Nikolai L. Roussanov

University of Pennsylvania - The Wharton School

3641 Locust Walk

Philadelphia, PA 19104-6365

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

17

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Top 2,920

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16,147

SSRN CITATIONS
Rank 1,530

SSRN RANKINGS

Top 1,530

in Total Papers Citations

598

CROSSREF CITATIONS

219

Scholarly Papers (17)

1.
Downloads 8,061 ( 934)
Citation 171

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
Stanford Graduate School of Business, University of Pennsylvania - The Wharton School and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 7,944 (948)
Citation 183

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Carry Trade, Currency Risk

Common Risk Factors in Currency Markets

Number of pages: 63 Posted: 14 Jul 2008 Last Revised: 25 Jun 2010
Stanford Graduate School of Business, University of Pennsylvania - The Wharton School and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 117 (301,510)

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2.
Downloads 1,947 ( 10,499)
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
Stanford Graduate School of Business, University of Pennsylvania - The Wharton School and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,899 (10,719)
Citation 30

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Exchange Rates, Forecasting, Risk Premia

Countercyclical Currency Risk Premia

Number of pages: 78 Posted: 04 Oct 2010 Last Revised: 21 Nov 2021
Stanford Graduate School of Business, University of Pennsylvania - The Wharton School and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 48 (503,239)
Citation 32

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Houses as ATMs? Mortgage Refinancing and Macroeconomic Uncertainty

Journal of Finance, Forthcoming, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 79 Posted: 22 Jun 2012 Last Revised: 11 Aug 2020
Hui Chen, Michael Michaux and Nikolai L. Roussanov
Massachusetts Institute of Technology, University of Southern California - Marshall School of Business and University of Pennsylvania - The Wharton School
Downloads 965 (30,030)
Citation 21

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mortgage refinancing, home equity, housing collateral, liquidity constraints, household consumption and saving decisions, leverage

Houses as Atms? Mortgage Refinancing and Macroeconomic Uncertainty

Number of pages: 76 Posted: 20 Sep 2013 Last Revised: 26 Jul 2021
Hui Chen, Michael Michaux and Nikolai L. Roussanov
Massachusetts Institute of Technology, University of Southern California - Marshall School of Business and University of Pennsylvania - The Wharton School
Downloads 21 (664,025)
Citation 5

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Commodity Trade and the Carry Trade: A Tale of Two Countries

Journal of Finance, Forthcoming, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 76 Posted: 28 Jul 2012 Last Revised: 11 Aug 2020
Robert C. Ready, Nikolai L. Roussanov and Colin Ward
University of Oregon - Department of Finance, University of Pennsylvania - The Wharton School and University of Minnesota - Carlson School of Management
Downloads 915 (32,396)
Citation 2

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currency risk premia, international trade, commodity markets, return predictability, Baltic Dry Index

Commodity Trade and the Carry Trade: A Tale of Two Countries

Number of pages: 59 Posted: 30 Aug 2013 Last Revised: 07 Sep 2013
Robert C. Ready, Nikolai L. Roussanov and Colin Ward
University of Oregon - Department of Finance, University of Pennsylvania - The Wharton School and University of Minnesota - Carlson School of Management
Downloads 42 (531,810)
Citation 17

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5.

Diversification and its Discontents: Idiosyncratic and Entrepreneurial Risk in the Quest for Social Status

Journal of Finance, Forthcoming
Number of pages: 45 Posted: 07 Jun 2008 Last Revised: 13 Dec 2011
Nikolai L. Roussanov
University of Pennsylvania - The Wharton School
Downloads 892 (34,004)
Citation 15

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portfolio choice, diversification, social status, wealth distribution

6.
Downloads 832 ( 37,439)
Citation 8

Marketing Mutual Funds

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 81 Posted: 03 Jan 2018 Last Revised: 11 Sep 2020
Nikolai L. Roussanov, Hongxun Ruan and Yanhao 'Max' Wei
University of Pennsylvania - The Wharton School, Guanghua School of Management, Peking University and University of Southern California - Marshall School of Business
Downloads 811 (38,280)
Citation 3

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mutual funds, distribution costs, broker commissions, performance evaluation, capital misallocation, investor welfare, financial regulation, structural estimation, search costs, information frictions, household finance

Marketing Mutual Funds

Number of pages: 70 Posted: 17 Sep 2018 Last Revised: 19 Jun 2021
Nikolai L. Roussanov, Hongxun Ruan and Yanhao 'Max' Wei
University of Pennsylvania - The Wharton School, Guanghua School of Management, Peking University and University of Southern California - Marshall School of Business
Downloads 21 (664,025)
Citation 5

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7.

Getting to the Core: Inflation Risks Within and Across Asset Classes

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 74 Posted: 17 Feb 2021 Last Revised: 10 Mar 2021
Xiang Fang, Yang Liu and Nikolai L. Roussanov
The University of Hong Kong, The University of Hong Kong - Faculty of Business and Economics and University of Pennsylvania - The Wharton School
Downloads 500 (72,702)

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Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns

Journal of Financial Economics, Forthcoming
Number of pages: 93 Posted: 05 Mar 2005 Last Revised: 29 Aug 2013
Nikolai L. Roussanov
University of Pennsylvania - The Wharton School
Downloads 444 (83,097)
Citation 1

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consumption-based asset pricing, conditioning information, human capital, stock return predictability, nonparametric regression, value premium, linear factor models, relative wealth concerns.

Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns

Number of pages: 88 Posted: 14 Jun 2010 Last Revised: 03 Dec 2021
Nikolai L. Roussanov
University of Pennsylvania - The Wharton School
Downloads 22 (656,299)
Citation 5

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Fracking, Drilling, and Asset Pricing: Estimating the Economic Benefits of the Shale Revolution

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 69 Posted: 02 Dec 2016
Erik Gilje, Robert C. Ready and Nikolai L. Roussanov
University of Pennsylvania - The Wharton School, University of Oregon - Department of Finance and University of Pennsylvania - The Wharton School
Downloads 303 (128,131)

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long-run growth, oil prices, shale oil, fracking, horizontal drilling, mimicking portfolios

Fracking, Drilling, and Asset Pricing: Estimating the Economic Benefits of the Shale Revolution

Number of pages: 53 Posted: 12 Dec 2016 Last Revised: 12 Aug 2021
Erik Gilje, Robert Ready and Nikolai L. Roussanov
University of Pennsylvania - The Wharton School, University of Rochester and University of Pennsylvania - The Wharton School
Downloads 47 (507,909)
Citation 2

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10.

Mutual Fund Flows and Performance in (Imperfectly) Rational Markets?

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 49 Posted: 09 Dec 2020
Nikolai L. Roussanov, Hongxun Ruan and Yanhao 'Max' Wei
University of Pennsylvania - The Wharton School, Guanghua School of Management, Peking University and University of Southern California - Marshall School of Business
Downloads 239 (163,915)
Citation 3

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mutual fund performance, flow-performance relationship, Bayesian learning, representativeness

11.

Mutual Fund Risk Shifting and Risk Anomalies

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 65 Posted: 28 Sep 2021 Last Revised: 05 Nov 2021
Xiao Han, Nikolai L. Roussanov and Hongxun Ruan
City, University of London - Bayes Business School, University of Pennsylvania - The Wharton School and Guanghua School of Management, Peking University
Downloads 176 (217,088)

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Beta Anomaly, Morningstar Ratings, Mutual Funds, Risk Shifting, Idiosyncratic Volatility, Skewness, Demand System

12.

After the Tide: Commodity Currencies and Global Trade

Carnegie-Rochester Conference Series on Public Policy, Forthcoming
Number of pages: 49 Posted: 06 Mar 2017
Robert Ready, Nikolai L. Roussanov and Colin Ward
University of Rochester, University of Pennsylvania - The Wharton School and University of Minnesota - Carlson School of Management
Downloads 157 (239,220)
Citation 5

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shipping, trade costs, carry trade, currency risk premia, exchange rates, international risk sharing, commodity trade

13.

Conspicuous Consumption and Race

Number of pages: 65 Posted: 14 Sep 2007 Last Revised: 06 Aug 2021
Kerwin Kofi Charles, Erik Hurst and Nikolai L. Roussanov
University of Michigan - Department of Economics & Ford School, University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 152 (245,653)
Citation 15

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Short-Run Pain, Long-Run Gain? Recessions and Technological Transformation

Number of pages: 40 Posted: 27 Nov 2017
The University of Hong Kong - Faculty of Business and Economics, University of Pennsylvania - The Wharton School and Cornell University - Department of Economics
Downloads 138 (266,341)
Citation 4

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job polarization, routine-biased technical change, business cycle, human capital investment, upskilling, Great Recession

Short-Run Pain, Long-Run Gain? Recessions and Technological Transformation

Number of pages: 40 Posted: 06 Mar 2018
The University of Hong Kong - Faculty of Business and Economics, University of Pennsylvania - The Wharton School and Cornell University - Department of Economics
Downloads 12 (737,452)

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Cheap Thrills: the Price of Leisure and the Global Decline in Work Hours

Number of pages: 67 Posted: 24 Sep 2020 Last Revised: 07 May 2021
The University of Hong Kong - Faculty of Business and Economics, University of Pennsylvania - The Wharton School and Cornell University - Department of Economics
Downloads 146 (254,489)

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Cheap Thrills: The Price of Leisure and the Global Decline in Work Hours

Number of pages: 69 Posted: 31 Aug 2020 Last Revised: 18 Nov 2021
The University of Hong Kong - Faculty of Business and Economics, University of Pennsylvania - The Wharton School and Cornell University - Department of Economics
Downloads 2 (825,463)
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16.

Why Does Oil Matter? Commuting and Aggregate Fluctuations

Number of pages: 37 Posted: 12 Nov 2019 Last Revised: 18 Nov 2019
Robert C. Ready, Nikolai L. Roussanov and Ewelina Zurowska
University of Oregon - Department of Finance, University of Pennsylvania - The Wharton School and affiliation not provided to SSRN
Downloads 71 (410,231)

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Oil, Commuting, Labor Supply

Status, Marriage, and Managers&Apos; Attitudes to Risk

Number of pages: 54 Posted: 10 Mar 2012 Last Revised: 04 Dec 2021
Nikolai L. Roussanov, Pavel G. Savor and Pavel G. Savor
University of Pennsylvania - The Wharton School and Temple University - Fox School of BusinessDePaul University - Kellstadt Graduate School of Business
Downloads 63 (442,649)

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Marriage and Managers’ Attitudes to Risk

AFA 2013 San Diego Meetings Paper
Posted: 21 Mar 2011 Last Revised: 15 Dec 2020
Nikolai L. Roussanov, Pavel G. Savor and Pavel G. Savor
University of Pennsylvania - The Wharton School and Temple University - Fox School of BusinessDePaul University - Kellstadt Graduate School of Business

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CEOs, idiosyncratic risk, status concerns