Author Page for Nikolai L. Roussanov

1.

Common Risk Factors in Currency Markets

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Citation 276

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, Adrien Verdelhan and Adrien Verdelhan

Stanford Graduate School of Business, University of Pennsylvania - The Wharton School and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management

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Citation 127

Abstract:

Common Risk Factors in Currency Markets

NBER Working Paper No. w14082

Number of pages: 63 Posted: 14 Jul 2008 Last Revised: 25 Dec 2022

Hanno N. Lustig, Nikolai L. Roussanov, Adrien Verdelhan and Adrien Verdelhan

Stanford Graduate School of Business, University of Pennsylvania - The Wharton School and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management

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2.

Getting to the Core: Inflation Risks Within and Across Asset Classes

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Citation 3

2

Getting to the Core: Inflation Risks Within and Across Asset Classes

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper

Number of pages: 91 Posted: 17 Feb 2021 Last Revised: 03 May 2022

Xiang Fang, Yang Liu and Nikolai L. Roussanov

The University of Hong Kong, The University of Hong Kong - Faculty of Business and Economics and University of Pennsylvania - The Wharton School

Downloads 2,614 (9,015)

Abstract:

Getting to the Core: Inflation Risks within and Across Asset Classes

NBER Working Paper No. w30169

Number of pages: 92 Posted: 20 Jun 2022 Last Revised: 08 Jun 2023

Xiang Fang, Yang Liu and Nikolai L. Roussanov

The University of Hong Kong, The University of Hong Kong - Faculty of Business and Economics and University of Pennsylvania - The Wharton School

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Citation 3

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3.

Countercyclical Currency Risk Premia

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Citation 135

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, Adrien Verdelhan and Adrien Verdelhan

Stanford Graduate School of Business, University of Pennsylvania - The Wharton School and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management

Downloads 2,017 (13,630)

Citation 30

Abstract:

Countercyclical Currency Risk Premia

NBER Working Paper No. w16427

Number of pages: 78 Posted: 04 Oct 2010 Last Revised: 22 May 2022

Hanno N. Lustig, Nikolai L. Roussanov, Adrien Verdelhan and Adrien Verdelhan

Stanford Graduate School of Business, University of Pennsylvania - The Wharton School and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management

Downloads 68 (575,392)

Citation 97

Abstract:

4.

Do Common Factors Really Explain the Cross-Section of Stock Returns?

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper

Number of pages: 71 Posted: 17 Jul 2020 Last Revised: 14 Mar 2023

Alejandro Lopez-Lira and Nikolai L. Roussanov

University of Florida - Department of Finance, Insurance and Real Estate and University of Pennsylvania - The Wharton School

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Citation 3

Abstract:

5.

Marketing Mutual Funds

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Citation 36

2

Marketing Mutual Funds

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper

Number of pages: 81 Posted: 03 Jan 2018 Last Revised: 11 Sep 2020

Nikolai L. Roussanov, Hongxun Ruan and Yanhao 'Max' Wei

University of Pennsylvania - The Wharton School, Guanghua School of Management, Peking University and University of Southern California - Marshall School of Business

Downloads 1,045 (36,753)

Citation 3

Abstract:

Marketing Mutual Funds

NBER Working Paper No. w25056

Number of pages: 70 Posted: 17 Sep 2018 Last Revised: 19 Jun 2022

Nikolai L. Roussanov, Hongxun Ruan and Yanhao 'Max' Wei

University of Pennsylvania - The Wharton School, Guanghua School of Management, Peking University and University of Southern California - Marshall School of Business

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Citation 33

Abstract:

6.

Houses as ATMs? Mortgage Refinancing and Macroeconomic Uncertainty

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Citation 46

2

Houses as ATMs? Mortgage Refinancing and Macroeconomic Uncertainty

Journal of Finance, Forthcoming, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper

Number of pages: 79 Posted: 22 Jun 2012 Last Revised: 11 Aug 2020

Hui Chen, Michael Michaux and Nikolai L. Roussanov

Massachusetts Institute of Technology, University of Southern California - Marshall School of Business and University of Pennsylvania - The Wharton School

Downloads 1,093 (34,463)

Citation 21

Abstract:

Houses as Atms? Mortgage Refinancing and Macroeconomic Uncertainty

NBER Working Paper No. w19421

Number of pages: 76 Posted: 20 Sep 2013 Last Revised: 25 Jan 2023

Hui Chen, Michael Michaux and Nikolai L. Roussanov

Massachusetts Institute of Technology, University of Southern California - Marshall School of Business and University of Pennsylvania - The Wharton School

Downloads 40 (738,518)

Citation 37

Abstract:

7.

Commodity Trade and the Carry Trade: A Tale of Two Countries

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Citation 57

2

Commodity Trade and the Carry Trade: A Tale of Two Countries

Journal of Finance, Forthcoming, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper

Number of pages: 76 Posted: 28 Jul 2012 Last Revised: 11 Aug 2020

Robert C. Ready, Nikolai L. Roussanov and Colin Ward

University of Oregon - Department of Finance, University of Pennsylvania - The Wharton School and University of Minnesota - Carlson School of Management

Downloads 1,062 (35,908)

Citation 5

Abstract:

Commodity Trade and the Carry Trade: A Tale of Two Countries

NBER Working Paper No. w19371

Number of pages: 59 Posted: 30 Aug 2013 Last Revised: 07 Jun 2023

Robert C. Ready, Nikolai L. Roussanov and Colin Ward

University of Oregon - Department of Finance, University of Pennsylvania - The Wharton School and University of Minnesota - Carlson School of Management

Downloads 63 (599,361)

Citation 17

Abstract:

8.

Diversification and its Discontents: Idiosyncratic and Entrepreneurial Risk in the Quest for Social Status

Journal of Finance, Forthcoming

Number of pages: 45 Posted: 07 Jun 2008 Last Revised: 13 Dec 2011

Nikolai L. Roussanov

University of Pennsylvania - The Wharton School

Downloads 929 (44,010)

Citation 25

Abstract:

9.

Mutual Fund Risk Shifting and Risk Anomalies

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper

Number of pages: 78 Posted: 28 Sep 2021 Last Revised: 25 Apr 2022

Xiao Han, Nikolai L. Roussanov and Hongxun Ruan

City University London - Bayes Business School, University of Pennsylvania - The Wharton School and Guanghua School of Management, Peking University

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Abstract:

10.

Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns

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Citation 20

2

Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns

Journal of Financial Economics, Forthcoming

Number of pages: 93 Posted: 05 Mar 2005 Last Revised: 29 Aug 2013

Nikolai L. Roussanov

University of Pennsylvania - The Wharton School

Downloads 464 (106,417)

Citation 12

Abstract:

Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns

NBER Working Paper No. w16073

Number of pages: 88 Posted: 14 Jun 2010 Last Revised: 03 Jun 2023

Nikolai L. Roussanov

University of Pennsylvania - The Wharton School

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Citation 5

Abstract:

11.

Fracking, Drilling, and Asset Pricing: Estimating the Economic Benefits of the Shale Revolution

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Citation 5

2

Fracking, Drilling, and Asset Pricing: Estimating the Economic Benefits of the Shale Revolution

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper

Number of pages: 69 Posted: 02 Dec 2016

Erik Gilje, Robert C. Ready and Nikolai L. Roussanov

University of Pennsylvania - The Wharton School, University of Oregon - Department of Finance and University of Pennsylvania - The Wharton School

Downloads 406 (124,499)

Abstract:

Fracking, Drilling, and Asset Pricing: Estimating the Economic Benefits of the Shale Revolution

NBER Working Paper No. w22914

Number of pages: 53 Posted: 12 Dec 2016 Last Revised: 10 Feb 2023

Erik Gilje, Robert Ready and Nikolai L. Roussanov

University of Pennsylvania - The Wharton School, University of Rochester and University of Pennsylvania - The Wharton School

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Citation 2

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12.

Semiparametric Conditional Factor Models: Estimation and Inference

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2

Semiparametric Conditional Factor Models: Estimation and Inference

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper

Number of pages: 112 Posted: 09 Feb 2022 Last Revised: 29 Sep 2023

Qihui Chen, Nikolai L. Roussanov and Xiaoliang Wang

The Chinese University of Hong Kong, Shenzhen, University of Pennsylvania - The Wharton School and HKUST - Department of Finance

Downloads 474 (103,744)

Abstract:

Semiparametric Conditional Factor Models: Estimation and Inference

NBER Working Paper No. w31817

Number of pages: 113 Posted: 30 Oct 2023

Qihui Chen, Nikolai L. Roussanov and Xiaoliang Wang

The Chinese University of Hong Kong, Shenzhen, University of Pennsylvania - The Wharton School and University of Pennsylvania

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13.

Mutual Fund Flows and Performance in (Imperfectly) Rational Markets?

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper

Number of pages: 62 Posted: 09 Dec 2020 Last Revised: 09 May 2022

Nikolai L. Roussanov, Hongxun Ruan and Yanhao 'Max' Wei

University of Pennsylvania - The Wharton School, Guanghua School of Management, Peking University and University of Southern California - Marshall School of Business

Downloads 443 (113,540)

Citation 2

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14.

Cheap Thrills: the Price of Leisure and the Global Decline in Work Hours

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2

Cheap Thrills: the Price of Leisure and the Global Decline in Work Hours

Number of pages: 75 Posted: 24 Sep 2020 Last Revised: 04 Nov 2022

Alexandr Kopytov, Nikolai L. Roussanov and Mathieu Taschereau-Dumouchel

The University of Hong Kong - Faculty of Business and Economics, University of Pennsylvania - The Wharton School and Cornell University - Department of Economics

Downloads 229 (228,135)

Abstract:

Cheap Thrills: The Price of Leisure and the Global Decline in Work Hours

NBER Working Paper No. w27744

Number of pages: 68 Posted: 31 Aug 2020 Last Revised: 15 May 2023

Alexandr Kopytov, Nikolai L. Roussanov and Mathieu Taschereau-Dumouchel

The University of Hong Kong - Faculty of Business and Economics, University of Pennsylvania - The Wharton School and Cornell University - Department of Economics

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15.

Managing Mental Accounts: Payment Cards and Consumption Expenditures

Downloads 216 (241,734)

2

Managing Mental Accounts: Payment Cards and Consumption Expenditures

Review of Financial Studies, Forthcoming

Number of pages: 64 Posted: 06 Apr 2022 Last Revised: 27 Aug 2023

Michael Gelman and Nikolai L. Roussanov

Alfred Lerner College of Business and Economics, The University of Delaware and University of Pennsylvania - The Wharton School

Downloads 210 (247,620)

Abstract:

Managing Mental Accounts: Payment Cards and Consumption Expenditures

NBER Working Paper No. w31613

Number of pages: 65 Posted: 30 Aug 2023

Michael Gelman and Nikolai L. Roussanov

Alfred Lerner College of Business and Economics, The University of Delaware and University of Pennsylvania - The Wharton School

Downloads 6 (1,052,474)

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16.

After the Tide: Commodity Currencies and Global Trade

Carnegie-Rochester Conference Series on Public Policy, Forthcoming

Number of pages: 49 Posted: 06 Mar 2017

Robert Ready, Nikolai L. Roussanov and Colin Ward

University of Rochester, University of Pennsylvania - The Wharton School and University of Minnesota - Carlson School of Management

Downloads 199 (260,637)

Citation 5

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17.

Short-Run Pain, Long-Run Gain? Recessions and Technological Transformation

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Citation 7

2

Short-Run Pain, Long-Run Gain? Recessions and Technological Transformation

Number of pages: 40 Posted: 27 Nov 2017

Alexandr Kopytov, Nikolai L. Roussanov and Mathieu Taschereau-Dumouchel

The University of Hong Kong - Faculty of Business and Economics, University of Pennsylvania - The Wharton School and Cornell University - Department of Economics

Downloads 173 (294,930)

Citation 4

Abstract:

Short-Run Pain, Long-Run Gain? Recessions and Technological Transformation

NBER Working Paper No. w24373

Number of pages: 40 Posted: 06 Mar 2018 Last Revised: 05 Feb 2023

Alexandr Kopytov, Nikolai L. Roussanov and Mathieu Taschereau-Dumouchel

The University of Hong Kong - Faculty of Business and Economics, University of Pennsylvania - The Wharton School and Cornell University - Department of Economics

Downloads 22 (890,050)

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18.

Why Does Oil Matter? Commuting and Aggregate Fluctuations

Number of pages: 37 Posted: 12 Nov 2019 Last Revised: 18 Nov 2019

Robert C. Ready, Nikolai L. Roussanov and Ewelina Zurowska

University of Oregon - Department of Finance, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School

Downloads 187 (275,560)

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19.

Conspicuous Consumption and Race

NBER Working Paper No. w13392

Number of pages: 65 Posted: 14 Sep 2007 Last Revised: 06 Aug 2022

Kerwin Kofi Charles, Erik Hurst and Nikolai L. Roussanov

University of Michigan - Department of Economics & Ford School, University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School

Downloads 186 (276,824)

Citation 15

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20.

Status, Marriage, and Managers' Attitudes to Risk

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2

Status, Marriage, and Managers' Attitudes to Risk

NBER Working Paper No. w17904

Number of pages: 54 Posted: 10 Mar 2012 Last Revised: 04 Jun 2023

Nikolai L. Roussanov and Pavel G. Savor

University of Pennsylvania - The Wharton School and DePaul University - Kellstadt Graduate School of Business

Downloads 92 (479,554)

Abstract:

Marriage and Managers’ Attitudes to Risk

AFA 2013 San Diego Meetings Paper

Posted: 21 Mar 2011 Last Revised: 15 Dec 2020

Nikolai L. Roussanov and Pavel G. Savor

University of Pennsylvania - The Wharton School and DePaul University - Kellstadt Graduate School of Business

Nikolai L. Roussanov

University of Pennsylvania - The Wharton School

National Bureau of Economic Research (NBER)

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Scholarly Papers (20)

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Getting to the Core: Inflation Risks within and Across Asset Classes

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Semiparametric Conditional Factor Models: Estimation and Inference

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Managing Mental Accounts: Payment Cards and Consumption Expenditures

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