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Factors and Risk Premia in Individual International Stock Returns, with Ines Chaieb and Olivier Scaillet, 2021, Journal of Financial Economics, 141:669-692.

A big data approach to estimating time-varying expected returns of individual stocks in international markets.

Online Appendix

Research project funded by Inquire Europe, SFI Practitioner Roundup

How is Liquidity Priced in Global Markets? with Ines Chaieb and Vihang Errunza, 2021, Review of Financial Studies, 34:4216-4268.

The level of illiquidity plays an important role in the pricing of stocks that are not investable for foreign investors in addition to local market risk.

Online Appendix

Measuring Skewness Premia, 2020, Journal of Financial Economics, 135:399-424.

A methodology for measuring both systematic downside risk and idiosyncratic potential for high return across stocks and their relation to average returns. 

PSS DataOnline Appendix

Dynamic Dependence and Diversification in Corporate Credit, with Peter Christoffersen, Kris Jacobs, and Xisong Jin, 2018, Review of Finance, 22:521-560.

Correlations and downside/tail risk between U.S. corporate credit default swaps have increased and have remained higher since the financial crisis compared to stocks.

The Joint Dynamics of Equity Market Factors, with Peter Christoffersen, 2013, Journal of Financial & Quantitative Analysis, 48:1371–1404.

A methodology to measure risk across equity risk factors and obtain better long-short equity portfolio performances.

Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach, with Peter Christoffersen, Vihang Errunza, and Kris Jacobs, 2012, Review of Financial Studies, 25:3711–3751.

Correlations and downside/tail risk have significantly increased over time between both developed and emerging equity markets. New useful measure of diversification benefits.

Books and Book Chapters

Rational Investing: The Subtleties of Asset Management, with Jacques Lussier, Columbia University Press, 2017. (see description here)

Optimal Hedging of American Options in Discrete Time, with Bruno Rémillard, Alexandre Hocquard, and Nicolas Papageorgiou, 2011, in Numerical Methods in Finance, R. Carmona, P. del Moral, P. Hu and N. Oudjane, (Eds), Springer.

Working Papers

What matters in a characteristics?, 2021.

Country components of firm characteristics drive systematic risk exposures in international stock markets, while country- and industry-adjusted components are the most significant determinant of alphas.

Online Appendix

A New Benchmark for Dynamic Mean-Variance Portfolio Allocations, 2020.

A new method to dynamically allocate portfolios; accounts for transaction costs, allocation constraints, and a large number of assets.

Asset Pricing with Return Asymmetries: Theory and Tests, 2014.

Both systematic downside risk and idiosyncratic potential for high return help explain average returns in several asset classes.

2015 Crowell First Prize, PanAgora Asset Management(see Pensions & Investments)

Accounting Information Releases and CDS Spreads, with Redouane Elkamhi, Kris Jacobs, and Chayawat Ornthanalai, 2012.

A study of which information releases are associated with jumps in U.S. firms’ credit default swaps.