Adrien Verdelhan

Massachusetts Institute of Technology (MIT) - Sloan School of Management

100 Main Street

E62-416

Cambridge, MA 02142

United States

National Bureau of Economic Research (NBER)

Research Fellow

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

20

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Top 1,031

in Total Papers Downloads

30,939

SSRN CITATIONS
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SSRN RANKINGS

Top 768

in Total Papers Citations

1,154

CROSSREF CITATIONS

278

Scholarly Papers (20)

1.
Downloads 7,975 ( 889)
Citation 170

Common Risk Factors in Currency Markets

Review of Financial Studies ( 2011), 24(11), .
Number of pages: 74 Posted: 01 Jun 2008 Last Revised: 27 Aug 2012
Hanno N. Lustig, Nikolai L. Roussanov and Adrien Verdelhan
Stanford Graduate School of Business, University of Pennsylvania - The Wharton School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 7,862 (902)
Citation 181

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Carry Trade, Currency Risk

Common Risk Factors in Currency Markets

NBER Working Paper No. w14082
Number of pages: 63 Posted: 14 Jul 2008 Last Revised: 25 Jun 2010
Hanno N. Lustig, Nikolai L. Roussanov and Adrien Verdelhan
Stanford Graduate School of Business, University of Pennsylvania - The Wharton School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 113 (297,611)

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2.
Downloads 3,738 ( 3,336)
Citation 140

Deviations from Covered Interest Rate Parity

Number of pages: 84 Posted: 25 Apr 2016 Last Revised: 06 May 2017
Wenxin Du, Alexander Tepper and Adrien Verdelhan
University of Chicago Booth School of Business, Federal Reserve Bank of New York and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 3,618 (3,448)
Citation 27

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exchange rates, currency swaps, dollar funding

Deviations from Covered Interest Rate Parity

NBER Working Paper No. w23170
Number of pages: 84 Posted: 21 Feb 2017 Last Revised: 24 Apr 2021
Wenxin Du, Alexande Tepper and Adrien Verdelhan
University of Chicago Booth School of Business, Columbia University - Graduate School of Architecture, Planning and Preservation and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 120 (285,202)
Citation 124

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3.
Downloads 3,231 ( 4,317)
Citation 24

Sovereign Risk Premia

AFA 2010 Atlanta Meetings Paper
Number of pages: 52 Posted: 17 Feb 2009 Last Revised: 14 Sep 2011
Nicola Borri and Adrien Verdelhan
LUISS University - Department of Economics and Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 3,063 (4,642)
Citation 22

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Sovereign debt, Asset pricing, Default risk

Sovereign Risk Premia

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 73 Posted: 13 Oct 2011
Adrien Verdelhan and Nicola Borri
Massachusetts Institute of Technology (MIT) - Sloan School of Management and LUISS University - Department of Economics and Finance
Downloads 168 (217,499)
Citation 9

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4.

The Share of Systematic Variation in Bilateral Exchange Rates

Journal of Finance, Forthcoming
Number of pages: 54 Posted: 19 Sep 2011 Last Revised: 30 Oct 2015
Adrien Verdelhan
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,382 (7,149)
Citation 49

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exchange rates, forward premium puzzle, risk premium

5.
Downloads 2,369 ( 7,218)
Citation 7

Crash Risk in Currency Markets

NYU Working Paper No. FIN-09-007
Number of pages: 68 Posted: 07 May 2009 Last Revised: 13 Mar 2015
Harvard University - Department of Economics, Computer Science, Harvard University - Department of Economics, University of Southern California and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,306 (7,404)
Citation 4

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Exchange Rates, Disaster Risk, Currency Options

Crash Risk in Currency Markets

NBER Working Paper No. w15062
Number of pages: 94 Posted: 08 Jun 2009 Last Revised: 27 Feb 2021
Harvard University - Department of Economics, Computer Science, Harvard University - Department of Economics, University of Southern California and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 62 (430,075)
Citation 3

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Crash Risk in Currency Markets

CEPR Discussion Paper No. DP7322
Number of pages: 83 Posted: 15 Jul 2009
Harvard University - Department of Economics, Computer Science, Harvard University - Department of Economics, University of Southern California and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1 (813,093)
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carry trade, currency crisis, currency options, disaster risk, exchange rate, financial crisis

6.
Downloads 2,271 ( 7,764)
Citation 14

The Term Structure of Currency Carry Trade Risk Premia

Number of pages: 113 Posted: 16 Oct 2013 Last Revised: 03 Nov 2018
Hanno N. Lustig, Andreas Stathopoulos and Adrien Verdelhan
Stanford Graduate School of Business, University of North Carolina (UNC) at Chapel Hill and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,235 (7,820)
Citation 13

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exchange rate stationarity, carry trade, UIP, currency risk premia, bond risk premia

The Term Structure of Currency Carry Trade Risk Premia

NBER Working Paper No. w19623
Number of pages: 46 Posted: 09 Nov 2013 Last Revised: 13 Feb 2021
Hanno N. Lustig, Andreas Stathopoulos and Adrien Verdelhan
Stanford Graduate School of Business, University of North Carolina (UNC) at Chapel Hill and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 36 (543,514)

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7.
Downloads 1,930 ( 10,098)
Citation 77

Countercyclical Currency Risk Premia

Journal of Financial Economics (JFE), Forthcoming, AFA 2011 Denver Meetings Paper, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 58 Posted: 26 Jan 2010 Last Revised: 10 Sep 2020
Hanno N. Lustig, Nikolai L. Roussanov and Adrien Verdelhan
Stanford Graduate School of Business, University of Pennsylvania - The Wharton School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,883 (10,289)
Citation 30

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Exchange Rates, Forecasting, Risk Premia

Countercyclical Currency Risk Premia

NBER Working Paper No. w16427
Number of pages: 78 Posted: 04 Oct 2010 Last Revised: 22 May 2021
Hanno N. Lustig, Nikolai L. Roussanov and Adrien Verdelhan
Stanford Graduate School of Business, University of Pennsylvania - The Wharton School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 47 (489,600)
Citation 31

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8.
Downloads 1,437 ( 16,141)
Citation 19

The Wealth-Consumption Ratio

Review of Asset Pricing Studies, Forthcoming, NYU Working Paper No. FIN-08-045, AFA 2008 New Orleans Meetings Paper , EFA 2007 Ljubljana Meetings Paper
Number of pages: 110 Posted: 09 Mar 2009 Last Revised: 31 Mar 2013
Hanno N. Lustig, Stijn Van Nieuwerburgh and Adrien Verdelhan
Stanford Graduate School of Business, Columbia University Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,402 (16,453)

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The Wealth-Consumption Ratio

NBER Working Paper No. w13896
Number of pages: 52 Posted: 21 Mar 2008 Last Revised: 21 Jun 2021
Hanno N. Lustig, Stijn Van Nieuwerburgh and Adrien Verdelhan
Stanford Graduate School of Business, Columbia University Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 29 (584,434)
Citation 1

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The Wealth-Consumption Ratio

CEPR Discussion Paper No. DP9022
Number of pages: 77 Posted: 28 Sep 2012
Hanno N. Lustig, Stijn Van Nieuwerburgh and Adrien Verdelhan
Stanford Graduate School of Business, Columbia University Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 6 (763,044)
Citation 9
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discount rate, equity risk premium, excess return, interest rate, risk premium, stock market, stock returns

9.

The International CAPM Redux

Saïd Business School WP 2014-11
Number of pages: 74 Posted: 09 Nov 2014 Last Revised: 18 Feb 2017
Francesca Brusa, Tarun Ramadorai and Adrien Verdelhan
Temple University - Fox School of Business, Imperial College London and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,305 (18,673)
Citation 14

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Equity, Exchange rates, Risk

Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?

American Economic Review, Forthcoming
Number of pages: 74 Posted: 13 May 2015 Last Revised: 17 Dec 2018
Hanno N. Lustig and Adrien Verdelhan
Stanford Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 997 (27,396)
Citation 9

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currency risk, exchange rates, market incompleteness

Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?

NBER Working Paper No. w22023
Number of pages: 65 Posted: 01 Mar 2016 Last Revised: 06 Mar 2021
Hanno N. Lustig and Adrien Verdelhan
Stanford Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 25 (611,608)
Citation 9

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11.

International Risk Cycles

Number of pages: 49 Posted: 03 Sep 2010 Last Revised: 07 Nov 2014
Francois Gourio, Michael Siemer and Adrien Verdelhan
Federal Reserve Bank of Chicago, Board of Governors of the Federal Reserve System and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 562 (60,140)
Citation 29

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12.

Business Cycle Variation in the Risk-Return Trade-Off

Journal of Monetary Economics, Forthcoming
Number of pages: 35 Posted: 02 Sep 2010 Last Revised: 13 Nov 2012
Hanno N. Lustig and Adrien Verdelhan
Stanford Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 556 (61,016)
Citation 19

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Risk Premia, Sharpe Ratio

13.

Common Factors, Order Flows, and Exchange Rate Dynamics

Number of pages: 24 Posted: 29 Jul 2015
Massachusetts Institute of Technology (MIT) - Sloan School of Management, BI Norwegian Business School, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 544 (62,822)
Citation 1

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Exchange rates, risk premium, order flow

14.

Uncertainty and International Capital Flows

Number of pages: 60 Posted: 05 Jul 2015 Last Revised: 09 Oct 2015
Francois Gourio, Michael Siemer and Adrien Verdelhan
Federal Reserve Bank of Chicago, Board of Governors of the Federal Reserve System and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 516 (67,228)
Citation 31

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international capital flows, political risk, expropriation, gross flows, volatility, uncertainty

15.

A Habit-Based Explanation of the Exchange Rate Risk Premium

Journal of Finance, Forthcoming
Number of pages: 40 Posted: 03 Mar 2005 Last Revised: 26 Apr 2009
Adrien Verdelhan
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 435 (82,350)
Citation 21

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Exchange rate, time-varying risk premium, habits

The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk

EFA 2005 Moscow Meetings
Number of pages: 51 Posted: 12 Jan 2005
Hanno N. Lustig and Adrien Verdelhan
Stanford Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 318 (116,774)
Citation 89

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Asset Pricing, Exchange Rates

The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk

Banque de France Working Paper No. NER-R 155
Number of pages: 62 Posted: 25 Oct 2010
Hanno N. Lustig and Adrien Verdelhan
Stanford Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 81 (370,493)
Citation 13

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Exchange Rates, Asset Pricing

The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply

Number of pages: 27 Posted: 05 Oct 2010
Hanno N. Lustig and Adrien Verdelhan
Stanford Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 62 (430,075)
Citation 7

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The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply

NBER Working Paper No. w13812
Number of pages: 52 Posted: 15 Feb 2008 Last Revised: 29 Mar 2021
Hanno N. Lustig and Adrien Verdelhan
Stanford Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 46 (494,061)
Citation 1

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18.

Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market

Journal of Financial and Quantitative Analysis (JFQA), Vol. 46, No. 2, 2011
Number of pages: 26 Posted: 18 Mar 2008 Last Revised: 20 Feb 2013
George J. Jiang, Ingrid Lo and Adrien Verdelhan
Washington State University, Bank of Canada and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 101 (319,804)
Citation 20

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Information Shocks, Jumps, Price Discovery

19.

The Cross-Section of Currency Risk Premia and Us Consumption Growth Risk

NBER Working Paper No. w11104
Number of pages: 52 Posted: 08 Aug 2012
Hanno N. Lustig and Adrien Verdelhan
Stanford Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 36 (531,244)

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20.

International Risk Cycles

NBER Working Paper No. w17277
Number of pages: 50 Posted: 08 Aug 2011 Last Revised: 18 Mar 2021
Francois Gourio, Michael Siemer and Adrien Verdelhan
Federal Reserve Bank of Chicago, Board of Governors of the Federal Reserve System and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 22 (614,069)
Citation 8

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