Nikolai L. Roussanov

University of Pennsylvania - The Wharton School

3641 Locust Walk

Philadelphia, PA 19104-6365

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

11

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CITATIONS
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Top 3,245

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170

Scholarly Papers (11)

1.
Downloads 6,476 ( 730)
Citation 83

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 6,373 (738)
Citation 83

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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
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 103 (224,955)
Citation 83

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2.
Downloads 1,668 ( 7,918)
Citation 24

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 1,643 (7,935)
Citation 24

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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 25 (442,429)
Citation 24

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Houses as ATMs? Mortgage Refinancing and Macroeconomic Uncertainty

Number of pages: 75 Posted: 22 Jun 2012 Last Revised: 16 Sep 2013
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 680 (30,463)

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mortgage refinancing, home equity, housing collateral, liquidity constraints, household consumption and saving decisions, leverage

Houses as Atms? Mortgage Refinancing and Macroeconomic Uncertainty

NBER Working Paper No. w19421
Number of pages: 76 Posted: 20 Sep 2013 Last Revised: 21 Apr 2016
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 14 (506,132)

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4.

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 593 (27,768)
Citation 18

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portfolio choice, diversification, social status, wealth distribution

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

Journal of Finance, Forthcoming
Number of pages: 76 Posted: 28 Jul 2012 Last Revised: 13 Feb 2017
Robert C. Ready, Nikolai L. Roussanov and Colin Ward
University of Rochester - Simon Business School, University of Pennsylvania - The Wharton School and University of Minnesota - Carlson School of Management
Downloads 559 (39,741)
Citation 5

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currency risk premia, international trade, commodity markets, return predictability, Baltic Dry Index

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

NBER Working Paper No. w19371
Number of pages: 59 Posted: 30 Aug 2013
Robert C. Ready, Nikolai L. Roussanov and Colin Ward
University of Rochester - Simon Business School, University of Pennsylvania - The Wharton School and University of Minnesota - Carlson School of Management
Downloads 23 (453,725)
Citation 5

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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 402 (60,291)
Citation 5

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consumption-based asset pricing, conditioning information, human capital, stock return predictability, nonparametric regression, value premium, linear factor models, relative wealth concerns.

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
Nikolai L. Roussanov
University of Pennsylvania - The Wharton School
Downloads 19 (477,125)
Citation 5

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

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 Rochester - Simon Business School and University of Pennsylvania - The Wharton School
Downloads 106 (220,341)

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long-run growth, oil prices, shale oil, fracking, horizontal drilling, mimicking portfolios

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
Erik Gilje, Robert Ready and Nikolai L. Roussanov
University of Pennsylvania - The Wharton School, University of Rochester and University of Pennsylvania - The Wharton School
Downloads 23 (453,588)
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8.

Conspicuous Consumption and Race

NBER Working Paper No. w13392
Number of pages: 65 Posted: 14 Sep 2007 Last Revised: 06 Aug 2010
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 87 (219,190)
Citation 33

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Status, Marriage, and Managers' Attitudes to Risk

NBER Working Paper No. w17904
Number of pages: 54 Posted: 10 Mar 2012
Nikolai L. Roussanov and Pavel G. Savor
University of Pennsylvania - The Wharton School and Temple University - Fox School of Business
Downloads 27 (431,576)
Citation 2

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Marriage and Managers’ Attitudes to Risk

AFA 2013 San Diego Meetings Paper
Posted: 21 Mar 2011 Last Revised: 21 Apr 2014
Nikolai L. Roussanov and Pavel G. Savor
University of Pennsylvania - The Wharton School and Temple University - Fox School of Business

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CEOs, idiosyncratic risk, status concerns

10.

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 0 (291,182)

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shipping, trade costs, carry trade, currency risk premia, exchange rates, international risk sharing, commodity trade

11.

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

Number of pages: 40
University of Pennsylvania - Finance Department, University of Pennsylvania - The Wharton School and Cornell University - Department of Economics
Downloads 0

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job polarization, routine-biased technical change, business cycle, human capital investment, upskilling, Great Recession