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

20

DOWNLOADS
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Top 2,716

in Total Papers Downloads

18,119

SSRN CITATIONS
Rank 1,509

SSRN RANKINGS

Top 1,509

in Total Papers Citations

595

CROSSREF CITATIONS

222

Scholarly Papers (20)

1.
Downloads 8,270 ( 985)
Citation 171

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
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 8,143 (1,005)
Citation 183

Abstract:

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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 Last Revised: 13 Feb 2022
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 127 (301,641)

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2.
Downloads 1,983 ( 11,122)
Citation 77

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
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 1,935 (11,358)
Citation 30

Abstract:

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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: 22 May 2022
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 48 (531,974)
Citation 32

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3.

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 1,283 (21,763)

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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 997 (30,956)
Citation 21

Abstract:

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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: 13 Feb 2022
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 21 (699,162)
Citation 5

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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 960 (32,632)
Citation 2

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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 Last Revised: 13 Feb 2022
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 47 (536,752)
Citation 17

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6.

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 905 (35,993)
Citation 15

Abstract:

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portfolio choice, diversification, social status, wealth distribution

7.
Downloads 890 ( 36,859)
Citation 8

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 867 (37,698)
Citation 3

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mutual funds, distribution costs, broker commissions, performance evaluation, capital misallocation, investor welfare, financial regulation, structural estimation, search costs, information frictions, household finance

Marketing Mutual Funds

NBER Working Paper No. w25056
Number of pages: 70 Posted: 17 Sep 2018 Last Revised: 13 Feb 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 23 (683,178)
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 445 (89,004)
Citation 1

Abstract:

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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 Last Revised: 13 Feb 2022
Nikolai L. Roussanov
University of Pennsylvania - The Wharton School
Downloads 22 (691,161)
Citation 5

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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 328 (126,126)

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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 Last Revised: 13 Feb 2022
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 50 (522,568)
Citation 2

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10.

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 of London - Bayes Business School, University of Pennsylvania - The Wharton School and Guanghua School of Management, Peking University
Downloads 333 (124,730)

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Beta Anomaly, Morningstar Ratings, Mutual Funds, Risk Shifting, Idiosyncratic Volatility, Skewness, Demand System

11.

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

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 72 Posted: 17 Jul 2020 Last Revised: 07 Feb 2022
Alejandro Lopez-Lira and Nikolai L. Roussanov
University of Florida - Department of Finance, Insurance and Real Estate and University of Pennsylvania - The Wharton School
Downloads 330 (126,019)

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Asset Pricing, Arbitrage Pricing Theory, Factor Models, Machine Learning

12.

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 285 (146,862)
Citation 3

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mutual fund performance, flow-performance relationship, Bayesian learning, representativeness

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

Number of pages: 67 Posted: 24 Sep 2020 Last Revised: 21 Dec 2021
The University of Hong Kong - Faculty of Business and Economics, University of Pennsylvania - The Wharton School and Cornell University - Department of Economics
Downloads 173 (234,812)

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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: 23 Apr 2022
The University of Hong Kong - Faculty of Business and Economics, University of Pennsylvania - The Wharton School and Cornell University - Department of Economics
Downloads 2 (880,890)

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14.

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 166 (242,844)
Citation 5

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

15.

Conspicuous Consumption and Race

NBER Working Paper No. w13392
Number of pages: 65 Posted: 14 Sep 2007 Last Revised: 13 Feb 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 159 (251,799)
Citation 15

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

Number of pages: 40 Posted: 27 Nov 2017
The University of Hong Kong - Faculty of Business and Economics, University of Pennsylvania - The Wharton School and Cornell University - Department of Economics
Downloads 142 (276,766)
Citation 4

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

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: 13 Feb 2022
The University of Hong Kong - Faculty of Business and Economics, University of Pennsylvania - The Wharton School and Cornell University - Department of Economics
Downloads 12 (777,643)

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17.

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 affiliation not provided to SSRN
Downloads 112 (328,696)

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Oil, Commuting, Labor Supply

18.

Semiparametric Conditional Factor Models: Estimation and Inference

Number of pages: 103 Posted: 09 Feb 2022
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 - Department of Economics
Downloads 103 (347,717)

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Characteristics, Managed portfolios, Factor models, PCA, Sieve estimation, Conditional moments, Nonparametric estimation, Strong approximation

Status, Marriage, and Managers' Attitudes to Risk

NBER Working Paper No. w17904
Number of pages: 54 Posted: 10 Mar 2012 Last Revised: 13 Feb 2022
Nikolai L. Roussanov and Pavel G. Savor
University of Pennsylvania - The Wharton School and DePaul University - Kellstadt Graduate School of Businessaffiliation not provided to SSRN
Downloads 74 (429,616)

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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 Businessaffiliation not provided to SSRN

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CEOs, idiosyncratic risk, status concerns

20.

Managing Mental Accounts: Payment Cards and Consumption Expenditures

Number of pages: 53 Posted: 06 Apr 2022
Michael Gelman and Nikolai L. Roussanov
Alfred Lerner College of Business and Economics, The University of Delaware; Wharton School, University of Pennsylvania (visiting) and University of Pennsylvania - The Wharton School
Downloads 27 (634,801)

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Mental Accounting, Budget Categories, Consumption, Credit Cards