Redouane Elkamhi

Academic Positions

Non-Academic Positions

Selected Publications - Papers

• Global Equity Correlation in International Markets

  with J. Bae

  Management science, forthcoming

  2021

• Bridging the Gap between Strategic Allocation and Investment Risk

  with J. Lee and S. Sadik

  Journal of Portfolio Management

  2021

• Factor Investing using Capital Market Assumptions

  with J. Lee and M. Salerno

  R&R at Journal of Portfolio Management

  2021

• Portfolio Tilts using Views on Macroeconomic Regimes

  with J. Lee and M. Salerno

  Working paper

  2021

• When Are Financial Covenants Relevant?

  with S. Davydenko and M. Salerno

  Working paper

  2021

• A One-Factor Model of Corporate Bond Premia

  with C. Jo and Y. Nozawa

  Working paper

  2021

• Measuring State-level Economic Policy Uncertainty with News Media across the U.S. States

  with C. Jo and M. Salerno

  Working paper

  2021

• How Large are Pre-Default Costs of Financial Distress? Estimates from a Dynamic

  with M. Salerno

  Working paper

  2021

• Fire-Sale Risk in the Leveraged Loan Market

  with Y. Nozawa

  R&R at Journal of Financial Economics

  2020

• A Benchmark for Collateralized Loan Obligations

  with R. Li and Y. Nozawa

  Working paper

  2020

• Business Cycles and the Bankruptcy Code: A Structural Approach

  with Y. Nozawa and M. Salerno

  Working paper

  2020

• Non-fundamental Uncertainty in Crypto-assets on Public Blockchains

  with S. Ersoy

  Working paper

  2020

• The Composition of Market Participants and Asset dynamics

  with C. Jo

  Working paper

  2020

• Countercyclical Stockholders’ Consumption Risk and Tests of Conditional CCAPM

  with C. Jo

  Working paper

  2020

• The Jury is Still Out On the Performance of Naive Diversification (1/N rule)

  with C. Jo and M. Salerno

  Working paper

  2020

• The Best of Both Worlds: Accessing Emerging Economies via Developed Markets

  with J. Bae and M. Simutin

  Journal of Finance

  2019

• Time‐Varying Asset Volatility and the Credit Spread Puzzle

  with D. Du and J. Ericsson

  Journal of Finance

  2019

• The Term Structure of Expected Recovery Rates

  with H. Doshi and C. Ornthanalai

  Journal of Financial and Quantitative Analysis

  2018

• Rare Disasters, Credit, and Option Market Puzzles

  with P. Christoffersen and D. Du

  Management Science

  2017

• Bank Skin in the Game and Loan Contract Design: Evidence from Covenant-Lite Loans

  with M. Billett, L. Popov, and R. Pungaliya

  Journal of Financial and Quantitative Analysis

  2016

• Reputation and Loan Contract Terms: The Role of Principal Customers

  with L. Cen, S. Dasgupta, and R. Pungaliya

  Review of Finance

  2016

• Managerial Activeness and Mutual Fund Performance

  with H. Doshi and M. Simutin

  Review of Asset Pricing Studies

  2015

• The influence of investor identity and contract terms on firm value: Evidence from PIPEs

  with M. Billett and I. Floros

  Journal of Financial Intermediation

  2015

• Dynamic Hedging and Extreme Asset Co-movements

  with D. Stefanova

  Review of Financial Studies

  2015

• Bank Loan Price Reactions to Corporate Events: Evidence from Traded Syndicated Loans

  with M. Billett, D. Mauer, and R. Pungaliya

  Working paper

  2015

• Accounting Quality and Financial Covenants in Loan Contracts

  with L. Popov and R. Pungaliya

  Working paper

  2015

• What Do Credit Markets Tell Us About the Speed of Leverage Adjustment?

  with R. Pungaliya and A. Vijh

  Management Science

  2014

• The Cross Section of Recovery Rates and Default Probabilities Implied by Credit Default Swap Spreads

  with K. Jacobs and X. Pan

  Journal of Financial and Quantitative Analysis

  2014

• The Cost and Timing of Financial Distress

  with J. Ericsson and C. Parsons

  Journal of Financial Economics

  2012

• What Risks Do Corporate Bond Put Features Insure Against?

  with J. Ericsson and H. Wang

  Journal of Futures Markets

  2012

• Learning About Rare Economic Disasters and Asset Prices

  with D. Du

  Working paper

  2012

• Option Valuation with Conditional Heteroskedasticity and Nonnormality

  with P. Christoffersen, B. Feunou, and K. Jacobs

  Review of Financial Studies

  2010

• Time Varying Default Risk Premia in Corporate Bond Markets

  with H. Doshi and J. Ericsson

  R&R (2nd round) at Management Science

  2008

Research and Teaching Interests

Theoretical and empirical asset pricing with special interests in credit and option markets.

Honors and Awards