Julien Pénasse - Research

Working papers

The Dollar and the US Wealth Share (Paper), with Magnus Dahlquist, Christian Heyerdahl-Larsen, and Anna Pavlova. This version: September, 2025.
EFA 2022, VSFX 2022, NBER SI Capital Markets and the Economy 2022, NBER AP Fall 2022, Frankfurt SAFE, BDF International Macroeconomics Workshop, 8th BdF-BoE-BdI International Macroeconomics Workshop, Jackson Hole Finance Conference 2023, Utah Winter Conference 2023, European Winter Finance Summit 2023, Adam Smith 2023, Eagle Labs 2023, FIRS 2023, WFA 2023, CEPR ESSFM Gerzensee 2023.
– VSFX “WINNER” Best Paper Award 2022.

Uncertainty and Asset Prices: Stock Market “Puzzles” observed in an Experimental Production Economy (paper available upon request), with Tibor Neugebauer and Reinhard Selten. October 2018.
FMA 2017

Return Predictability: Learning from the Cross-Section (Paper). This version: February 2016.
Non-technical summary (in French): here.
EFA 2015, SoFiE 2015, European Winter Meeting of the Econometric Society 2014, Columbia Business School, U. of Luxembourg, Banque de France, BI Norwegian Business School, U. Paris-Dauphine, U. of Orléans, Tilburg U., Cambridge U., SFI (Lausanne)

Publications

Permanent capital losses after banking crises (Paper), with Matthew Baron, Luc Laeven, and Yevhenii Usenko.
– Quarterly Journal of Economics, forthcoming.

Measuring Macroeconomic Tail Risk (Paper, Data and code), with Roberto Marfè.
– Journal of Financial Economics, June 2024.

Understanding Alpha Decay (Published version, ssrn, Slides).
– Management Science, May 2022.

The Missing Risk Premium in Exchange Rates (Open access link, online appendix), with Magnus Dahlquist.
– Journal of Financial Economics, February 2022.
– “WINNER” Best Paper Award 2017.
– FDEF Research award 2021.

Speculative Trading and Bubbles: Evidence from the Art Market (Open access, 2018 version with model), with Luc Renneboog,
– Management Science, July 2022.
– Best PhD Workshop Presentation Award, 2012 French Finance Association.

When a Master Dies: Speculation and Asset Float (Published version, ssrn, final draft), with Luc Renneboog and José Scheinkman.
– Review of Financial Studies, August 2021.

Sentiment and Art Prices (Published version, final draft), with Christophe Spaenjers and Luc Renneboog,
– Economics Letters, March 2014.

Other Publications

Comment la directive Solvabilité II impacte-t-elle la détention en actions des assureurs vie ?, with François Dezorme, Risques - les Cahiers de l'Assurance, n°126 (2021).

Solvency II and insurers’ equity holdings: A quantitative assessment, Technical Report, Institut Louis Bachelier (2021): French, English

Liquidity, Banks, and Markets: a Decade of Experience, Les Cahiers Louis Bachelier, 12, February (2014): French, English

Cash Flow-Wise ABCDS Pricing, Natixis, September 2008

Le calcul des taux de change effectifs, Conjoncture Economique et Financière, REXECODE, July 2003