Author Page for Adrien Verdelhan

1.

Common Risk Factors in Currency Markets

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Citation 83

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 83

Abstract:

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

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Citation 83

Abstract:

2.

Deviations from Covered Interest Rate Parity

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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

Federal Reserve Board, Federal Reserve Bank of New York and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Downloads 2,958 (3,309)

Abstract:

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

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3.

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 2,706 (3,848)

Citation 13

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

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Citation 13

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4.

Crash Risk in Currency Markets

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Citation 37

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, 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

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Citation 37

Abstract:

Crash Risk in Currency Markets

NBER Working Paper No. w15062

Number of pages: 94 Posted: 08 Jun 2009 Last Revised: 29 Aug 2010

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

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

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Citation 37

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, 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

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Citation 37

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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

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Citation 6

Abstract:

6.

Countercyclical Currency Risk Premia

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Citation 24

2

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 1,724 (8,254)

Citation 24

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 24

Abstract:

7.

The Term Structure of Currency Carry Trade Risk Premia

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Citation 1

2

The Term Structure of Currency Carry Trade Risk Premia

Number of pages: 88 Posted: 16 Oct 2013 Last Revised: 24 Jan 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 1,677 (8,647)

Citation 1

Abstract:

The Term Structure of Currency Carry Trade Risk Premia

NBER Working Paper No. w19623

Number of pages: 68 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

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Citation 1

Abstract:

8.

The Wealth-Consumption Ratio

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Citation 29

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 1,320 (12,752)

Citation 29

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

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Citation 29

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 29

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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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Abstract:

10.

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

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2

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

Number of pages: 73 Posted: 13 May 2015 Last Revised: 19 Feb 2018

Hanno N. Lustig and Adrien Verdelhan

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

Downloads 790 (27,489)

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

Hanno N. Lustig and Adrien Verdelhan

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

Downloads 13 (548,109)

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 534 (47,042)

Citation 10

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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 520 (48,682)

Citation 4

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

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Citation 69

Abstract:

14.

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

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Citation 100

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 295 (94,748)

Citation 100

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 69 (313,529)

Citation 100

Abstract:

15.

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

Banque de France, 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

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Abstract:

16.

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

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Abstract:

17.

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

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Citation 97

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 54 (355,959)

Citation 96

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: 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 35 (425,753)

Citation 97

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 84 (276,606)

Citation 15

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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 30 (437,097)

Citation 94

Abstract:

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 17 (504,882)

Citation 10

Adrien Verdelhan

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

National Bureau of Economic Research (NBER)

Research Fellow

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Scholarly Papers (20)

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Deviations from Covered Interest Rate Parity

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Crash Risk in Currency Markets

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The Wealth-Consumption Ratio

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