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NYU Stern School of Business
44 West Fourth Street, 9-81
New York, NY 10012

Research Interests

  • International Finance, Asset Pricing, Macroeconomics

Academic Positions

  • Assistant Professor of Finance, New York University, Stern School of Business, 2016 - Present

Other Affiliations

  • Invited Member, Macro Finance Society, 2017 – Present


  • Ph.D. Finance, UCLA Anderson School, June 2016
  • Visiting Ph.D. Student, Chicago Booth School of Business, Spring 2015
  • B.S. Applied Mathematics, University of Colorado, 2011, Magna Cum Laude

Research Papers

  • Trade Network Centrality and Currency Risk Premia
    • I uncover an economic source of exposure to global risk that drives international asset prices. Countries which are more central in the global trade network have lower interest rates and currency risk premia. As a result, an investment strategy that is long in currencies of peripheral countries and short in currencies of central countries explains the unconditional returns to the carry trade. To explain these findings, I present a general equilibrium model where central countries' consumption growth is more exposed to global consumption growth shocks. This causes the currencies of central countries to appreciate in bad times, resulting in lower interest rates and currency risk premia. In the data, central countries' consumption growth is more correlated with world consumption growth than peripheral countries', further validating the proposed mechanism.
  • Gravity in FX R2: Understanding the Factor Structure in Exchange Rates, with Hanno Lustig
    • Exchange rates strongly co-vary against their base currency. We uncover a gravity equation in this factor structure: the key determinant of a country's exchange rate beta on the common base factor is the country's distance from the base country. The farther the country, the larger the beta. For example, the beta of the CHF/USD exchange rate on the dollar factor is determined by the distance between Switzerland and the United States. Shared language, legal origin, shared border, resource similarity and colonial linkages also significantly lower the betas. On average, the exchange rates of peripheral countries tend to have high R2s in factor regressions, while central countries have low R2s. A no-arbitrage model of exchange rates replicates this distance-dependent factor structure when the exposure of pricing kernels to global risk factors is more similar for closer country pairs.

Research in Progress

  • Capital Longevity and Asset Prices, with Patrick Kiefer

Presentations (Including Scheduled)

  • Trade Network Centrality and Currency Risk Premia
    • 2016: Stanford Institute for Theoretical Economics, WFA, Annual Conference on International Finance, Chicago Booth, Northwestern Kellogg, UT Austin, MIT Sloan, Boston College, NYU Stern, Carnegie Mellon, London Business School, Imperial College London, University of Utah
    • 2015: Twelfth Annual Conference on Corporate Finance at Olin School of Business, University of Colorado at Boulder, Chicago Economics Dynamics Working Group, Chicago Finance Brown Bag
    • 2014: UCLA Anderson Finance Brown Bag
  • Gravity in FX R2: Understanding the Factor Structure in Exchange Rates
    • 2017 Annual Conference on International Finance, Central Bank Research Conference (NBER Sponsored), Midwest Finance Association


NYU Stern School of Business

  • Foundations of Finance (Spring 2017)

UCLA Anderson School of Management

  • MFE R/MATLAB Programming Workshop (Fall 2013, 2014, 2015)
Teaching Assistant
  • MFE Emprical Asset Pricing, Professor Hanno Lustig (Winter 2013, 2014)
  • MFE Quantitative Asset Management, Professor Jason Hsu (Spring 2014)
  • MBA Private Equity and Venture Capital, Professor Mark Garmaise (Winter 2012)
  • MFE Corporate Finance, Professor Mark Garmaise (Winter 2012)

University of Colorado at Boulder

Course Assistant
  • MS/BS Mathematical Statistics (Spring 2010)
  • MS/BS Statistical Computing (Fall 2010)

Honors, Awards, and Fellowships

  • Annual Conference on International Finance Best Paper Award (2016)
  • Cubist Systematic Strategies Ph.D. Candidate Award for Outstanding Research (2016)
  • Xavier Drèze award for most outstanding Ph.D. research paper (2016)
  • Best Finance Ph.D. Dissertation Award in Honor of Professor Stuart I. Greenbaum, Olin Business School (2015)
  • UCLA Dissertation Year Fellowship (2015-2016)
  • UCLA Anderson Fellowship (2011-2015)
  • AFA Student Travel Grant (2015)
  • NSF grant for Undergraduate Mathematics research (2009-2011)
  • Participant in UC Berkeley Summer Explorations in Statistics Research (2010)


  • Z. He, B. Kelly, A. Manela: Itermediary Asset Pricing: New Evidence from Many Asset Classes. American Finance Association (2017)
  • M. Boons and M. Prado: Basis-momentum in the Futures Curve and Volatility Risk. European Financial Association (2016)
  • F. Gourio, M. Siemer, and A. Verdelhan: Uncertainty and International Capital Flows. NYU Stern Volatility Institute (2016)

Professional Service


  • Review of Financial Studies, Journal of International Economics, Journal of Financial and Quantitative Analysis, Journal of Financial Econometrics, Journal of Banking and Finance, Journal of Economics and Business, Journal of Empirical Finance

Program Committee

  • Colorado Finance Summit (2016)


  • R, MATLAB, Python, C++, Mathematica, Stata


Hanno Lustig
Stanford Graduate School of Business
Email: hlustig@stanford.edu
Phone: (310) 871-6532

Mikhail Chernov
UCLA Anderson School of Management
Email: mikhail.chernov@anderson.ucla.edu

Andrea Eisfeldt
UCLA Anderson School of Management
Email: andrea.eisfeldt@anderson.ucla.edu
Phone: (310) 825-8569

Barney Hartman-Glaser
UCLA Anderson School of Management
Email: bhglaser@anderson.ucla.edu
Phone: (310) 825-4083