Curriculum Vitae - pdf


Sciences Po
27 rue Saint-Guillaume
75337 Paris cedex 07 

Academic Positions

2020-present  Sciences Po 
                       Visiting Professor

2019-present  Centre for Economic Policy Research (CEPR, London)
                           Research Affiliate (Financial Economics) 

2012-2020     Toulouse School of Economics
                           Assistant Professor


2006-2012         University of Chicago Booth School of Business 
                           Ph.D. in Finance 
                                   Chicago Booth Doctoral Fellowship (2006-2009) 
                                   Eugene F. Fama Ph.D. Fellowship (2009-2010) 

1998-2001         École Nationale Supérieure des Mines de Paris
                           MA in Engineering, Mathematics and Physics

Research Interests

Asset Pricing, Behavioral Finance

Publications and working papers

"Information Aversion"
Journal of Political Economy, 2020
Information aversion, a preference-based fear of news flows, has rich implications for decisions involving information and risk-taking. It can explain key empirical patterns on how households pay attention to savings, namely that investors observe their portfolios infrequently, particularly when stock prices are low or volatile. Receiving state-dependent alerts following sharp market downturns such as during the financial crisis of 2008 improves welfare. Information averse investors display an ostrich behavior: overhearing negative news prompts more inattention. Their fear of frequent news encourages them to hold undiversified portfolios.

"L’aversion au risque, composante essentielle du prix du risque, est-elle stable dans le temps?" Revue d'Economie Financière, 2019

"Horizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty"
(with Thomas Eisenbach and Martin Schmalz) -- R&R The Review of Financial Studies
Inspired by experimental evidence, we amend the recursive utility model to let risk aversion decrease with the temporal horizon. Our pseudo-recursive preferences remain tractable and retain appealing features of the long-run risk framework, notably its success at explaining asset pricing moments. Calibrating the agents’ preferences to explain the market returns observed in the data no longer implies an extreme preference for early resolutions of uncertainty; and captures key puzzles in finance on the valuation and demand for risk at long maturities

"Risk pricing under gain-loss asymmetry"
(previously circulated as Consumption-based Asset Pricing with Loss Aversion) -- Submitted
We propose a novel tractable gain-loss asymmetric utility model, whereby losses relative to a reference point incur discontinuously more disutility than comparable gains, which allows for the derivation of closed-form asset pricing solutions. Our formal analysis reveals a dual impact on risk prices. First, a level effect: risk prices are made higher by the kink in the preferences. Second, a cross-sectional effect: the pricing of risk is higher (lower) for safer (riskier) assets, so expected returns increase non- linearly with the risk-exposures. This second effect, a crucial departure from standard smooth utility models, is sensitive to modeling choices on the reference point and on the risks agents face; and rationalizes, both qualitatively and quantitatively, key puzzles in empirical finance: the fit of the security market line and the downward sloping term-structure of equity risk premia.

"The Term Structure of the Price of Volatility Risk"
(with Thomas Eisenbach, Martin Schmalz, and Yichuan Wang)
We estimate the term structure of the price of variance risk (PVR), which helps fill a gap in the empirical literature and distinguish between competing asset-pricing theories. First, we measure variance premia using the Sharpe ratios of short-term holding returns of at-the-money index straddles, and find they are negative and upward sloping in the term-structure. Second, to distinguish price versus quantity in the variance premia, we estimate the PVR in a Heston (1993) model separately for different maturities. We find the PVR contributes to the shape of the term- structure of variance premia: it is negative and decreases in absolute value with maturity, the more so when volatility is high. These findings are inconsistent with the calibrations of established asset-pricing models that assume constant risk aversion across maturities, but confirm a key prediction of the model with horizon-dependent risk aversion of Andries et al. (2014). 

"Forecasts, Extrapolation and Portfolio Allocation when Returns are Predictable"
(with Milo Bianchi, Khanh Huynh and Sebastien Pouget)
We design an experiment to study how investors form their forecasts and risk al- locations under different market conditions. We let our subjects observe not only the past realizations of a risky asset but also a signal a that, in some rounds, helps predict its future returns. Subjects correctly identify the predictable rounds 80.7% of the time. When they do not perceive a as useful information, their forecast "model" is extrapolative: subjects irrationally use the most recent returns realizations to predict future i.i.d outcomes. However, when they perceive returns as predictable by the signal a, they switch to a fully rational forecast model. In all cases, subjects rely on their own expectations when choosing their risky investments, particularly so when they view a as predictive; but the elasticity of investments to forecasts is low, indicative of high implicit risk aversions – a puzzle with respect to the relatively large average risk allocations subjects opt for.

"Ambiguous Trade-Offs: An Application to Climate Change"
(with Nina Boyarchenko)
We study optimal long-term investment choices in settings where agents face ambiguity about both the future benefit and the current cost, as is likely to be the case for large scale social programs, such as healthcare choices and climate change policies. Faced with this kind of ambiguity, rational economic agents optimally choose investment paths that are observationally equivalent to choices made under hyperbolic discounting. Using calibrated paths of potential output losses under different global warming scenarios, we evaluate the relative attractiveness of small-scale, large-scale and R&D projects for mitigating climate change. 

“Changes in the Risk-free Rate: Evaluating Asset Pricing Models”
(with Jean-Guillaume Sahuc)
We evaluate how well the most commonly used asset pricing models in macro-finance can accommodate the observed changes in the risk-free rate over the last three decades, i.e. from a rate of 4% in 1990 to essentially 0% today (10-year real rates for both the US and Europe). We study the benchmark models of habit (Campbell and Cochrane, 1999), long-run risk (Bansal and Yaron, 2004; Bansal et al., 2009), and rare disasters (Barro, 2006; Gabaix, 2012). Our analysis not only informs how well such models perform “out-of-sample”, i.e. in the near-zero interest rates current era. It can also help in identifying whether macro-economic conditions experienced a (permanent) regime switch in the past few years, or if the observed changes constituted “business as usual” time variations.

"Social Responsibility and Asset Prices: Is there a Relation?"
Socially responsible investors take into consideration other criteria than risk and returns upon deciding which firms to invest in. If these investors are sufficiently numerous, they can impact the representative utility function and thus affect firms' stock returns. My aim is to test this hypothesis and analyze if there is a relation between the corporate social responsibility of firms and their stock returns. Using the ratings attributed to firms in the S&P 500 index by KLD, a rating agency specialized in social responsibility, I observe that preferences for social responsibility were not reflected in returns prior to year 2000. However, in the more recent 2000-2006 period, I do observe lower returns for the more socially responsible firms in specific criteria of social responsibility.


Chicago Booth, UW Madison, TSE, Boston College, Boston University, University of Rochester, Washington University St Louis, Yale SOM, UBC, LSE, Bocconi, HEC Paris, Polytechnique Paris, NY Fed, SED conference, Summer Macro-finance Science Po conference, Stockholm School of Economics, TSE Financial Econometrics conference, TIGER forum, Miami Behavioral conference, Tokyo University, Yale SOM, Macro-finance group Spring conference, TSE Financial Econometrics conference, SED conference, European Summer Symposium in Financial Markets (Gerzensee), SITE conference, Hitotsubashi University, NBER Asset Pricing Fall meeting, Northwestern Kellogg, BRIC conference, SED conference, Macro-finance conference Banque de France, NBER Summer Institue Asset Pricing, INSEAD, HEC Paris, Banque de France, University of Vienna, SED conference, Research in Behavioral Finance Conference, WFA, 4nations cup 2018 (winner of the tournament), Copenhagen Business School, EEA, LBS, ETH Zurich.

Conference organization

Program Committee and Session organizer:  SED 2016, SED 2017
Program Committee:  SFS Calvacade 2019, SFS Calvacade 2020

Referee Work

American Economic Review, Quarterly Journal of Economics, Journal of Political Economics, Econometrica, Journal of the European Economic Association, Journal of Economic Theory, Journal of Finance, Review of Financial Studies, Management Science Journal, Journal of Economic Behavior & Organization

Teaching Experience

Toulouse School of Economics
2013-2020 Financial Econometrics teacher (Master's class)
        Market Finance teacher (Master's class)
2012-2015 Asset Pricing teacher (Ph.D. class) 

University of Chicago Booth School of Business
2009,2010    Math Camp teacher (Ph.D. class) 
2008,2009    Advanced Macroeconomics TA for Prof. Lars Hansen (Ph.D. class) 
2007             Corporate Finance TA for Prof. Morten Sorensen (MBA class)

Work Experience

2006                     Citadel, consulting for the development of an automatic trading platform on the energy markets
2001-2005           Morgan Stanley, Commodities Group
                             2004-05: Associate, Trading and Quantitative Research, New York 
                             2003-04: Associate, Quantitative Research, London 
                             2001-03: Oil Trader, London 

Summer 2000       Goldman Sachs FICC Internship Program (London)


Lars P. Hansen, University of Chicago (Dissertation Committee Co-Chair)
Pietro Veronesi, Booth School of Business, University of Chicago (Dissertation Committee Co-Chair) 
John C. Heaton, Booth School of Business, University of Chicago (Dissertation Committee) 
Emir Kamenica, Booth School of Business, University of Chicago (Dissertation Committee) 
Ralph Koijen, Booth School of Business, University of Chicago (Dissertation Committee)

Personal Interests 

Piano, two kids