Nikolai Roussanov

Moise Y. Safra Associate Professor of Finance

The Wharton School

University of Pennsylvania

2326 Steinberg Hall-Dietrich Hall

3620 Locust Walk

Philadelphia, PA , 19104-6367 USA

e-mail: nroussan @

Official Webpage

Macro Finance Society



Houses as ATMs? Mortgage Refinancing and Macroeconomic Uncertainty, with Hui Chen and Michael Michaux, Journal of Finance, forthcoming; first draft: September 2013.

Short-Run Pain, Long-Run Gain? Recessions and Technological Transformation, with Mathieu Taschereau-Dumouchel and Alexandr Kopytov, November 2017. Journal of Monetary Economics, 2018, (published version). Knowledge@Wharton

After the Tide: Commodity Currencies and Global Trade, with Robert Ready and Colin Ward, Journal of Monetary Economics, 2017, (published version).

Commodity Trade and the Carry Trade: a Tale of Two Countries, with Robert Ready and Colin Ward, Journal of Finance, 2017 (published version). Supplementary Appendix; earlier NBER Working Paper version with additional empirical results on unconditional vs conditional carry trade. Knowledge@Wharton Best Paper Prize, 2014 Utah Winter Finance Conference; 2015 AQR Insight Award

Marriage and Managers' Attitudes to Risk, with Pavel Savor, Management Science, 2014 (published version). Supplementary Appendix. Earlier NBER Working Paper version Status, Marriage, and Managers' Attitudes to Risk. Media: Bloomberg View, CNBC, Fortune, Business Day PM live interview on BNN (Toronto), the Economist, Wall Street Journal, Quartz

Counter-cyclical Currency Risk Premia, with Hanno Lustig and Adrien Verdelhan, Journal of Financial Economics, March 2014, lead article (published version);. Supplementary Appendix, Data.

Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns, Journal of Financial Economics, February 2014 (published version); Supplementary Appendix

Common Risk Factors in Currency Markets, with Hanno Lustig and Adrien Verdelhan, Review of Financial Studies, November 2011 (published version), Supplementary Appendix, Data, earlier NBER Working Paper version. Terker Family Prize in Investment Research

Diversification and its Discontents: Idiosyncratic and Entrepreneurial Risk in the Quest for Social Status, Journal of Finance, October 2010 (published version); Internet Appendix. Media: FT, CBS

Conspicuous Consumption and Race, with Kerwin Charles and Erik Hurst, Quarterly Journal of Economics, May 2009, lead article (published version); Robustness Appendix, Data page, earlier NBER Working Paper version. Media: Slate, the Atlantic

Intertemporal Substitution and Risk Aversion, with Lars Hansen, John Heaton, and Junghoon Lee, Handbook of Econometrics, volume 6, 2007.


Working Papers:

Marketing Mutual Funds, With Hongxun Ruan and Max Wei, December 2017. New!

Fracking, Drilling, and Asset Pricing, with Erik Gilje and Rob Ready, November 2016.

Human Capital Investment and Portfolio Choice over the Life-Cycle, first draft: March 2004.


Research in Progress:

Why does Oil Matter (so much)? Commuting and Aggregate Fluctuations, with Robert Ready and Ewelina Zurowska

Getting to the Core: Currency, Commodities, and Inflation Risk, with Xiang Fang and Yang Liu

Why do Firms Issue Callable Bonds? with Amora Elsaify

Private Risk-taking and Social Rewards



FNCE 239/739 Behavioral Finance (Spring 2019)

Syllabus ***updated January 9, 2019**

FNCE 921 Empirical Methods in Finance (Spring 2019)

Syllabus ***coming soon ***

FNCE 235/725 Fixed Income Securities (Spring 2014)