

Citation 1

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Abstract:

11.

An Empirical Portfolio Perspective on Option Pricing Anomalies

Review of Finance, Vol. 11, Issue 4, pp. 561-603, 2007

Posted: 14 Jul 2008

Joost Driessen and Pascal J. Maenhout

Tilburg University - Center and Faculty of Economics and Business Administration and INSEAD - Finance

Abstract:

G11, G12

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