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Pascal J. Maenhout

INSEAD - Finance

Assistant Professor of Finance

Boulevard de Constance

F-77305 Fontainebleau Cedex

France

SCHOLARLY PAPERS

11

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CITATIONS
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Top 1,607

in Total Papers Citations

350

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 2,729 (3,792)
Citation 39

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

2.

Option-Implied Correlations and the Price of Correlation Risk

Downloads 2,327 ( 4,982)
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 1,556 (9,565)
Citation 28

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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 771 (28,051)
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 2,181 (5,504)
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 1,541 (9,893)
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 1,071 (17,579)
Citation 38

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6.

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

Downloads 994 ( 19,627)
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 994 (19,269)
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

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7.

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

Downloads 901 ( 22,697)
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 656 (34,844)
Citation 52

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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 245 (113,440)
Citation 52

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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

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G12, G13

8.

Investing Retirement Wealth: A Life-Cycle Model

Downloads 841 ( 25,062)
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 783 (27,318)
Citation 66

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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 (338,815)
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 359 (75,073)
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 256 (108,984)
Citation 1

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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:

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G11, G12