Alexandre Jeanneret

UNSW Business School

Sydney, NSW 2052

Australia

SCHOLARLY PAPERS

16

DOWNLOADS
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Top 11,839

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5,884

SSRN CITATIONS
Rank 27,313

SSRN RANKINGS

Top 27,313

in Total Papers Citations

21

CROSSREF CITATIONS

12

Scholarly Papers (16)

1.

The Dynamics of Sovereign Credit Risk

Journal of Financial and Quantitative Analysis (JFQA), Vol. 50, 2015
Number of pages: 64 Posted: 13 Dec 2007 Last Revised: 19 Nov 2018
Alexandre Jeanneret
UNSW Business School
Downloads 1,401 (19,675)
Citation 8

Abstract:

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Sovereign Debt, Credit Risk, Asset Pricing, International Financial Markets

2.

International Firm Investment under Exchange Rate Uncertainty

Review of Finance, 20, 2016
Number of pages: 44 Posted: 03 Mar 2008 Last Revised: 19 Nov 2018
Alexandre Jeanneret
UNSW Business School
Downloads 849 (40,509)
Citation 1

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Real Options, Uncertainty, International Investment, Foreign Exchange

3.

What Drives the Expected Return on a Stock: Short-Run or Long-Run Risk?

Number of pages: 44 Posted: 12 Feb 2018 Last Revised: 04 Mar 2020
Christian Dorion, Adelphe Ekponon and Alexandre Jeanneret
HEC Montreal, University of Liverpool Management School and UNSW Business School
Downloads 540 (73,056)
Citation 1

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Equity risk premium, long-run risk, short-run risk, capital structure, asset pricing

4.

Sovereign Risk Premia and Global Macroeconomic Conditions

University of Miami Business School Research Paper No. 3162853
Number of pages: 67 Posted: 02 May 2018 Last Revised: 01 Nov 2021
Sandro C. Andrade, Adelphe Ekponon and Alexandre Jeanneret
University of Miami - Department of Finance, University of Liverpool Management School and UNSW Business School
Downloads 484 (83,516)
Citation 1

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Sovereign bonds, risk premium, consumption-based asset pricing, credit risk, macroeconomic conditions

5.

Sovereign Default Risk and the US Equity Market

Journal of Financial and Quantitative Analysis (JFQA), 2017, 52, 305-339.
Number of pages: 94 Posted: 05 Dec 2010 Last Revised: 19 Nov 2018
Alexandre Jeanneret
UNSW Business School
Downloads 467 (87,200)
Citation 4

Abstract:

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Sovereign Debt, Volatility, Credit Risk, Asset Pricing, International Financial Markets

6.

A Credit-Based Theory of the Currency Risk Premium

Number of pages: 117 Posted: 03 Jul 2019 Last Revised: 16 Aug 2021
Pasquale Della Corte, Alexandre Jeanneret and Ella Patelli
Imperial College Business School, UNSW Business School and HEC Montréal
Downloads 432 (95,501)
Citation 3

Abstract:

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exchange rate, predictability, risk premium, credit risk, sovereign default

7.

Convertible Debt and Shareholder Incentives

Journal of Corporate Finance, (24) 2014
Number of pages: 43 Posted: 10 Oct 2012 Last Revised: 19 Nov 2018
Christian Dorion, Pascal Francois, Gunnar Grass and Alexandre Jeanneret
HEC Montreal, HEC Montreal - Department of Finance, HEC Montréal and UNSW Business School
Downloads 356 (119,022)

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Convertible bonds, Risk-shifting, Asset substitution, Agency conflict, Financial distress, Asset volatility, Contingent claims

High Inflation: Low Default Risk and Low Equity Valuations

Chicago Booth Research Paper No. 18-12
Number of pages: 130 Posted: 11 Dec 2018 Last Revised: 08 Sep 2021
Imperial College Business School, HEC Montreal, UNSW Business School and University of Chicago - Finance
Downloads 215 (197,926)

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high inflation, default risk, equity, leverage, credit spreads

Low Inflation: High Default Risk and High Equity Valuations

NBER Working Paper No. w25317
Number of pages: 78 Posted: 03 Dec 2018 Last Revised: 06 Mar 2022
Imperial College Business School, HEC Montreal, UNSW Business School and University of Chicago - Finance
Downloads 26 (676,648)

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9.

How Does Corporate Governance Impact Equity Volatility? Worldwide Evidence and Theory

Number of pages: 70 Posted: 30 Jul 2018 Last Revised: 12 Oct 2021
Louis Gagnon and Alexandre Jeanneret
Queen's University - Smith School of Business and UNSW Business School
Downloads 226 (189,014)

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Equity volatility, agency conflicts, corporate governance, governance reforms, asset pricing.

10.

Asset Pricing with Persistence Risk

Review of Financial Studies, Forthcoming
Number of pages: 61 Posted: 07 Sep 2017 Last Revised: 21 Nov 2018
Daniel Andrei, Michael Hasler and Alexandre Jeanneret
McGill University, University of Texas at Dallas, Naveen Jindal School of Management, Department of Finance and UNSW Business School
Downloads 166 (248,818)
Citation 8

Abstract:

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persistence risk, learning, long-run risk

11.

Sovereign Defaults by Currency Denomination

Journal of International Money and Finance, (60) 2016
Number of pages: 46 Posted: 29 Jun 2014 Last Revised: 19 Nov 2018
Alexandre Jeanneret and Slim Souissi
UNSW Business School and Université de Caen Normandie
Downloads 165 (250,095)
Citation 8

Abstract:

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Sovereign Default, Local Currency Debt, Foreign Currency Debt, International Bonds

12.

A Macro-Finance Model for Option Prices: A Story of Rare Economic Events

Management Science, Forthcoming
Number of pages: 83 Posted: 02 Jun 2020 Last Revised: 21 Mar 2022
Michael Hasler and Alexandre Jeanneret
University of Texas at Dallas, Naveen Jindal School of Management, Department of Finance and UNSW Business School
Downloads 155 (263,486)

Abstract:

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Macro Finance, Business Cycle, Implied Volatility, Rare Disasters, Recoveries, Booms

13.

Understanding the Comovement between Corporate Bonds and Stocks: The Role of Default Risk

WBS Finance Group Research Paper Forthcoming
Number of pages: 85 Posted: 06 Jul 2022
Warwick Business School, HEC Montreal, UNSW Business School and Warwick Business School Finance Group
Downloads 147 (274,930)

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Corporate bonds, stock-bond comovement, default risk, structural model, asset pricing

14.

Default Linkages in a Structural Credit Model

Number of pages: 54 Posted: 05 May 2021 Last Revised: 18 Jan 2022
Jan Ericsson, Alexandre Jeanneret and Lucie Y. Lu
McGill University, UNSW Business School and McGill University, Desautels Faculty of Management, Students
Downloads 112 (336,597)

Abstract:

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Credit Risk, Structural Models, Asset Prices, Leverage, Volatility, Spillovers

15.

When Do Commodity Prices Matter for the Carry Trade? The Role of FX Liquidity

Number of pages: 43 Posted: 24 May 2019
Alexandre Jeanneret
UNSW Business School
Downloads 74 (434,722)

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Carry Trade, Commodity Prices, FX Liquidity, Exchange Rates

16.

Low Inflation: High Default Risk AND High Equity Valuations

CESifo Working Paper No. 7391
Number of pages: 79 Posted: 21 Feb 2019
Imperial College Business School, HEC Montreal, UNSW Business School and University of Chicago - Finance
Downloads 69 (451,320)

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low inflation, default risk, equity, leverage, credit spreads