Pascal J. Maenhout

INSEAD - Finance

Assistant Professor of Finance

Boulevard de Constance

F-77305 Fontainebleau Cedex

France

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 2,468

SSRN RANKINGS

Top 2,468

in Total Papers Downloads

13,382

CITATIONS
Rank 1,605

SSRN RANKINGS

Top 1,605

in Total Papers Citations

351

Scholarly Papers (11)

Actions:
Email selected abstracts
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 2,766 (3,880)
Citation 39

Abstract:

Loading...

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

2.

Option-Implied Correlations and the Price of Correlation Risk

Downloads 2,412 ( 4,909)
Citation 28

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 1,581 (9,777)
Citation 28

Abstract:

Loading...

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 831 (26,201)
Citation 28

Abstract:

Loading...

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 2,190 (5,764)
Citation 69

Abstract:

Loading...

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 1,553 (10,265)
Citation 24

Abstract:

Loading...

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 1,088 (17,901)
Citation 38

Abstract:

Loading...

6.

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

Downloads 999 ( 20,346)
Citation 22

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 999 (19,990)
Citation 22

Abstract:

Loading...

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:

Loading...

7.

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

Downloads 910 ( 23,327)
Citation 52

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 660 (35,944)
Citation 52

Abstract:

Loading...

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 250 (115,445)
Citation 52

Abstract:

Loading...

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:

Loading...

G12, G13

8.

Investing Retirement Wealth: A Life-Cycle Model

Downloads 842 ( 26,119)
Citation 66

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 784 (28,407)
Citation 66

Abstract:

Loading...

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 (349,748)
Citation 66

Abstract:

Loading...

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 (77,274)
Citation 12

Abstract:

Loading...

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 260 (111,292)
Citation 1

Abstract:

Loading...

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:

Loading...

G11, G12