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 @

Official Webpage

Journal of Financial Economics

Macro Finance Society



Managing Mental Accounts: Payment Cards and Consumption Expenditures with Michael Gelman, January 2022, Review of Financial Studies, forthcoming

Cheap Thrills: the Price of Leisure and the Global Decline in Work Hours, with Mathieu Taschereau-Dumouchel and Alexandr Kopytov, Journal of Political Economy Macroeconomics, 2023 (published version); first draft: August 2020.

Marketing Mutual Funds, With Hongxun Ruan and Max Wei, Review of Financial Studies, November 2020 (published version), first draft: December 2017.

Houses as ATMs? Mortgage Refinancing and Macroeconomic Uncertainty, with Hui Chen and Michael Michaux, Journal of Finance, February 2020; first draft: September 2013; (published version). Knowledge@Wharton, Sirius XM Business Radio, NPR Marketplace

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, 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:

Following the Fed: Limits of Arbitrage and the Dollar, with Nina Karnaukh and Xiaoliang Wang New!

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



BEPP 202/FNCE 202 Consumer Financial Decision Making (Fall 2020)

Syllabus ***updated September, 2020**

FNCE 239/739 Behavioral Finance (Spring 2020)


FNCE 921 Empirical Methods in Finance (Spring 2020)


FNCE 235/725 Fixed Income Securities (Spring 2014)