Nikolai Roussanov
Moise Y. Safra 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 @ Wharton.UPenn.edu
Official Webpage
Journal of Financial Economics
Macro Finance Society
Publications:
Marketing Mutual Funds, With Hongxun Ruan and Max Wei, Review of Financial Studies, November 2020 (published version), first draft: December 2017.
Intertemporal Substitution and Risk Aversion, with Lars Hansen, John Heaton, and Junghoon Lee, Handbook of Econometrics, volume 6, 2007.
Working Papers:
Common Risk Factors in the Returns on Stocks, Bonds (and Options), Redux, with Zhongtian Chen, Xiaoliang Wang, and Dongchen Zou, October 2023. New!
Following the Fed: Limits of Arbitrage and the Dollar, with Xiaoliang Wang, July 2023
Do Common Factors Really Explain the Cross-Section of Stock Returns?, with Alejandro Lopez-Lira, January 2022.
Semiparametric Conditional Factor Models: Estimation and Inference, with Qihui Chen and Xiaoliang Wang, November 2021.
Mutual Fund Risk-shifting and and Risk Anomalies, with Xiao Han and Hongxun Ruan, August 2021.
The Day that WTI Died: Asset Prices and Firm Production Decisions, with Erik Gilje, Rob Ready, and Jerome Taillard, November 2020.
Getting to the Core: Inflation Risk Within and Across Asset Classes, with Xiang Fang and Yang Liu, August 2020
Mutual Fund Flows and Performance in
(Imperfectly) Rational Markets?, with Hongxun Ruan and Max Wei, October 2020, first draft: December 2019.
Why does Oil Matter? Commuting and Aggregate Fluctuations, with Robert Ready and Ewelina Zurowska, October 2019.
Fracking, Drilling, and Asset Pricing, with Erik Gilje and Rob Ready, November 2016.
Why do Firms Issue Callable Bonds? with Amora Elsaify, November 2016
Human Capital Investment and Portfolio
Choice over the Life-Cycle, first draft: March 2004.
Research in Progress:
Common Risk Factors in the Returns on Stocks, Bonds (and Options), Redux, withZhongtian Chen, Xiaoliang Wang, and Dongchen Zou, coming soon...
Private Risk-taking and Social Rewards
Teaching:
BEPP 202/FNCE 202 Consumer Financial Decision Making (Fall 2020)
Syllabus ***updated September, 2020**