contact details
HEC Montréal, Department of Finance - Office 4102
3000, ch. de la Côte-Sainte-Catherine
Montréal (Québec), Canada H3T 2A7
Tel: (+1) 514 589-6699
Email: alexandre.jeanneret[at]


Alexandre Jeanneret is an Associate Professor of Finance and the Head of PhD program in Finance at HEC Montréal. He is the recipient of the Canada Research Chair in Macro Finance.

Jeanneret obtained a PhD in Finance from the University of Lausanne and the Swiss Finance Institute in 2010. He received a Master’s degree in Economics from the University of British Columbia in 2005 and a Bachelor’s degree in Economics from the University of Lausanne in 2003.

His research interests include the valuation of sovereign debt and related credit derivatives; the analysis of currency risk and returns; the understanding of preferences and incomplete information on asset prices; and the role of inflation on corporate securities. Jeanneret has published in the Review of Finance, the Review of Financial Studies, the Journal of Financial and Quantitative Analysis, the Journal of Banking and Finance, and the Journal of International Money and Finance, among others. He has been visiting scholar at Harvard University, UCLA, University Paris-Dauphine, Columbia Business School, and University of New South Wales.

Prior to his academic position, he has worked as an equity analyst at MSCI Barra and as a consultant for the Fixed-Income team at the Pictet Group. He joined the HEC Montréal faculty in 2010.


Asset Pricing with Persistence Risk, Review of Financial Studies, forthcoming, with D. Andrei and M. Hasler

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

Sovereign Credit Risk under Good/Bad Governance, Journal of Banking and Finance, 2018

  • Highlights the negative relationship between government effectiveness and sovereign credit spreads
  • PDF version 

Sovereign Default Risk and the U.S. Market, Journal of Financial and Quantitative Analysis, 2017

  • Examines how sovereign default risk in Europe affects the volatility of U.S. equity returns
  • PDF version

International Firm Investment under Exchange Rate Uncertainty, Review of Finance, 2016

  • Theory and evidence on the negative and non-linear relation between exchange rate volatility and cross-border investments
  • PDF version

Sovereign Defaults and Currency Denomination, Journal of International Money and Finance, 2016, with S. Souissi 

  • Identifies the drivers of sovereign defaults by debt’s currency denomination. New dataset covering 100 countries over 1996-2012
  • PDF version

The Dynamics of Sovereign Credit Risk, Journal of Financial and Quantitative Analysis, 2015

  • Model of sovereign credit risk with endogenous debt and default policies explaining the time-variation in sovereign credit spreads
  • PDF version

Convertible Debt and Shareholder Incentives, Journal of Corporate Finance, 2014, with C. Dorion, P. François, and G. Grass

  • Evidence that convertible debt financing can reduce the agency problem of risk-shifting but only for financially distressed firms
  • PDF version

working papers

Low Inflation: High Default Risk and High Equity Valuations, with H. Bhamra, C. Dorion, and M. Weber

  • Theory on the impact of inflation risk on firm defaults and aggregate equity market
  • PDF version
  • Presented at AFA, WFA, EFA, Cavalcade, NFA, Adam Smith Asset Pricing, HEC-McGill Winter Finance Workshop, BoC-FRBSF-SFU Conference, SAFE Asset Pricing Workshop, Conference on Corporate Policies and Asset Prices, Society for Economic Dynamics, BIS, ESSEC, Federal Reserve Board, HEC Lausanne, McGill, University of Lugano, University of Neuchâtel, University of Maryland, University of Paris-Dauphine

A Credit-Based Theory of the Currency Risk Premia, with P. Della Corte and E. D. S. Patelli

  • Currency premium computed from CDS prices offers strong exchange rate predictability
  • Presented at CDI (IFSID), McGill, Boston University

Do Corporate Governance Reforms Impact Equity Volatility? Theory and Worldwide Evidencewith L. Gagnon

  • Investor protections affect the level of stock return volatility for financially distressed firms
  • Presented at HEC-McGill Winter Finance Workshop, Telfer Annual Conference on Accounting and Finance, International Conference on Capital Markets, Conference on Corporate Policies and Asset Prices, Australasian Finance and Banking Conference, University of Bern, University of Geneva, McGill

When Do Commodity Prices Matter for the Carry Trade? An Analysis by FX Liquidity Conditionswith M. Normandin

  • Commodity price movements drive commodity currencies during adverse financial conditions

Sovereign Risk and Global Macroeconomic Conditions, with A. Ekponon and S. Andrade

  • A country’s exposure to the global business cycle increases default risk and the price of macroeconomic risk
  • Presented at EFA, HEC-McGill Winter Finance Workshop, Conference of the Swiss Society for Financial Market Research

Systematic Risk Premium in the Commodity Futures Market

  • Commodity futures prices contain a compensation for systematic risk that is independent of the hedging risk premium