Adrien Verdelhan

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

77 Massachusetts Ave.

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 941

SSRN RANKINGS

Top 941

in Total Papers Downloads

21,412

CITATIONS
Rank 908

SSRN RANKINGS

Top 908

in Total Papers Citations

585

Scholarly Papers (20)

1.
Downloads 6,097 ( 744)
Citation 80

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 6,004 (757)
Citation 80

Abstract:

Carry Trade, Currency Risk

Common Risk Factors in Currency Markets

NBER Working Paper No. w14082
Number of pages: 63 Posted: 14 Jul 2008
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 93 (226,104)
Citation 80

Abstract:

2.
Downloads 2,457 ( 3,695)
Citation 13

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 Guido Carli University - Department of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,352 (3,892)
Citation 13

Abstract:

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 Guido Carli University - Department of Economics
Downloads 105 (207,775)
Citation 13

Abstract:

3.
Downloads 2,051 ( 5,062)
Citation 36

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, Harvard University - Institute for Quantitative Social Sciences, Harvard University - Department of Economics, Paris School of Economics (PSE) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,007 (5,128)
Citation 36

Abstract:

Exchange Rates, Disaster Risk, Currency Options

Crash Risk in Currency Markets

NBER Working Paper No. w15062
Number of pages: 94 Posted: 08 Jun 2009
Harvard University - Department of Economics, Harvard University - Institute for Quantitative Social Sciences, Harvard University - Department of Economics, Paris School of Economics (PSE) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 43 (342,232)
Citation 36

Abstract:

Crash Risk in Currency Markets

CEPR Discussion Paper No. DP7322
Number of pages: 83 Posted: 15 Jul 2009
Harvard University - Department of Economics, Harvard University - Institute for Quantitative Social Sciences, Harvard University - Department of Economics, Paris School of Economics (PSE) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1 (553,083)
Citation 36
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Abstract:

carry trade, currency crisis, currency options, disaster risk, exchange rate, financial crisis

4.
Downloads 1,602 ( 7,767)
Citation 23

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 1,578 (7,781)
Citation 23

Abstract:

Exchange Rates, Forecasting, Risk Premia

Countercyclical Currency Risk Premia

NBER Working Paper No. w16427
Number of pages: 78 Posted: 04 Oct 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 24 (421,293)
Citation 23

Abstract:

Deviations from Covered Interest Rate Parity

Number of pages: 83 Posted: 25 Apr 2016 Last Revised: 28 Jan 2017
Wenxin Du, Alexander Tepper and Adrien Verdelhan
Federal Reserve Board, Federal Reserve Bank of New York and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,455 (9,689)

Abstract:

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
Federal Reserve Board, Columbia University - Graduate School of Architecture, Planning and Preservation and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 30 (400,749)
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Abstract:

Nominal Exchange Rate Stationarity and Long-Term Bond Returns

Number of pages: 88 Posted: 16 Oct 2013 Last Revised: 17 Jan 2016
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 1,307 (10,599)
Citation 1

Abstract:

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: 73 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 13 (483,763)
Citation 1

Abstract:

7.
Downloads 1,303 ( 10,870)
Citation 28

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, New York University Stern School of Business, Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,275 (11,000)
Citation 28

Abstract:

The Wealth-Consumption Ratio

NBER Working Paper No. w13896
Number of pages: 52 Posted: 21 Mar 2008
Hanno N. Lustig, Stijn Van Nieuwerburgh and Adrien Verdelhan
Stanford Graduate School of Business, New York University Stern School of Business, Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 22 (432,347)
Citation 28

Abstract:

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, New York University Stern School of Business, Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 6 (522,129)
Citation 28
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Abstract:

discount rate, equity risk premium, excess return, interest rate, risk premium, stock market, stock returns

8.

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 1,169 (7,584)
Citation 6

Abstract:

exchange rates, forward premium puzzle, risk premium

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

Number of pages: 64 Posted: 13 May 2015 Last Revised: 21 Mar 2016
Hanno N. Lustig and Adrien Verdelhan
Stanford Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 595 (33,943)

Abstract:

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 9 (506,254)
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Abstract:

10.

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 572 (36,304)

Abstract:

Equity, Exchange rates, Risk

11.

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 475 (44,584)
Citation 4

Abstract:

Risk Premia, Sharpe Ratio

12.

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 453 (44,226)
Citation 10

Abstract:

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 388 (57,000)
Citation 66

Abstract:

Exchange rate, time-varying risk premium, habits

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 274 (87,403)
Citation 99

Abstract:

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 60 (293,037)
Citation 99

Abstract:

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 47 (329,567)
Citation 95

Abstract:

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
Hanno N. Lustig and Adrien Verdelhan
Stanford Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 30 (391,414)
Citation 96

Abstract:

16.

Uncertainty and International Capital Flows

Number of pages: 60 Posted: 05 Jul 2015 Last Revised: 09 Oct 2015
François 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 49 (116,207)

Abstract:

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

17.

Common Factors, Order Flows, and Exchange Rate Dynamics

Number of pages: 24 Posted: 29 Jul 2015
Banque de France, BI Norwegian Business School, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 35 (110,959)

Abstract:

Exchange rates, risk premium, order flow

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 29 (366,297)
Citation 16

Abstract:

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 20 (403,989)
Citation 93

Abstract:

20.

International Risk Cycles

NBER Working Paper No. w17277
Number of pages: 50 Posted: 08 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 12 (459,643)
Citation 10

Abstract: