Publications

/Publications
Publications2019-01-16T09:50:08+00:00

Asset Pricing with Persistence Risk
Review of Financial Studies, Forthcoming (D. Andrei, M. Hasler, A. Jeanneret)
Learning about persistence in expected output growth generates time variation in asset pricing moments.

Sovereign Credit Risk under Good/Bad Governance
Journal of Banking and Finance, 93, 230-246, 2018 (A. Jeanneret)
Highlights the negative relationship between government effectiveness and sovereign credit spreads.

Sovereign Default Risk and the U.S. Equity Market
Journal of Financial and Quantitative Analysis, 52, 305-339, 2017 (A. Jeanneret)
Examines how sovereign default risk in Europe affects the volatility of U.S. equity returns.

International Firm Investment under Exchange Rate Uncertainty
Review of Finance, 20, 2015-2048, 2016 (A. Jeanneret)
Theory and evidence on the negative and non-linear relation between exchange rate volatility and cross-border investments.

Sovereign defaults by currency denomination
Journal of International Money and Finance, 60, 197-222, 2016 (A. Jeanneret, S. Souissi)
Identifies the drivers of sovereign defaults by debt’s currency denomination. New dataset covering 100 countries over 1996-2012.

The Dynamics of Sovereign Credit Risk
Journal of Financial and Quantitative Analysis, 50, 963-985, 2015 (A. Jeanneret)
Model of sovereign credit risk with endogenous debt and default policies explaining the time-variation in sovereign credit spreads.

Convertible Debt and Shareholder Incentives
Journal of Corporate Finance 24, 38-56, 2014 (with C. Dorion, P. François, G. Grass, A. Jeanneret)
Evidence that convertible debt financing can reduce the agency problem of risk-shifting but only for financially distressed firms.