Author Page for Adrien Verdelhan

1.

Common Risk Factors in Currency Markets

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Citation 158

2

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

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Citation 167

Abstract:

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

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2.

Deviations from Covered Interest Rate Parity

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Citation 126

2

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 3,606 (3,369)

Citation 27

Abstract:

Deviations from Covered Interest Rate Parity

NBER Working Paper No. w23170

Number of pages: 84 Posted: 21 Feb 2017 Last Revised: 24 Apr 2021

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 116 (286,504)

Citation 101

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3.

Sovereign Risk Premia

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Citation 24

2

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 3,055 (4,514)

Citation 22

Abstract:

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 167 (214,183)

Citation 9

Abstract:

4.

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 2,360 (7,071)

Citation 41

Abstract:

5.

Crash Risk in Currency Markets

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Citation 7

3

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

Emmanuel Farhi, Samuel P. Fraiberger, Xavier Gabaix, Romain G. Rancière and Adrien Verdelhan

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 2,298 (7,263)

Citation 4

Abstract:

Crash Risk in Currency Markets

NBER Working Paper No. w15062

Number of pages: 94 Posted: 08 Jun 2009 Last Revised: 27 Feb 2021

Emmanuel Farhi, Samuel P. Fraiberger, Xavier Gabaix, Romain G. Rancière and Adrien Verdelhan

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 61 (425,594)

Citation 3

Abstract:

Crash Risk in Currency Markets

CEPR Discussion Paper No. DP7322

Number of pages: 83 Posted: 15 Jul 2009

Emmanuel Farhi, Samuel P. Fraiberger, Xavier Gabaix, Romain G. Rancière and Adrien Verdelhan

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

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Citation 1

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6.

The Term Structure of Currency Carry Trade Risk Premia

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Citation 11

2

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 North Carolina (UNC) at Chapel Hill and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Downloads 2,204 (7,777)

Citation 12

Abstract:

The Term Structure of Currency Carry Trade Risk Premia

NBER Working Paper No. w19623

Number of pages: 46 Posted: 09 Nov 2013 Last Revised: 13 Feb 2021

Hanno N. Lustig, Andreas Stathopoulos and Adrien Verdelhan

Stanford Graduate School of Business, University of North Carolina (UNC) at Chapel Hill and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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Abstract:

7.

Countercyclical Currency Risk Premia

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Citation 76

2

Countercyclical Currency Risk Premia

Journal of Financial Economics (JFE), Forthcoming, AFA 2011 Denver Meetings Paper, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper

Number of pages: 58 Posted: 26 Jan 2010 Last Revised: 10 Sep 2020

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 1,875 (10,090)

Citation 30

Abstract:

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

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Citation 29

Abstract:

8.

The Wealth-Consumption Ratio

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Citation 19

3

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 1,400 (16,027)

Abstract:

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 29 (573,504)

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, Columbia University Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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Citation 10

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Abstract:

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

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Citation 13

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10.

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

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Citation 13

2

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 993 (26,837)

Citation 9

Abstract:

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 Last Revised: 06 Mar 2021

Hanno N. Lustig and Adrien Verdelhan

Stanford Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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Citation 6

Abstract:

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 562 (58,821)

Citation 34

Abstract:

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 555 (59,769)

Citation 19

Abstract:

13.

Common Factors, Order Flows, and Exchange Rate Dynamics

Number of pages: 24 Posted: 29 Jul 2015

Valère Fourel, Dagfinn Rime, Lucio Sarno, Maik Schmeling and Adrien Verdelhan

Massachusetts Institute of Technology (MIT) - Sloan School of Management, BI Norwegian Business School, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Downloads 532 (62,974)

Citation 1

Abstract:

14.

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 492 (69,401)

Citation 31

Abstract:

15.

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 433 (80,973)

Citation 19

Abstract:

16.

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

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Citation 89

2

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 315 (115,509)

Citation 82

Abstract:

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 79 (368,990)

Citation 13

Abstract:

17.

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

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Citation 7

2

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 60 (429,208)

Citation 7

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 Last Revised: 29 Mar 2021

Hanno N. Lustig and Adrien Verdelhan

Stanford Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Downloads 43 (498,860)

Citation 1

Abstract:

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 100 (315,828)

Citation 20

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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 36 (521,218)

Abstract:

20.

International Risk Cycles

NBER Working Paper No. w17277

Number of pages: 50 Posted: 08 Aug 2011 Last Revised: 18 Mar 2021

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 21 (609,177)

Citation 3

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21.

Foreign Exchange Risk in Public Firms

Number of pages: 101 Posted: 11 May 2021

Zaki Dernaoui and Adrien Verdelhan

affiliation not provided to SSRN and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Downloads 17 (636,574)

Adrien Verdelhan

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

National Bureau of Economic Research (NBER)

Research Fellow

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Crash Risk in Currency Markets

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The Wealth-Consumption Ratio

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