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PENASSE Julien

University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Department of Finance (DF)

ORCID
0000-0003-3738-4549
Main Referenced Co-authors
Renneboog, Luc (4)
Magnus, Dahlquist (2)
Renneboog, L (2)
Scheinkman, J (2)
Baron, Matthew (1)
Main Referenced Keywords
Currency risk premium, habit formation, net foreign assets, wealth transfers (1); investments, financial crises, returns, fire sales (1); Rare disasters, equity premium, return predictability (1);
Main Referenced Disciplines
Finance (60)
Economic systems & public economics (2)
Macroeconomics & monetary economics (1)
Business & economic sciences: Multidisciplinary, general & others (1)

Publications (total 64)

The most downloaded
344 downloads
Penasse, J., & Renneboog, L. (2021). Speculative Trading and Bubbles: Evidence from the Art Market. Management Science. doi:10.1287/mnsc.2021.4088 https://hdl.handle.net/10993/50081

The most cited

17 citations (Scopus®)

Penasse, J., Renneboog, L., & Scheinkman, J. (August 2021). When a Master Dies: Speculation and Asset Float. Review of Financial Studies, 34 (8), 3840–3879. doi:10.1093/rfs/hhab006 https://hdl.handle.net/10993/47833

PENASSE, J., Heyerdahl Larsen, C., Dahlquist, M., & Pavlova, A. (2023). International Capital Market and Wealth Transfers. (Paper No 22-15). ORBilu-University of Luxembourg. https://orbilu.uni.lu/handle/10993/59700. doi:10.2139/ssrn.4057287

PENASSE, J., & Marfé, R. (2023). Measuring Macroeconomic Tail Risk. ORBilu-University of Luxembourg. https://orbilu.uni.lu/handle/10993/58885. doi:10.2139/ssrn.2773874

Penasse, J., Baron, M., Laeven, L., & Usenko, Y. (2023). Investing in Crises. ORBilu-University of Luxembourg. https://orbilu.uni.lu/handle/10993/50082. doi:10.2866/946664

Penasse, J., & Renneboog, L. (July 2022). Speculative Trading and Bubbles: Evidence from the Art Market. Management Science, 68 (7), 4755-5555. doi:10.1287/mnsc.2021.4088
Peer Reviewed verified by ORBi

Penasse, J. (May 2022). Understanding Alpha Decay. Management Science, 68 (5), 3966-3973. doi:10.1287/mnsc.2022.4353
Peer reviewed

Penasse, J. (February 2022). The missing risk premium in exchange rates. Journal of Financial Economics, 143 (2), 697-715. doi:10.1016/j.jfineco.2021.07.001
Peer reviewed

Penasse, J. (10 December 2021). Investing in Crises [Paper presentation]. BI Business School.

Penasse, J. (19 October 2021). Investing in Crises [Paper presentation]. Universitat Pompeu Fabra.

Penasse, J. (28 September 2021). Investing in Crises [Paper presentation]. CKGSB.

Penasse, J., & Renneboog, L. (2021). Speculative Trading and Bubbles: Evidence from the Art Market. Management Science. doi:10.1287/mnsc.2021.4088
Peer reviewed

Penasse, J., Renneboog, L., & Scheinkman, J. (August 2021). When a Master Dies: Speculation and Asset Float. Review of Financial Studies, 34 (8), 3840–3879. doi:10.1093/rfs/hhab006
Peer reviewed

Penasse, J., & Magnus, D. (2021). The missing risk premium in exchange rates. Journal of Financial Economics. doi:10.1016/j.jfineco.2021.07.001
Peer reviewed

Penasse, J. (18 March 2021). Investing in Crises [Paper presentation]. Kedge Business School.

Penasse, J. (2021). Investing in Crises [Paper presentation]. Barcelona GSE Summer Forum 2021.

Penasse, J. (2021). Investing in Crises [Paper presentation]. EFA 2021.

Penasse, J. (06 October 2020). Understanding Alpha Decay [Paper presentation]. Third Asset Pricing conference by LTI at the Collegio Carlo Alberto.

Penasse, J., Renneboog, L., & Scheinkman, J. (28 August 2020). When a Master Dies: Speculation and Asset Float [Paper presentation]. Northeastern University Finance Conference.

Penasse, J., & Marfè, R. (20 August 2020). Measuring Macroeconomic Tail Risk [Paper presentation]. 47th EFA Annual Meeting.

Penasse, J., Renneboog,, L., & Scheinkman, J. A. (30 January 2020). When a Master Dies: Speculation and Asset Float” [Paper presentation]. Yale RFS Real and Private-Value Assets Conference.

Penasse, J., Renneboog, L., & Scheinkman, J. (January 2020). When a Master Dies: Speculation and Asset Float [Paper presentation]. LBS European Winter Finance Conference.

Penasse, J. (16 December 2019). Understanding Alpha Decay [Paper presentation]. CFE-CMStatistics.

Penasse, J. (05 December 2019). Measuring Macroeconomic Tail Risk [Paper presentation]. Seminar, Netherlands.

Penasse, J. (03 October 2019). Measuring Macroeconomic Tail Risk [Paper presentation]. Seminar, Sweden.

Penasse, J. (02 May 2019). Measuring Macroeconomic Tail Risk [Paper presentation]. Seminar, Denmark.

Penasse, J. (12 March 2019). Understanding Alpha Decay [Paper presentation]. Derniers développements dans l'investissement factoriel.

Penasse, J. (12 March 2019). Understanding Alpha Decay [Paper presentation]. Dauphine-Unigestion Conference on Factor Investing.

Penasse, J. (04 February 2019). Understanding Alpha Decay [Paper presentation]. Cambridge-FMA Consortium on Factor Investing.

Penasse, J. (2018). Discussion of "Optimal Timing and Tilting of Equity Factors" by Hubert Dichtl, Wolfgang Drobetz, Harald Lohre, Carsten Rother, and Patrick Vosskamp [Paper presentation]. Annual Imperial Conference on Advances in the Analysis of Hedge Fund Strategies.

Penasse, J. (2018). Discussion of "Bonds, Stocks, and Sources of Mispricing" by Doron Avramov, Tarun Chordia, Gergana Jostova, and Alexander Philipov [Paper presentation]. Luxembourg Asset Management Summit.

Penasse, J. (24 April 2018). Understanding Anomaly Decay [Paper presentation]. Frontiers of Factor Investing Conference.

Penasse, J. (29 March 2018). Yale Symposium on Art and Gender [Paper presentation]. International Center for Finance.

Penasse, J. (28 March 2018). Understanding Alpha Decay [Paper presentation]. Seminar at University of Toronto.

Penasse, J., Ren´ee, A., Roman, K. A., Marco, N., & Patrick, V. (2018). Is Gender in the Eye of the Beholder? Identifying Cultural Attitudes with Art Auction Prices [Paper presentation]. Yale Symposium on Art and Gender.

Penasse, J., Huichou, H., & Lukas, M. (2018). Global Positioning Risk and FX Trading Strategies [Paper presentation]. Vienna Symposium on Foreign Exchange Markets.

Penasse, J., James, A. J., Marcelo, C. M., & Bradley, S. P. (2018). Jumps in Stock Prices: New Insights from Old Data [Paper presentation]. EFA 2018.

Penasse, J. (2018). Robots Are Coming for These Wall Street Jobs [Paper presentation]. Workshop on Algorithmic Trading: Impact on Market Behavior.

Penasse, J. (2018). Empirical Asset Pricing with Multi-Period Disaster Risk A Simulation-Based Approach.

Penasse, J. (15 December 2017). The Missing Risk Premium in Exchange Rates [Paper presentation]. 7th workshop on "Financial Determinants of Foreign Exchange Rates", Oslo, Norway.

Penasse, J. (December 2017). The Time-Varying Risk of Macroeconomic Disasters [Paper presentation]. 15th Paris December Finance Meeting, Paris,, France.

Penasse, J. (14 November 2017). Understanding Alpha Decay [Paper presentation]. HEC Paris (seminar), Paris,, France.

Penasse, J. (08 November 2017). The Missing Risk Premium in Exchange Rates [Paper presentation]. WINNER Best Paper Award, Vienna,, Austria.

Penasse, J. (20 September 2017). The Time-Varying Risk of Macroeconomic Disasters [Paper presentation]. McGill University (seminar), Montreal,, Canada.

Penasse, J. (15 September 2017). The Time-Varying Risk of Macroeconomic Disasters [Paper presentation]. NFA, Halifax, Canada, Canada.

Penasse, J. (September 2017). The Time-Varying Risk of Macroeconomic Disasters [Paper presentation]. SAFE Asset Pricing Workshop, Frankfurt,, Germany.

Penasse, J. (August 2017). Bubbles and Trading Frenzies: Evidence from the Art Market [Paper presentation]. Helsinki Finance Summit, Helsinki, Finland.

Penasse, J. (17 July 2017). The Time-Varying Risk of Macroeconomic Disasters [Paper presentation]. ESSFM, Gerzensee,, Switzerland.

Penasse, J. (11 July 2017). The Missing Risk Premium in Exchange Rates [Paper presentation]. NBER International Asset Pricing, Cambridge, United States.

Penasse, J. (25 June 2017). The Missing Risk Premium in Exchange Rates [Paper presentation]. 2017 Western Finance Association Meeting, Canada.

Penasse, J. (June 2017). The Missing Risk Premium in Exchange Rates [Paper presentation]. SoFiE, NYC, United States.

Penasse, J. (May 2017). The Missing Risk Premium in Exchange Rates [Paper presentation]. Exchange Rate Models for a New Era: Major and Emerging Market Currencies.

Penasse, J. (18 April 2017). The Time-Varying Risk of Macroeconomic Disasters [Paper presentation]. Fundação Getúlio Vargas (seminar), Rio de Janeiro,, Brazil.

Penasse, J. (13 April 2017). The Time-Varying Risk of Macroeconomic Disasters [Paper presentation]. University of Chile (seminar), Santiago,, Chile.

Penasse, J. (23 February 2017). Bubbles and Trading Frenzies: Evidence from the Art Market [Paper presentation]. ASU Sonoran Winter Finance Conference, Phoenix, Arizona, USA, United States.

Penasse, J., & Magnus, D. (2017). The Missing Risk Premium in Exchange Rates. ORBilu-University of Luxembourg. https://orbilu.uni.lu/handle/10993/33421.

Penasse, J. (December 2016). Bubbles and Trading Frenzies: Evidence from the Art Market [Paper presentation]. Miami Behavioral Conference.

Penasse, J. (23 November 2016). Bubbles and Trading Frenzies: Evidence from the Art Market [Paper presentation]. Bocconi University (seminar), Milan, Italy.

Penasse, J. (21 November 2016). Bubbles and Trading Frenzies: Evidence from the Art Market [Paper presentation]. Collegio Carlo Alberto (seminar).

Penasse, J. (August 2016). Bubbles and Trading Frenzies: Evidence from the Art Market [Paper presentation]. EEA-ESEM 2016 Conference.

Penasse, J. (August 2016). Bubbles and Trading Frenzies: Evidence from the Art Market [Paper presentation]. EFA Conference 2016.

Penasse, J. (June 2016). Bubbles and Trading Frenzies: Evidence from the Art Market [Paper presentation]. LBS Summer Finance Symposium.

Penasse, J. (29 March 2016). The Time-Varying Risk of Macroeconomic Disasters [Paper presentation]. Columbia University macro lunch, NYC,, United States.

Penasse, J. (September 2015). Return Predictability: Learning from the Cross-Section [Paper presentation]. NFA Confrence 2015, Lake Louise, Canada.

Penasse, J. (August 2015). Return Predictability: Learning from the Cross-Section [Paper presentation]. EFA 2015 Annual Meeting.

Penasse, J., & Renneboog, L. (2015). Bubbles and Trading Frenzies: Evidence from the Art Market. ORBilu-University of Luxembourg. https://orbilu.uni.lu/handle/10993/22281.

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