Alexandre Jeanneret

UNSW Business School

Sydney, NSW 2052

Australia

SCHOLARLY PAPERS

14

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4,891

SSRN CITATIONS
Rank 33,385

SSRN RANKINGS

Top 33,385

in Total Papers Citations

13

CROSSREF CITATIONS

11

Scholarly Papers (14)

1.

The Dynamics of Sovereign Credit Risk

Journal of Financial and Quantitative Analysis (JFQA), Vol. 50, 2015
Number of pages: 64 Posted: 13 Dec 2007 Last Revised: 19 Nov 2018
Alexandre Jeanneret
UNSW Business School
Downloads 1,372 (16,600)
Citation 8

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Sovereign Debt, Credit Risk, Asset Pricing, International Financial Markets

2.

International Firm Investment under Exchange Rate Uncertainty

Review of Finance, 20, 2016
Number of pages: 44 Posted: 03 Mar 2008 Last Revised: 19 Nov 2018
Alexandre Jeanneret
UNSW Business School
Downloads 832 (34,455)
Citation 1

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Real Options, Uncertainty, International Investment, Foreign Exchange

3.

What Drives the Expected Return on a Stock: Short-Run or Long-Run Risk?

Number of pages: 44 Posted: 12 Feb 2018 Last Revised: 04 Mar 2020
Christian Dorion, Adelphe Ekponon and Alexandre Jeanneret
HEC Montreal, University of Liverpool Management School and UNSW Business School
Downloads 472 (72,699)
Citation 1

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Equity risk premium, long-run risk, short-run risk, capital structure, asset pricing

4.

Sovereign Default Risk and the US Equity Market

Journal of Financial and Quantitative Analysis (JFQA), 2017, 52, 305-339.
Number of pages: 94 Posted: 05 Dec 2010 Last Revised: 19 Nov 2018
Alexandre Jeanneret
UNSW Business School
Downloads 452 (76,048)
Citation 3

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Sovereign Debt, Volatility, Credit Risk, Asset Pricing, International Financial Markets

5.

Sovereign Risk Premia and Global Macroeconomic Conditions

University of Miami Business School Research Paper No. 3162853
Number of pages: 67 Posted: 02 May 2018 Last Revised: 01 Sep 2020
Sandro C. Andrade, Adelphe Ekponon and Alexandre Jeanneret
University of Miami - Department of Finance, University of Liverpool Management School and UNSW Business School
Downloads 414 (84,777)

Abstract:

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Sovereign bonds, risk premium, consumption-based asset pricing, credit risk, macroeconomic conditions

6.

Convertible Debt and Shareholder Incentives

Journal of Corporate Finance, (24) 2014
Number of pages: 43 Posted: 10 Oct 2012 Last Revised: 19 Nov 2018
Christian Dorion, Pascal Francois, Gunnar Grass and Alexandre Jeanneret
HEC Montreal, HEC Montreal - Department of Finance, HEC Montréal and UNSW Business School
Downloads 332 (108,512)

Abstract:

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Convertible bonds, Risk-shifting, Asset substitution, Agency conflict, Financial distress, Asset volatility, Contingent claims

7.

A Credit-Based Theory of the Currency Risk Premium

Number of pages: 87 Posted: 03 Jul 2019 Last Revised: 14 Sep 2020
Pasquale Della Corte, Alexandre Jeanneret and Ella Patelli
Imperial College Business School, UNSW Business School and HEC Montréal
Downloads 253 (144,408)
Citation 2

Abstract:

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exchange rate, predictability, risk premium, credit risk, sovereign default

8.

How does managerial expropriation affect equity volatility? Theory and worldwide evidence

Number of pages: 61 Posted: 30 Jul 2018 Last Revised: 06 Oct 2020
Louis Gagnon and Alexandre Jeanneret
Queen's University - Smith School of Business and UNSW Business School
Downloads 189 (190,160)

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Equity volatility, agency conflicts, corporate governance, reforms, capital structure

9.

Asset Pricing with Persistence Risk

Review of Financial Studies, Forthcoming
Number of pages: 61 Posted: 07 Sep 2017 Last Revised: 21 Nov 2018
Daniel Andrei, Michael Hasler and Alexandre Jeanneret
McGill University, University of Texas at Dallas, Naveen Jindal School of Management, Department of Finance and UNSW Business School
Downloads 163 (217,322)
Citation 8

Abstract:

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persistence risk, learning, long-run risk

10.

Sovereign Defaults by Currency Denomination

Journal of International Money and Finance, (60) 2016
Number of pages: 46 Posted: 29 Jun 2014 Last Revised: 19 Nov 2018
Alexandre Jeanneret and Slim Souissi
UNSW Business School and Université de Caen Normandie
Downloads 150 (231,664)

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Sovereign Default, Local Currency Debt, Foreign Currency Debt, International Bonds

Low Inflation: High Default Risk AND High Equity Valuations

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2018-81
Number of pages: 79 Posted: 29 Nov 2018
Imperial College Business School, HEC Montreal, UNSW Business School and University of Chicago - Finance
Downloads 102 (310,731)

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low inflation, default risk, equity, leverage, credit spreads

Low Inflation: High Default Risk and High Equity Valuations

Chicago Booth Research Paper No. 18-12
Number of pages: 78 Posted: 11 Dec 2018
Imperial College Business School, HEC Montreal, UNSW Business School and University of Chicago - Finance
Downloads 24 (601,703)

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low inflation, default risk, equity, leverage, credit spreads

Low Inflation: High Default Risk and High Equity Valuations

NBER Working Paper No. w25317
Number of pages: 78 Posted: 03 Dec 2018 Last Revised: 06 Mar 2021
Imperial College Business School, HEC Montreal, UNSW Business School and University of Chicago - Finance
Downloads 7 (732,606)

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12.

When Do Commodity Prices Matter for the Carry Trade? The Role of FX Liquidity

Number of pages: 43 Posted: 24 May 2019
Alexandre Jeanneret
UNSW Business School
Downloads 55 (436,830)

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Carry Trade, Commodity Prices, FX Liquidity, Exchange Rates

13.

A Macro-Finance Model for Option Prices: A Story of Rare Economic Events

Number of pages: 64 Posted: 02 Jun 2020 Last Revised: 14 Jan 2021
Michael Hasler and Alexandre Jeanneret
University of Texas at Dallas, Naveen Jindal School of Management, Department of Finance and UNSW Business School
Downloads 49 (459,385)

Abstract:

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Macro Finance, Business Cycle, Implied Volatility, Rare Disasters, Recoveries, Booms

14.

Low Inflation: High Default Risk and High Equity Valuations

CESifo Working Paper No. 7391
Number of pages: 79 Posted: 21 Feb 2019
University of Oxford - Department of Economics, HEC Montreal, UNSW Business School and University of Chicago - Finance
Downloads 25 (577,431)

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low inflation, default risk, equity, leverage, credit spreads