Nikolai Roussanov

Assistant Professor of Finance

Iwanowski Family Research Fellow

The Wharton School

University of Pennsylvania

2326 Steinberg Hall-Dietrich Hall

3620 Locust Walk

Philadelphia, PA , 19104-6367 USA

e-mail: nroussan @ Wharton.UPenn.edu

CV

Publications:

Counter-cyclical Currency Risk Premia, with Hanno Lustig and Adrien Verdelhan, Journal of Financial Economics, forthcoming, February 2013. Supplementary Appendix.

Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns, Journal of Financial Economics, forthcoming, November 2012.

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 (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:

Houses as ATMs? Mortgage Refinancing and Macroeconomic Uncertainty, with Hui Chen and Michael Michaux New!

Status, Marriage, and Managers' Attitudes to Risk, with Pavel Savor. Media: Bloomberg View, CNBC, Fortune, Business Day PM live interview on BNN (Toronto), CNBC, the Economist

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

Research in Progress:

Commodity Trade and the Carry Trade: a Tale of Two Countries, with Robert Ready and Colin Ward - coming soon!

Private Risk-taking and Social Rewards

Teaching:

FNCE 235/725 Fixed Income Securities (Spring 2013)

Syllabus updated December 28, 2012

Nikolai Roussanov

Assistant Professor of Finance

Iwanowski Family Research Fellow

The Wharton School

University of Pennsylvania

2326 Steinberg Hall-Dietrich Hall

CV

Publications:

Counter-cyclical Currency Risk Premia, with Hanno Lustig and Adrien Verdelhan, Journal of Financial Economics, forthcoming, February 2013. Supplementary Appendix.

Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns, Journal of Financial Economics, forthcoming, November 2012.

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 (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:

Houses as ATMs? Mortgage Refinancing and Macroeconomic Uncertainty, with Hui Chen and Michael Michaux New!

Status, Marriage, and Managers' Attitudes to Risk, with Pavel Savor. Media: Bloomberg View, CNBC, Fortune, Business Day PM live interview on BNN (Toronto), CNBC, the Economist

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

Research in Progress:

Commodity Trade and the Carry Trade: a Tale of Two Countries, with Robert Ready and Colin Ward - coming soon!

Private Risk-taking and Social Rewards

Teaching:

FNCE 235/725 Fixed Income Securities (Spring 2013)

Syllabus ***updated December 28, 2012***

Syllabus updated December 28, 2012