Alexandre Jeanneret

Professor of Finance
UNSW Business School
School of Banking and Finance

About me

Alexandre Jeanneret is Professor of Finance and Deputy Head of Research at UNSW, School of Banking and Finance. He was previously Associate Professor of Finance and Head of the PhD program in Finance at HEC Montréal, where he held the Canada Research Chair in Macro Finance. He was on the faculty of HEC Montréal from 2010 to 2020.

He holds a PhD in Finance from the University of Lausanne and the Swiss Finance Institute (2010), a Master’s in Economics from the University of British Columbia (2005), and a Bachelor’s in Economics from the University of Lausanne (2003). He has been a visiting scholar at Harvard University, UCLA, Université Paris-Dauphine, and Columbia Business School. Before academia, he worked as an equity analyst at MSCI Barra and as a fixed income consultant at the Pictet Group.

Co-organizer of the UNSW Asset Pricing Workshop, an annual meeting in Sydney that brings together leading international scholars in asset pricing. The fifth edition takes place on December 3–4, 2026.

Alexandre Jeanneret

Research expertise

My research spans three areas and combines structural models with empirical evidence from bond, equity, currency, and option markets.

Credit risk

  • Structural models of corporate default and credit spreads
  • Sovereign credit risk and global risk premia
  • Inflation and default risk

International finance

  • Currency risk premia and exchange rate predictability
  • Information in CDS and option prices
  • Credit risk across currencies and international investment

Asset pricing

  • Market concentration and the cross-section of returns
  • Long-run risk and rare economic disasters
  • Investor attention and asset prices

Publications

  • Excess Co-movement in Default Risk

    Management Science, forthcoming (with J. Ericsson, K. Glover, and L. Lu) SSRN

    An explanation for co-movement in default risk, asset prices, and equity volatility across independent borrowers.

  • Looking Under the Hood of Commodity Currency Predictability

    Management Science, forthcoming (with V. Sokolovski) SSRN

    New evidence on the source of exchange rate predictability for commodity-exposed currencies.

  • How Does Managerial Expropriation Affect Equity Volatility? Theory and Worldwide Evidence

    Review of Corporate Finance Studies, 14(1), 166–203, 2025 (with L. Gagnon) SSRNJournal

    Investor protection affects the level of stock return volatility for financially distressed firms.

  • A Credit-Based Theory of the Currency Risk Premium

    Journal of Financial Economics, 149(3), 473–496, 2023 (with P. Della Corte and E. Dias Saraiva-Patelli) SSRNJournal

    Currency depreciation implied from CDS prices offers strong exchange rate predictability.

  • High Inflation: Low Default Risk and Low Equity Valuations

    Review of Financial Studies, 36(3), 1192–1252, 2023 (with H. Bhamra, C. Dorion, and M. Weber) SSRNJournal

    Higher expected inflation decreases firm default risk and equity valuation.

  • A Macro-Finance Model for Option Prices: A Story of Rare Economic Events

    Management Science, 69(9), 4973–5693, 2023 (with M. Hasler) SSRNJournal

    A macro-finance model with disasters and recoveries rationalizing key features of equity index option markets.

  • Sovereign Risk Premia and Global Macroeconomic Conditions

    Journal of Financial Economics, 147, 172–197, 2023 (with S. Andrade and A. Ekponon) SSRNJournal

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

  • Asset Pricing with Persistence Risk

    Review of Financial Studies, 32, 2809–2849, 2019 (with D. Andrei and M. Hasler) SSRNJournal

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

  • Sovereign Credit Risk under Good/Bad Governance

    Journal of Banking and Finance, 93, 230–246, 2018 JournalPDF

    The negative relationship between government effectiveness and sovereign credit spreads.

  • Sovereign Default Risk and the U.S. Equity Market

    Journal of Financial and Quantitative Analysis, 52, 305–339, 2017 SSRNJournal

    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 SSRNJournal

    Theory and evidence on the negative, non-linear relation between exchange rate volatility and cross-border investment.

  • Sovereign Defaults and Currency Denomination

    Journal of International Money and Finance, 60, 197–222, 2016 (with S. Souissi) SSRNJournal

    The drivers of sovereign defaults by debt’s currency denomination, from a new dataset covering 100 countries over 1996–2012.

  • The Dynamics of Sovereign Credit Risk

    Journal of Financial and Quantitative Analysis, 50, 963–985, 2015 SSRNJournal

    A model with endogenous debt and default policies explaining the time variation in sovereign credit spreads.

  • La Crise de la Dette en Europe (in French)

    L’Actualité Économique, 91, 2015 (with E. Chouaib) Journal

    The origins of the European debt crisis and the structural issues of the euro zone.

  • Convertible Debt and Shareholder Incentives

    Journal of Corporate Finance, 24, 38–56, 2014 (with C. Dorion, P. François, and G. Grass) SSRNJournal

    Convertible debt financing can reduce risk-shifting, but only for financially distressed firms.

Working papers