Nikolai Roussanov

Nikolai Roussanov
  • Moise Y. Safra Professor
  • Professor of Finance
  • Academic Advisor, MBA major in Quantitative Finance
  • Academic Director, "Wharton on the Markets" series

Contact Information

  • office Address:

    2326 Steinberg-Dietrich Hall
    3620 Locust Walk
    Philadelphia, PA 19104

Research Interests: asset pricing, econometrics., household finance, macroeconomics

Links: Personal Website, CV, Quantitative Finance MBA, Wharton on the Markets

Overview

Education

PhD, University of Chicago, 2008; AB, Harvard University, 2001

Academic Positions Held

Wharton: 2007-present

Other Positions

National Bureau of Economic Research, Faculty Research Fellow 2010-present

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Research

  • Erik Gilje, Robert Ready, Nikolai Roussanov (Working), Fracking, Drilling, and Asset Pricing: Estimating the Economic Benefits of the Shale Revolution.

  • Alejandro Lopez-Lira and Nikolai Roussanov, A machine learning-based canonical set of portfolios for testing factor models.

    Abstract: We use machine learning to efficiently combine a broad set of signals and produce a testing set of portfolios sorted by ex-ante estimates of expected returns. None of the well-known factor models can explain the returns of the testing set, and we observe monotonically increasing realized risk-adjusted excess returns. A long-short value-weighted portfolio produces significant realized risk-adjusted excess returns above 1\%. We also provide an even more troublesome testing set: ex-ante covariance neutral portfolios sorted on ex-ante estimates of expected returns. A long-short covariance-neutral portfolio produces a Sharpe ratio well above one and no statistically significant covariation with any of the well-known factors, posing notable challenges to both reduced-form and consumption-based asset pricing models.

  • Alexandr Kopytov, Nikolai Roussanov, Mathieu Taschereau-Dumouchel (2017), Short-Run Pain, Long-Run Gain? Recessions and Technological Transformation, Journal of Monetary Economics.

  • Nikolai Roussanov, Hongxun Ruan, Yanhao Wei, Marketing Mutual Funds.

    Abstract: Marketing and distribution expenses constitute a large fraction of the cost of active management in the mutual fund industry. We investigate their impact on the allocation of capital to funds and on returns earned by mutual fund investors by estimating a structural model of costly investor search and fund competition with endogenous marketing expenditures. We find that marketing is nearly as important as performance and fees for determining fund size. Restricting the amount that can be spent on marketing by funds substantially improves investor welfare, as more capital is invested with passive index funds and price competition drives down fees on actively managed funds. Average alpha increases as active fund size is reduced, and the relationship between fund size and fund manager skill net of fees is closer to that implied by a frictionless model.

  • Robert Ready, Nikolai Roussanov, Colin Ward (2016), After the Tide: Commodity Currencies and Global Trade, Journal of Monetary Economics.

    Abstract: The decade prior to the Great Recession saw a boom in global trade and rising transportation costs. High-yielding commodity exporters׳ currencies appreciated, boosting carry trade profits. The Global Recession sharply reversed these trends. We interpret these facts with a two-country general equilibrium model that features specialization in production and endogenous fluctuations in trade costs. Slow adjustment in the shipping sector generates boom–bust cycles in freight rates and, as a consequence, in currency risk premia. We validate these predictions using global shipping data. Our calibrated model explains about 57% of the narrowing of interest rate differentials post-crisis.

    Description: Carnegie-Rochester-NYU Series on Public Policy

  • Colin Ward, Nikolai Roussanov, Robert Ready (2016), Commodity Trade and the Carry Trade: a Tale of Two Countries, Journal of Finance.

    Abstract: Persistent differences in interest rates across countries account for much of the profitability of currency carry trade strategies. The high-interest rate "investment" currencies tend to be "commodity currencies," while low-interest rate "funding" currencies tend to belong to countries that export finished goods and import most of their commodities. We develop a general equilibrium model of commodity trade and currency pricing that generates this pattern via frictions in the shipping sector. The model predicts that commodity-producing countries are insulated from global productivity shocks by the limited shipping capacity, which forces the final goods producers to absorb the shocks. As a result, a commodity currency is risky as it tends to depreciate in bad times, yet has higher interest rates on average due to lower precautionary demand, compared to the final good producer. The model's predictions are strongly supported in the data. The commodity-currency carry trade explains a substantial portion of the carry-trade risk premia, and all of their pro-cyclical predictability with commodity prices and shipping costs, as predicted by the model.

  • Nikolai Roussanov (2013), Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns, Journal of Financial Economics.

  • Hanno Lustig, Nikolai Roussanov, Adrien Verdelhan (2013), Countercyclical Currency Risk Premia, Journal of Financial Economics, forthcoming.

  • Nikolai Roussanov, Hui Chen, Michael Michaux (Working), Houses as ATMs? Mortgage Refinancing and Macroeconomic Uncertainty.

  • Nikolai Roussanov and Pavel G. Savor (Working), Status, Marriage, and Managers’ Attitudes To Risk.

    Abstract: Relative wealth concerns can affect risk-taking behavior, as the payoff to a marginal dollar of wealth depends on the wealth of others. In particular, status concerns that arise endogenously due to competition in the marriage market can lead to greater risk- taking if the more desirable mates prefer wealthier suitors. We evaluate empirically the importance of this effect in a high-stakes setting by studying risk-taking of corporate CEOs. We find that single CEOs, who are more likely to exhibit status concerns, are associated with firms that exhibit higher stock return volatility and pursue more aggressive investment policies. This effect is weaker for older CEOs. Similarly to corporate CEOs, single mutual fund managers exhibit greater idiosyncratic risk in their portfolio returns. Similarly to the CEOs, mutual fund managers who are single exhibit greater idiosyncratic risk exposure than their married peers.

Teaching

Past Courses

  • BEPP202 - CON FIN DECISION MAKING

    Research shows that many individuals are profoundly underinformed about important financial facts and financial products, which frequently lead them to make mistakes and lose money. Moreover, consumer finance comprises an enormous sector of the economy, including products like credit cards, student loans, mortgages, retail banking, insurance, and a wide variety of retirement savings vehicles and investment alternatives. Additionally, recent breakthroughs in the FinTech arena are integrating innovative approaches to help consumers. Though virtually all people use these products, many find financial decisions to be confusing and complex, rendering them susceptible to fraud and deception. As a result, government regulation plays a major role in these markets. This course intended for Penn undergraduates considers economic models of household decisions and examines evidence on how consumers are managing (and mismanaging) their finances. Although academic research has historically placed more attention on corporate finance, household finance is receiving a brighter spotlight now-- partly due to its role in the recent financial crisis. Thus the course is geared toward those seeking to take charge of their own financial futures, anyone interested in policy debates over consumer financial decision making, and future FinTech entrepreneurs.

  • FNCE202 - CON FIN DECISION MAKING

    Research shows that many individuals are profoundly underinformed about important financial facts and financial products, which frequently lead them to make mistakes and lose money. Moreover, consumer finance comprises an enormous sector of the economy, including products like credit cards, student loans, mortgages, retail banking, insurance, and a wide variety of retirement savings vehicles and investment alternatives. Additionally, recent breakthroughs in the FinTech arena are integrating innovative approaches to help consumers. Though virtually all people use these products, many find financial decisions to be confusing and complex, rendering them susceptible to fraud and deception. As a result, government regulation plays a major role in these markets. This course intended for Penn undergraduates considers economic models of household decisions and examines evidence on how consumers are managing (and mismanaging) their finances. Although academic research has historically placed more attention on corporate finance, household finance is receiving a brighter spotlight now-- partly due to its role in the recent financial crisis. Thus the course is geared toward those seeking to take charge of their own financial futures, anyone interested in policy debates over consumer financial decision making, and future FinTech entrepreneurs.

  • FNCE235 - FIXED INCOME SECURITIES

    This course covers fixed income securities (including fixed income derivatives)and provides an introduction to the markets in which they are traded, as well as to the tools that are used to value these securities and to assess and manage their risk. Quantitative models play a key role in the valuation and risk management of these securities. As a result, although every effort will be made to introduce the various pricing models and techniques as intuitively as possible and the technical requirements are limited to basic calculus and statistics, the class is by its nature quantitative and will require a steady amount of work. In addition, some computer proficiency will be required for the assignments, although familiarity with a spreadsheet program (such as Microsoft Excel) will suffice. In addition to course prerequisites, FNCE 101 is recommended.

  • FNCE725 - FIXED INCOME SECURITIES

    This course covers fixed income securities (including fixed income derivatives) and provides an introduction to the markets in which they are traded, as well as to the tools that are used to value these securities and to assess and manage their risk. Quantitative models play a key role in the valuation and risk management of these securities. In addition to course prerequisites, FNCE 613 is recommended but not required.

  • FNCE899 - INDEPENDENT STUDY

    Independent Study Projects require extensive independent work and a considerable amount of writing. ISP in Finance are intended to give students the opportunity to study a particular topic in Finance in greater depth than is covered in the curriculum. The application for ISP's should outline a plan of study that requires at least as much work as a typical course in the Finance Department that meets twice a week. Applications for FNCE 899 ISP's will not be accepted after the THIRD WEEK OF THE SEMESTER. ISP's must be supervised by a Standing Faculty member of the Finance Department.

  • FNCE921 - INTRO EMPIR METHODS FIN

    This course is an introduction to empirical methods commonly employed in finance. It provides the background for FNCE 934, Empirical Research in Finance. The course is organized around empirical papers with an emphasis on econometric methods. A heavy reliance will be placed on analysis of financial data.

Awards and Honors

  • AQR Insight Award, 2017
  • Jacobs-Levy Equity Management Award, 2017
  • Terker Family Prize in Investment Reseach, 2010

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In the News

Will the $2.2 Trillion Coronavirus Aid Package Be Enough?

Economic recovery in the U.S. will be slow and require continued relief beyond the current measures, according to experts at Wharton.

Knowledge @ Wharton - 2020/03/31
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Awards and Honors

AQR Insight Award 2017
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