Adrien Verdelhan

Faculty

Adrien Verdelhan

About

Adrien Verdelhan is the Stephens Naphtal  Professor of Finance and an Associate Professor of Finance at the MIT Sloan School of Management.

His research focuses on measures of systematic risk in financial markets, particularly in currency and sovereign bond markets. Verdelhan’s work in international finance shows when and why exchange rates are risky, thus shedding light on the most well-known and puzzling currency trading strategy: the carry trade. His recent work focuses on arbitrage opportunities and the role of banking regulation. His research has been published notably in the American Economic Review, The Journal of Finance, and The Review of Financial Studies.

He is currently a Research Fellow of the National Bureau of Economic Research. He was elected Teacher of the Year in 2011 and in 2018 by MIT Sloan students and received the Jamieson Prize for Excellence in Teaching in 2016.

He holds a PhD in economics from the University of Chicago.

Current Research Focus: Verdelhan's research focus is international finance with a particular interest in foreign exchange and bond markets. Current projects include the measure of the share of systematic risk in bilateral exchange rates at high and low frequencies, the impact of financial intermediaries on exchange rate derivative pricing, the volatility of international capital flows, as well as the quantity and price of currency risk and sovereign risk in international equity and bond markets.

Honors

Verdelhan wins Amundi Pioneer Prize

Adrien Verdelhan receives first prize

Verdelhan wins Jamieson Prize

Publications

"The Term Structure of Currency Carry Trade Risk Premia."

Lustig, Hanno N., Andreas Stathopoulos, and Adrien Verdelhan. American Economic Review. Forthcoming. Appendix.

"Does Incomplete Spanning in International Financial Markets Help to Understand Exchange Rates? A Quantitative Assessment."

Lustig, Hanno N. and Adrien Verdelhan. American Economic Review Vol. 109, No. 6 (2019): 2208-2244. Download Paper.

"Common Factors, Order Flows, and Exchange Rate Dynamics."

Fourel, Valère, Dagfinn Rime, Lucio Sarno, Maik Schmeling, and Adrien Verdelhan, Working Paper. 2018.

"The International CAPM Redux."

Brusa, Francesca, Tarun Ramadorai and Adrien Verdelhan, Working Paper. 2015.

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