Alexandre Jeanneret

UNSW Business School

Sydney, NSW 2052

Australia

  • UNSW Business School

SCHOLARLY PAPERS

17

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Top 10,971

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8,822

TOTAL CITATIONS
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Top 12,623

in Total Papers Citations

70

Scholarly Papers (17)

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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 1,504 (26,079)
Citation 8

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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 892 (55,287)
Citation 1

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Real Options, Uncertainty, International Investment, Foreign Exchange

3.

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 UBC - Sauder School of Business
Downloads 775 (66,840)
Citation 6

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

4.

Looking Under the Hood of Commodity Currency Predictability

UNSW Business School Research Paper Forthcoming
Number of pages: 85 Posted: 14 Sep 2023
Alexandre Jeanneret and Valeri Sokolovski
UNSW Business School and University of Alberta - School of Business
Downloads 770 (67,491)

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Exchange rates, carry trade, predictability, commodities, information

5.

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 Ottawa - Telfer School of Management and UNSW Business School
Downloads 707 (75,372)
Citation 1

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

6.

Sovereign Risk Premia and Global Macroeconomic Conditions

University of Miami Business School Research Paper No. 3162853, Journal of Financial Economics, Vol. 147, No. 1, 2023
Number of pages: 67 Posted: 02 May 2018 Last Revised: 11 Jun 2024
Sandro C. Andrade, Adelphe Ekponon and Alexandre Jeanneret
University of Miami - Department of Finance, University of Ottawa - Telfer School of Management and UNSW Business School
Downloads 693 (77,307)
Citation 3

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

7.

A Credit Risk Explanation of the Correlation between Corporate Bonds and Stocks *

Number of pages: 79 Posted: 06 Jul 2022 Last Revised: 29 Jul 2024
Alexander Dickerson, Mathieu Fournier, Alexandre Jeanneret and Philippe Mueller
UNSW Business School, UNSW Business School, UNSW Business School and Warwick Business School Finance Group
Downloads 641 (85,320)
Citation 1

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JEL Classification Numbers: G12, G13 Stock-bond correlation, default risk, interest rate risk, variance risk, structural credit models

8.

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 540 (106,037)
Citation 7

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

9.

High Inflation: Low Default Risk and Low Equity Valuations

Downloads 479 (122,591)
Citation 1

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
Harjoat Singh Bhamra, Christian Dorion, Alexandre Jeanneret and Michael Weber
Imperial College Business School, HEC Montreal, UNSW Business School and University of Chicago - Finance
Downloads 429 (138,420)

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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
Harjoat Singh Bhamra, Christian Dorion, Alexandre Jeanneret and Michael Weber
Imperial College Business School, HEC Montreal, UNSW Business School and University of Chicago - Finance
Downloads 50 (800,849)
Citation 1

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10.

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 424 (141,760)

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

11.

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 Neuchatel and UNSW Business School
Downloads 332 (186,042)

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

12.

Excess Co-movement in Default Risk

Number of pages: 78 Posted: 05 May 2021 Last Revised: 03 Sep 2024
Jan Ericsson, Alexandre Jeanneret, Lucie Y. Lu and Kristoffer J. Glover
McGill University, UNSW Business School, University of Melbourne, Faculty of Business and Economics and University of Technology Sydney (UTS) - UTS Business School
Downloads 252 (247,781)

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

13.

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 Neuchatel and UNSW Business School
Downloads 231 (269,816)
Citation 8

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persistence risk, learning, long-run risk

14.

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 223 (279,067)
Citation 30

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

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 131 (442,917)

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Carry Trade, Commodity Prices, FX Liquidity, Exchange Rates

16.

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

Forthcoming in The Review of Corporate Finance Studies
Number of pages: 76 Posted: 30 Jul 2018 Last Revised: 31 Jan 2023
Louis Gagnon and Alexandre Jeanneret
Queen's University - Smith School of Business and UNSW Business School
Downloads 117 (483,343)
Citation 3

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

17.

Low Inflation: High Default Risk AND High Equity Valuations

CESifo Working Paper No. 7391
Number of pages: 79 Posted: 21 Feb 2019
Harjoat Singh Bhamra, Christian Dorion, Alexandre Jeanneret and Michael Weber
Imperial College Business School, HEC Montreal, UNSW Business School and University of Chicago - Finance
Downloads 111 (502,554)
Citation 1

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