Wikipedia

Nikolai Roussanov

Nikolai Roussanov is a Russian-American economist and the Moise Y. Safra Professor of Finance at the Wharton School of the University of Pennsylvania, and Research Associate at the National Bureau of Economic Research. His research focuses on global asset allocation, factor investing, macroeconomic risk in equity, fixed income, currency, and commodity markets, asset management, and individual financial behavior.[1]

Nikolai Roussanov
NationalityRussian American
Known forResearch in currency markets and asset pricing
AwardsAQR Insight Award (2015)
Jacobs-Levy Equity Management Award (2017)
Academic background
Alma materUniversity of Chicago (Ph.D.)
Harvard University (A.B.)
Moscow State University
Thesis (2008)
Academic work
InstitutionsWharton School of the University of Pennsylvania

Early Life and Education

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Roussanov began his academic career at Moscow State University's Department of Mathematics and Mechanics (1996-1998).[2] He then transferred to Harvard University, where he earned his A.B. Magna Cum Laude in Mathematics in 2001. Following Harvard, he pursued his Ph.D. in Finance at the University of Chicago, completing his doctorate in 2008.[3]

Academic Career

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Roussanov joined the Wharton School in 2007 as a lecturer while completing his Ph.D. He was promoted to Assistant Professor in 2008, becoming Associate Professor in 2014.[3] He currently holds the position of Moise Y. Safra Professor of Finance. He has served as a Research Associate at the National Bureau of Economic Research since 2014, having previously been a Faculty Research Fellow from 2010 to 2014.[4]

At Wharton, he has taught courses on Behavioral Finance, Fixed Income Securities, and Consumer Financial Decision Making to undergraduate and MBA students, as well as Empirical Methods in Finance in the doctoral program. He currently serves as Academic Director of Wharton's Private Wealth Management program and Faculty Advisor for the MBA major in Quantitative Finance.[3]

Research Contributions

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Roussanov's research has significantly impacted several areas of financial economics, particularly in currency markets, commodity trade, and asset pricing.

Currency Markets and International Finance

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His most influential work in foreign exchange (FX) markets includes "Common Risk Factors in Currency Markets," which has received over 1,400 citations.[5] This paper identified systematic patterns in currency returns and their relationship to global risk factors. His follow-up work "Countercyclical Currency Risk Premia" was a finalist for the AQR Insight award, further developing understanding of currency market dynamics.[3]

Commodity Markets and Trade

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His research on commodity markets earned significant recognition with "Commodity Trade and the Carry Trade: A Tale of Two Countries" winning the 2015 AQR Insight Award.[6] This work explored the relationship between commodity-producing countries' currencies and global trade patterns.

Factor Investing and Asset Pricing

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More recently, his research has focused on factor investing within and across asset classes. His work spans equity, fixed income, and commodity markets, developing new approaches to understanding how different asset classes interact and respond to economic factors.[3]

Editorial Positions and Academic Leadership

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Roussanov currently serves as Co-Editor of the Journal of Financial Economics and has previously served on the editorial boards of several prestigious journals including:

  • Journal of Finance
  • Journal of Monetary Economics
  • Management Science
  • Editor of the Review of Asset Pricing Studies
  • President of the Macro Finance Society[7]

He currently serves on the Board of Directors of the Foundation for Advancement of Research in Financial Economics (FARFE).

Selected Publications

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  • "Managing Mental Accounts: Payment Cards and Consumption Expenditures" (Review of Financial Studies, 2024)
  • "Cheap Thrills: the Price of Leisure and the Global Decline in Work Hours" (Journal of Political Economy Macroeconomics, 2023)
  • "Marketing Mutual Funds" (Review of Financial Studies, 2020)
  • "Houses as ATMs? Mortgage Refinancing and Macroeconomic Uncertainty" (Journal of Finance, 2020)
  • "Common Risk Factors in Currency Markets" (Review of Financial Studies, 2011)
  • "Conspicuous Consumption and Race" (Quarterly Journal of Economics, 2009, lead article)[3]

Executive Education and Teaching Leadership

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At Wharton, Roussanov has developed and led several significant educational initiatives. He serves as Academic Director of Wharton's long-standing Private Wealth Management program and as Faculty Advisor for the recently established MBA major in Quantitative Finance.[3] His teaching portfolio includes:

Graduate and Undergraduate Programs

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  • Behavioral Finance
  • Fixed Income Securities
  • Consumer Financial Decision Making
  • Empirical Methods in Finance (doctoral program)

Executive Education

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Roussanov has designed and led several custom executive education programs, focusing on:

  • Private wealth management
  • Quantitative investment strategies
  • Financial decision-making
  • Asset allocation and risk management[8]

Awards and Honors

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Roussanov has received several significant academic and research awards throughout his career:

Research Awards

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  • AQR Insight Award (2015) for "Commodity Trade and the Carry Trade: A Tale of Two Countries"[9]
  • Terker Family Prize in Investment Research, Rodney L. White Center for Financial Research (2009)[9]
  • Jacobs-Levy Center Prize (2017) with co-authors for research in quantitative portfolio management[10]

Academic Fellowships and Grants

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  • Iwanowski Family Research Fellowship (2011, 2012)[9]
  • Cynthia and Bennett Golub Endowed Faculty Scholar (2010-2011)[9]
  • Wharton Global Research Initiative Grant (2009)[9]
  • Rodney L. White Center for Financial Research grants (2007, 2008, 2010)[9]
  • Weiss Center for International Financial Research grant (2008)[9]

Professional Activities

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Roussanov has held several key positions in academic and professional organizations. He serves on the Board of Directors of the Macro Finance Society and has been a Research Associate at the National Bureau of Economic Research since 2014. His editorial positions have included serving on the boards of the Journal of Finance, Journal of Monetary Economics, and Management Science.[9] He regularly serves as a referee for major academic journals in economics and finance.

Early Career Recognition

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  • Sanford J. Grossman Fellowship in Honor of Arnold Zellner, University of Chicago (2006-2007)[9]
  • Lehman Brothers Dissertation Fellowship Competition Finalist (2005)[9]
  • Fischer Black Fellowship, University of Chicago (2002)[9]
  • National Science Foundation Graduate Research Fellowship Program, Honorable Mention in Mathematics (2001)[9]

Media and Public Commentary

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Roussanov's research has been featured in financial media outlets, and he regularly provides expert commentary on financial markets, monetary policy, and economic trends. He has been quoted in publications including Knowledge@Wharton and contributes to public understanding of financial economics through various media appearances.[11]

References

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  1. ^ "Nikolai Roussanov – Finance Department". The Wharton School. Retrieved 2024-11-24.
  2. ^ "Nikolai Roussanov – Finance Department". The Wharton School. Retrieved 2024-11-24.
  3. ^ a b c d e f g "Nikolai Roussanov Personal Website". Wharton School of the University of Pennsylvania. Retrieved 2024-11-24.
  4. ^ "Nikolai Roussanov – Finance Department". The Wharton School. Retrieved 2024-11-24.
  5. ^ "Nikolai Roussanov Personal Website". Wharton School. Retrieved 2024-11-24.
  6. ^ "Roussanov wins 2015 AQR Insight Award". AQR Capital. June 5, 2015. Retrieved 2024-11-24.
  7. ^ "Nikolai Roussanov – Finance Department". The Wharton School. Retrieved 2024-11-24.
  8. ^ "Nikolai Roussanov – Finance Department". The Wharton School. Retrieved 2024-11-24.
  9. ^ a b c d e f g h i j k l "CV - Nikolai Roussanov". Wharton School. Retrieved 2024-11-24.
  10. ^ "Nikolai Roussanov – Awards and Honors". Wharton Finance Department. Retrieved 2024-11-24.
  11. ^ "Nikolai Roussanov – In the News". Wharton Finance Department. Retrieved 2024-11-24.
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