Publications Sovereign Default Risk and the U.S. Market Journal of Financial and Quantitative Analysis , 52, 305-339, 2017 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 Theory and evidence on the negative and non-linear relation between exchange rate volatility and cross-border investments. Sovereign Defaults and Currency Denomination Journal of International Money and Finance , 60, 197-222, 2016 ( with 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 ( additional appendix) 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, and G. Grass) Evidence that convertible debt financing can reduce the agency problem of risk-shifting but only for financially distressed firms. Working papers Asset Pricing with Persistence Risk [ pdf here] (with D. Andrei and M. Hasler) Learning about persistence in expected output growth generates high and time-varying asset pricing moments. Sovereign Credit Risk under Good/Bad Governance [ pdf here] R&R at the Journal of Banking and Finance Highlights the negative relationship between government effectiveness and sovereign credit spreads. Corporate Governance, Capital Structure, and Stock Return Volatility [ pdf here] (with L. Gagnon) Stock return volatility decreases with investor protections, particularly for financially vulnerable firms. Impact of Commodity Prices on High-yield Currencies: the Role of Financial Conditions [ pdf here] (with M. Normandin) Commodity price movements drive commodity currencies during adverse financial conditions Systematic Risk Premium in the Commodity Futures Market [ pdf here] Commodity futures prices contain a compensation for systematic risk that is independent of the hedging risk premium Learning about Business Cycles and Consumption Volatility Risk [coming soon!] (with D. Andrei and S. Hitzemann) Learning about persistence in a production economy generates counter-cyclical consumption volatility. Deflation and Inflation: Opposites, but not Equals [coming soon!] (with H. Bhamra, C. Dorion, and M. Weber) Theory and empirics on the impact of deflation risk on equity premium. Macroeconomic Risk, Investor Preferences, and Sovereign Credit Spreads [coming soon!] (with A. Ekponon) A country’s exposure to the global business cycle increases default risk and the price of macroeconomic risk. In progress The Dynamics of the Equity Risk Premium (with C. Dorion) Model that explains the equity risk premium across time and firms. Sovereign Debt Package Restructuring (with P. François) Model for sovereign debt valuation with different types of restructuring agreements. Sovereign Credit News and Bank Credit Risk Analysis of how European banks react to sovereign credit news during the 2009-2011 period. Other La Crise de la Dette en Europe L'Actualité Economique , Forthcoming (with E. Chouaib) Analyse des origines de la crise de la dette en Europe et des problèmes structurels de la zone euro.
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