Adrien Verdelhan

Massachusetts Institute of Technology (MIT) - Sloan School of Management

100 Main Street

E62-416

Cambridge, MA 02142

United States

National Bureau of Economic Research (NBER)

Research Fellow

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

20

DOWNLOADS
Rank 839

SSRN RANKINGS

Top 839

in Total Papers Downloads

27,837

CITATIONS
Rank 410

SSRN RANKINGS

Top 410

in Total Papers Citations

605

Scholarly Papers (20)

1.
Downloads 7,333 ( 758)
Citation 219

Common Risk Factors in Currency Markets

Review of Financial Studies ( 2011), 24(11), .
Number of pages: 74 Posted: 01 Jun 2008 Last Revised: 27 Aug 2012
Hanno N. Lustig, Nikolai L. Roussanov and Adrien Verdelhan
Stanford Graduate School of Business, University of Pennsylvania - The Wharton School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 7,226 (767)
Citation 238

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Carry Trade, Currency Risk

Common Risk Factors in Currency Markets

NBER Working Paper No. w14082
Number of pages: 63 Posted: 14 Jul 2008 Last Revised: 25 Jun 2010
Hanno N. Lustig, Nikolai L. Roussanov and Adrien Verdelhan
Stanford Graduate School of Business, University of Pennsylvania - The Wharton School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 107 (251,487)

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2.
Downloads 3,318 ( 3,014)
Citation 40

Deviations from Covered Interest Rate Parity

Number of pages: 84 Posted: 25 Apr 2016 Last Revised: 06 May 2017
Wenxin Du, Alexander Tepper and Adrien Verdelhan
University of Chicago Booth School of Business, Federal Reserve Bank of New York and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 3,241 (3,079)
Citation 48

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exchange rates, currency swaps, dollar funding

Deviations from Covered Interest Rate Parity

NBER Working Paper No. w23170
Number of pages: 84 Posted: 21 Feb 2017
Wenxin Du, Alexande Tepper and Adrien Verdelhan
University of Chicago Booth School of Business, Columbia University - Graduate School of Architecture, Planning and Preservation and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 77 (313,930)
Citation 23

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3.
Downloads 2,966 ( 3,641)
Citation 10

Sovereign Risk Premia

AFA 2010 Atlanta Meetings Paper
Number of pages: 52 Posted: 17 Feb 2009 Last Revised: 14 Sep 2011
Nicola Borri and Adrien Verdelhan
LUISS University - Department of Economics and Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,816 (3,907)
Citation 7

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Sovereign debt, Asset pricing, Default risk

Sovereign Risk Premia

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 73 Posted: 13 Oct 2011
Adrien Verdelhan and Nicola Borri
Massachusetts Institute of Technology (MIT) - Sloan School of Management and LUISS University - Department of Economics and Finance
Downloads 150 (193,619)
Citation 1

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4.
Downloads 2,259 ( 5,766)
Citation 7

Crash Risk in Currency Markets

NYU Working Paper No. FIN-09-007
Number of pages: 68 Posted: 07 May 2009 Last Revised: 13 Mar 2015
Harvard University - Department of Economics, Computer Science, Harvard University - Department of Economics, University of Southern California and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,206 (5,893)
Citation 7

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Exchange Rates, Disaster Risk, Currency Options

Crash Risk in Currency Markets

NBER Working Paper No. w15062
Number of pages: 94 Posted: 08 Jun 2009 Last Revised: 29 Aug 2010
Harvard University - Department of Economics, Computer Science, Harvard University - Department of Economics, University of Southern California and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 52 (383,264)
Citation 2

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Crash Risk in Currency Markets

CEPR Discussion Paper No. DP7322
Number of pages: 83 Posted: 15 Jul 2009
Harvard University - Department of Economics, Computer Science, Harvard University - Department of Economics, University of Southern California and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1 (675,851)
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carry trade, currency crisis, currency options, disaster risk, exchange rate, financial crisis

5.

The Share of Systematic Variation in Bilateral Exchange Rates

Journal of Finance, Forthcoming
Number of pages: 54 Posted: 19 Sep 2011 Last Revised: 30 Oct 2015
Adrien Verdelhan
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,104 (6,501)
Citation 34

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exchange rates, forward premium puzzle, risk premium

6.
Downloads 1,887 ( 7,848)
Citation 3

The Term Structure of Currency Carry Trade Risk Premia

Number of pages: 113 Posted: 16 Oct 2013 Last Revised: 03 Nov 2018
Hanno N. Lustig, Andreas Stathopoulos and Adrien Verdelhan
Stanford Graduate School of Business, University of Washington and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,855 (7,912)
Citation 3

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exchange rate stationarity, carry trade, UIP, currency risk premia, bond risk premia

The Term Structure of Currency Carry Trade Risk Premia

NBER Working Paper No. w19623
Number of pages: 46 Posted: 09 Nov 2013
Hanno N. Lustig, Andreas Stathopoulos and Adrien Verdelhan
Stanford Graduate School of Business, University of Washington and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 32 (463,602)

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7.
Downloads 1,826 ( 8,291)
Citation 40

Countercyclical Currency Risk Premia

Journal of Financial Economics (JFE), Forthcoming, AFA 2011 Denver Meetings Paper
Number of pages: 58 Posted: 26 Jan 2010 Last Revised: 07 Nov 2014
Hanno N. Lustig, Nikolai L. Roussanov and Adrien Verdelhan
Stanford Graduate School of Business, University of Pennsylvania - The Wharton School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,787 (8,424)
Citation 21

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Exchange Rates, Forecasting, Risk Premia

Countercyclical Currency Risk Premia

NBER Working Paper No. w16427
Number of pages: 78 Posted: 04 Oct 2010 Last Revised: 15 Apr 2016
Hanno N. Lustig, Nikolai L. Roussanov and Adrien Verdelhan
Stanford Graduate School of Business, University of Pennsylvania - The Wharton School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 39 (432,218)
Citation 55

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8.
Downloads 1,377 ( 13,116)
Citation 8

The Wealth-Consumption Ratio

Review of Asset Pricing Studies, Forthcoming, NYU Working Paper No. FIN-08-045, AFA 2008 New Orleans Meetings Paper , EFA 2007 Ljubljana Meetings Paper
Number of pages: 110 Posted: 09 Mar 2009 Last Revised: 31 Mar 2013
Hanno N. Lustig, Stijn Van Nieuwerburgh and Adrien Verdelhan
Stanford Graduate School of Business, Columbia University Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,347 (13,289)
Citation 2

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The Wealth-Consumption Ratio

NBER Working Paper No. w13896
Number of pages: 52 Posted: 21 Mar 2008 Last Revised: 28 Jan 2010
Hanno N. Lustig, Stijn Van Nieuwerburgh and Adrien Verdelhan
Stanford Graduate School of Business, Columbia University Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 24 (507,854)

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The Wealth-Consumption Ratio

CEPR Discussion Paper No. DP9022
Number of pages: 77 Posted: 28 Sep 2012
Hanno N. Lustig, Stijn Van Nieuwerburgh and Adrien Verdelhan
Stanford Graduate School of Business, Columbia University Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 6 (626,458)
Citation 14
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discount rate, equity risk premium, excess return, interest rate, risk premium, stock market, stock returns

9.

The International CAPM Redux

Saïd Business School WP 2014-11
Number of pages: 74 Posted: 09 Nov 2014 Last Revised: 18 Feb 2017
Francesca Brusa, Tarun Ramadorai and Adrien Verdelhan
Temple University - Fox School of Business, Imperial College London and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 947 (23,093)
Citation 10

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Equity, Exchange rates, Risk

Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?

American Economic Review, Forthcoming
Number of pages: 74 Posted: 13 May 2015 Last Revised: 17 Dec 2018
Hanno N. Lustig and Adrien Verdelhan
Stanford Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 903 (24,374)
Citation 4

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currency risk, exchange rates, market incompleteness

Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?

NBER Working Paper No. w22023
Number of pages: 65 Posted: 01 Mar 2016
Hanno N. Lustig and Adrien Verdelhan
Stanford Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 22 (520,363)

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11.

International Risk Cycles

Number of pages: 49 Posted: 03 Sep 2010 Last Revised: 07 Nov 2014
Francois Gourio, Michael Siemer and Adrien Verdelhan
Federal Reserve Bank of Chicago, Board of Governors of the Federal Reserve System and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 540 (49,596)
Citation 58

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12.

Business Cycle Variation in the Risk-Return Trade-Off

Journal of Monetary Economics, Forthcoming
Number of pages: 35 Posted: 02 Sep 2010 Last Revised: 13 Nov 2012
Hanno N. Lustig and Adrien Verdelhan
Stanford Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 528 (51,038)
Citation 35

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Risk Premia, Sharpe Ratio

13.

A Habit-Based Explanation of the Exchange Rate Risk Premium

Journal of Finance, Forthcoming
Number of pages: 40 Posted: 03 Mar 2005 Last Revised: 26 Apr 2009
Adrien Verdelhan
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 419 (67,946)
Citation 125

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Exchange rate, time-varying risk premium, habits

14.

Common Factors, Order Flows, and Exchange Rate Dynamics

Number of pages: 24 Posted: 29 Jul 2015
Massachusetts Institute of Technology (MIT) - Sloan School of Management, BI Norwegian Business School, City University London - Sir John Cass Business School, Goethe University Frankfurt - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 414 (69,166)
Citation 1

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Exchange rates, risk premium, order flow

15.

Uncertainty and International Capital Flows

Number of pages: 60 Posted: 05 Jul 2015 Last Revised: 09 Oct 2015
Francois Gourio, Michael Siemer and Adrien Verdelhan
Federal Reserve Bank of Chicago, Board of Governors of the Federal Reserve System and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 382 (75,832)
Citation 23

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international capital flows, political risk, expropriation, gross flows, volatility, uncertainty

The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk

EFA 2005 Moscow Meetings
Number of pages: 51 Posted: 12 Jan 2005
Hanno N. Lustig and Adrien Verdelhan
Stanford Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 303 (98,006)
Citation 188

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Asset Pricing, Exchange Rates

The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk

Banque de France Working Paper No. NER-R 155
Number of pages: 62 Posted: 25 Oct 2010
Hanno N. Lustig and Adrien Verdelhan
Stanford Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 73 (321,410)
Citation 12

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Exchange Rates, Asset Pricing

The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply

Number of pages: 27 Posted: 05 Oct 2010
Hanno N. Lustig and Adrien Verdelhan
Stanford Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 57 (366,706)
Citation 19

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The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply

NBER Working Paper No. w13812
Number of pages: 52 Posted: 15 Feb 2008 Last Revised: 07 Nov 2010
Hanno N. Lustig and Adrien Verdelhan
Stanford Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 39 (432,218)

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18.

Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market

Journal of Financial and Quantitative Analysis (JFQA), Vol. 46, No. 2, 2011
Number of pages: 26 Posted: 18 Mar 2008 Last Revised: 20 Feb 2013
George J. Jiang, Ingrid Lo and Adrien Verdelhan
Washington State University, Bank of Canada and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 88 (284,435)
Citation 35

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Information Shocks, Jumps, Price Discovery

19.

The Cross-Section of Currency Risk Premia and Us Consumption Growth Risk

NBER Working Paper No. w11104
Number of pages: 52 Posted: 08 Aug 2012
Hanno N. Lustig and Adrien Verdelhan
Stanford Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 33 (447,909)
Citation 4

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20.

International Risk Cycles

NBER Working Paper No. w17277
Number of pages: 50 Posted: 08 Aug 2011 Last Revised: 18 Aug 2011
Francois Gourio, Michael Siemer and Adrien Verdelhan
Federal Reserve Bank of Chicago, Board of Governors of the Federal Reserve System and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 19 (521,212)

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