Alexandre Jeanneret is an Associate Professor of Finance and the Head of PhD program in Finance at HEC Montréal. He is the recipient of the Canada Research Chair in Macro Finance.

Jeanneret obtained a PhD in Finance from the University of Lausanne and the Swiss Finance Institute in 2010. He received a Master’s degree in Economics from the University of British Columbia in 2005 and a Bachelor’s degree in Economics from the University of Lausanne in 2003.

His research interests include the valuation of sovereign debt and related credit derivatives; the analysis of currency risk and returns; the understanding of preferences and incomplete information on asset prices; and the role of inflation on corporate securities. Jeanneret has published in the Review of Finance, the Review of Financial Studies, the Journal of Financial and Quantitative Analysis, the Journal of Banking and Finance, and the Journal of International Money and Finance, among others. He has been visiting scholar at Harvard University, UCLA, University Paris-Dauphine, Columbia Business School, and University of New South Wales.

Prior to his academic position, he has worked as an equity analyst at MSCI Barra and as a consultant for the Fixed-Income team at the Pictet Group. He joined the HEC Montréal faculty in 2010.

Asset Pricing with Persistence Risk, Review of Financial Studies, forthcoming, with D. Andrei and M. Hasler

• Learning about persistence in expected output growth generates high and time-varying asset pricing moments
• PDF version

Sovereign Credit Risk under Good/Bad Governance, Journal of Banking and Finance, 2018

• Highlights the negative relationship between government effectiveness and sovereign credit spreads
  
• PDF version 

Sovereign Default Risk and the U.S. Market, Journal of Financial and Quantitative Analysis, 2017

• Examines how sovereign default risk in Europe affects the volatility of U.S. equity returns
  
• PDF version

International Firm Investment under Exchange Rate Uncertainty, Review of Finance, 2016

• Theory and evidence on the negative and non-linear relation between exchange rate volatility and cross-border investments
• PDF version

Sovereign Defaults and Currency Denomination, Journal of International Money and Finance, 2016, with S. Souissi 

• Identifies the drivers of sovereign defaults by debt’s currency denomination. New dataset covering 100 countries over 1996-2012
  
• PDF version

The Dynamics of Sovereign Credit Risk, Journal of Financial and Quantitative Analysis, 2015

• Model of sovereign credit risk with endogenous debt and default policies explaining the time-variation in sovereign credit spreads
• PDF version

Convertible Debt and Shareholder Incentives, Journal of Corporate Finance, 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
• PDF version

Low Inflation: High Default Risk and High Equity Valuations, with H. Bhamra, C. Dorion, and M. Weber

• Theory on the impact of inflation risk on firm defaults and aggregate equity market
  
• PDF version
• Presented (or scheduled) at NBER Asset Pricing 2019, LBS Summer Symposium 2019, AFA 2019, WFA 2018, EFA 2018, Cavalcade 2018, NFA 2018, Adam Smith Asset Pricing 2017, BoC-FRBSF-SFU Conference 2017, SAFE Asset Pricing Workshop 2017, Conference on Corporate Policies and Asset Prices 2017, Society for Economic Dynamics 2017

A Credit-Based Theory of the Currency Risk Premia, with P. Della Corte and E. D. S. Patelli

• Currency premium computed from CDS prices offers strong exchange rate predictability
• PDF version
• Presented (or scheduled) at AFA 2020, NFA 2019, Vienna Symposium on Foreign Exchange Markets 2019, Asset Pricing Workshop 2019, Annual Risk Management Conference 2019, QES European Quantitative and Macro Investing Conference 2019,  Conference of the Swiss Society for Financial Market Research 2019, Canadian Derivative Institute Conference (IFSID) 2018

Do Corporate Governance Reforms Impact Equity Volatility? Theory and Worldwide Evidence, with L. Gagnon

• Investor protections affect the level of stock return volatility for financially distressed firms
  
• PDF version
• Presented (or scheduled) at EFA 2019, Australasian Finance and Banking Conference 2018, Conference on Corporate Policies and Asset Prices 2017, HEC-McGill Winter Finance Workshop 2016, Telfer Annual Conference on Accounting and Finance 2016, International Conference on Capital Markets 2016

Sovereign Bond Premium and Global Macroeconomic Conditions, with A. Ekponon and S. Andrade

• A country’s exposure to the global business cycle increases default risk and the price of macroeconomic risk
• PDF version

• Presented (or scheduled) at NFA 2019, Asset Pricing Workshop 2019, EFA 2017, Conference of the Swiss Society for Financial Market Research 2016

The Dynamics of the Implied Volatility Surface: Reconciling Macro Finance with Option Pricing, with M. Hasler

• Theory and evidence on the pro-cyclicality of the option-implied volatility volatility surface
  
• PDF version
  

• Presented (or scheduled) at EFA 2019, Canadian Derivative Institute Conference (IFSID) 2019

  
  

When Do Commodity Prices Matter for the Carry Trade? The Role of FX Liquidity Conditions

• Commodity price fluctuations impact the performance of the carry trade, but only in times of FX illiquidity
• PDF version
• Presented (or scheduled) at  JPMCC International Symposium 2019