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Paul Karehnke

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First Name:Paul
Middle Name:
Last Name:Karehnke
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RePEc Short-ID:pka1063
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https://sites.google.com/site/paulkarehnke/

Research output

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Jump to: Working papers Articles Books

Working papers

  1. Karehnke, P., 2014. "Portfolio choice and asset pricing with endogenous beliefs and skewness preference," Other publications TiSEM d0a7843a-5bc8-4fa8-97d6-f, Tilburg University, School of Economics and Management.
  2. Elyès Jouini & Paul Karehnke & Clotilde Napp, 2013. "On Portfolio Choice with Savoring and Disappointment," Post-Print halshs-00927267, HAL.

Articles

  1. Barroso, Pedro & Edelen, Roger M. & Karehnke, Paul, 2022. "Crowding and Tail Risk in Momentum Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 57(4), pages 1313-1342, June.
  2. Barroso, Pedro & Boons, Martijn & Karehnke, Paul, 2021. "Time-varying state variable risk premia in the ICAPM," Journal of Financial Economics, Elsevier, vol. 139(2), pages 428-451.
  3. Paul Karehnke & Frans de Roon, 2020. "Spanning Tests for Assets with Option-Like Payoffs: The Case of Hedge Funds," Management Science, INFORMS, vol. 66(12), pages 5969-5989, December.
  4. Jouini, Elyès & Karehnke, Paul & Napp, Clotilde, 2018. "Stereotypes, underconfidence and decision-making with an application to gender and math," Journal of Economic Behavior & Organization, Elsevier, vol. 148(C), pages 34-45.
  5. Frans de Roon & Paul Karehnke, 2017. "A Simple Skewed Distribution with Asset Pricing Applications," Review of Finance, European Finance Association, vol. 21(6), pages 2169-2197.
  6. Frans de Roon & Paul Karehnke, 2017. "Addendum: A Simple Skewed Distribution with Asset Pricing Applications," Review of Finance, European Finance Association, vol. 21(6), pages 2401-2401.
  7. Elyès Jouini & Paul Karehnke & Clotilde Napp, 2014. "On Portfolio Choice with Savoring and Disappointment," Management Science, INFORMS, vol. 60(3), pages 796-804, March.

Books

  1. Karehnke, Paul, 2014. "Portfolio choice and asset pricing with endogenous beliefs and skewness preference," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/14624 edited by Jouini, Elyès & Roon, Frans Adrianus de.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Karehnke, P., 2014. "Portfolio choice and asset pricing with endogenous beliefs and skewness preference," Other publications TiSEM d0a7843a-5bc8-4fa8-97d6-f, Tilburg University, School of Economics and Management.

    Cited by:

    1. Paul Karehnke & Frans de Roon, 2020. "Spanning Tests for Assets with Option-Like Payoffs: The Case of Hedge Funds," Management Science, INFORMS, vol. 66(12), pages 5969-5989, December.

  2. Elyès Jouini & Paul Karehnke & Clotilde Napp, 2013. "On Portfolio Choice with Savoring and Disappointment," Post-Print halshs-00927267, HAL.

    Cited by:

    1. Liang Guo, 2020. "Anticipatory Consumptions," Management Science, INFORMS, vol. 66(8), pages 3717-3734, August.
    2. Schneider, C.A.R. & Spalt, Oliver, 2016. "Conglomerate investment, skewness, and the CEO long shot bias," Other publications TiSEM 5d9321e2-35ea-40f9-9eae-4, Tilburg University, School of Economics and Management.
    3. Paul Karehnke & Frans de Roon, 2020. "Spanning Tests for Assets with Option-Like Payoffs: The Case of Hedge Funds," Management Science, INFORMS, vol. 66(12), pages 5969-5989, December.
    4. Elyès Jouini & Clotilde Napp, 2018. "The Impact of Health-Related Emotions on Belief Formation and Behavior," Theory and Decision, Springer, vol. 84(3), pages 405-427, May.
    5. Armouti-Hansen, Jesper & Kops, Christopher, 2024. "Managing anticipation and reference-dependent choice," Journal of Mathematical Economics, Elsevier, vol. 112(C).
    6. Jouini, Elyès & Karehnke, Paul & Napp, Clotilde, 2018. "Stereotypes, underconfidence and decision-making with an application to gender and math," Journal of Economic Behavior & Organization, Elsevier, vol. 148(C), pages 34-45.
    7. Pavlo Blavatskyy, 2018. "A second-generation disappointment aversion theory of decision making under risk," Theory and Decision, Springer, vol. 84(1), pages 29-60, January.
    8. Frans de Roon & Paul Karehnke, 2017. "A Simple Skewed Distribution with Asset Pricing Applications," Review of Finance, European Finance Association, vol. 21(6), pages 2169-2197.

Articles

  1. Barroso, Pedro & Boons, Martijn & Karehnke, Paul, 2021. "Time-varying state variable risk premia in the ICAPM," Journal of Financial Economics, Elsevier, vol. 139(2), pages 428-451.

    Cited by:

    1. Jozef Barunik & Josef Kurka, 2021. "Risks of heterogeneously persistent higher moments," Papers 2104.04264, arXiv.org, revised Mar 2024.
    2. Kwon, Ji Ho, 2024. "Bank credit, consumption risk, and the cross-section of expected returns," International Review of Financial Analysis, Elsevier, vol. 92(C).
    3. Zhu, Haibin & Bai, Lu & He, Lidan & Liu, Zhi, 2023. "Forecasting realized volatility with machine learning: Panel data perspective," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 251-271.
    4. Lim, Bryan & Sotes-Paladino, Juan & Wang, George Jiaguo & Yao, Yaqiong, 2024. "The value of growth: Changes in profitability and future stock returns," Journal of Banking & Finance, Elsevier, vol. 158(C).
    5. Rojo-Suárez, Javier & Alonso-Conde, Ana B. & Lago-Balsalobre, Rubén, 2024. "Industry bubbles and unexpected consumption shocks: A cross-sectional explanation of stock returns under recursive preferences," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1156-1169.
    6. Fabian Hollstein & Marcel Prokopczuk, 2023. "Managing the Market Portfolio," Management Science, INFORMS, vol. 69(6), pages 3675-3696, June.

  2. Paul Karehnke & Frans de Roon, 2020. "Spanning Tests for Assets with Option-Like Payoffs: The Case of Hedge Funds," Management Science, INFORMS, vol. 66(12), pages 5969-5989, December.

    Cited by:

    1. Charles Chevalier & Serge Darolles, 2019. "Trends everywhere? The case of hedge fund styles," Post-Print hal-02573075, HAL.
    2. Jonathan Fletcher, 2018. "An Examination of the Benefits of Factor Investing in U.K. Stock Returns," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(4), pages 154-170, April.
    3. David Ardia & Laurent Barras & Patrick Gagliardini & Olivier Scaillet, 2020. "Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified," Swiss Finance Institute Research Paper Series 20-82, Swiss Finance Institute, revised May 2023.
    4. Fletcher, Jonathan, 2021. "International equity U.S. mutual funds and diversification benefits," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 246-257.
    5. Almeida, Caio & Ardison, Kym & Garcia, René, 2020. "Nonparametric assessment of hedge fund performance," Journal of Econometrics, Elsevier, vol. 214(2), pages 349-378.
    6. Jonathan Fletcher & Elizabeth Littlejohn & Andrew Marshall, 2023. "Exploring the performance of US international bond mutual funds," The Financial Review, Eastern Finance Association, vol. 58(4), pages 765-782, November.

  3. Jouini, Elyès & Karehnke, Paul & Napp, Clotilde, 2018. "Stereotypes, underconfidence and decision-making with an application to gender and math," Journal of Economic Behavior & Organization, Elsevier, vol. 148(C), pages 34-45.

    Cited by:

    1. Bertoni, Marco & Brunello, Giorgio & Checchi, Daniele & Rocco, Lorenzo, 2021. "Where do I stand? Assessing researchers’ beliefs about their productivity," Journal of Economic Behavior & Organization, Elsevier, vol. 185(C), pages 61-80.
    2. Neschen, Albena & Hügelschäfer, Sabine, 2021. "Gender bias in performance evaluations: The impact of gender quotas," Journal of Economic Psychology, Elsevier, vol. 85(C).
    3. Jose Luis Arroyo-Barrigüete & Susana Carabias-López & Francisco Borrás-Pala & Gloria Martín-Antón, 2023. "Gender Differences in Mathematics Achievement: The Case of a Business School in Spain," SAGE Open, , vol. 13(2), pages 21582440231, April.

  4. Frans de Roon & Paul Karehnke, 2017. "A Simple Skewed Distribution with Asset Pricing Applications," Review of Finance, European Finance Association, vol. 21(6), pages 2169-2197.

    Cited by:

    1. Delis, Manthos & Savva, Christos & Theodossiou, Panayiotis, 2020. "A Coronavirus Asset Pricing Model: The Role of Skewness," MPRA Paper 100877, University Library of Munich, Germany.
    2. Delis, Manthos D. & Savva, Christos S. & Theodossiou, Panayiotis, 2021. "The impact of the coronavirus crisis on the market price of risk," Journal of Financial Stability, Elsevier, vol. 53(C).
    3. Guljanov, Gaygysyz & Mutschler, Willi & Trede, Mark, 2022. "Pruned Skewed Kalman Filter and Smoother: With Application to the Yield Curve," Dynare Working Papers 78, CEPREMAP.
    4. Anna Bottasso & Sébastien Duchêne & Eric Guerci & Nobuyuki Hanaki & Charles Noussair, 2022. "Higher order risk attitudes of financial experts," Post-Print hal-03664148, HAL.
    5. Stephen Thiele, 2020. "Modeling the conditional distribution of financial returns with asymmetric tails," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(1), pages 46-60, January.
    6. Lee, Cheol Woo & Kang, Kyu Ho, 2023. "Estimating and testing skewness in a stochastic volatility model," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 445-467.
    7. Choi, Ahjin & Kang, Kyu Ho, 2023. "Modeling the time-varying dynamic term structure of interest rates," Journal of Banking & Finance, Elsevier, vol. 153(C).
    8. Panayiotis Theodossiou & Polina Ellina & Christos S. Savva, 2022. "Stochastic properties and pricing of bitcoin using a GJR-GARCH model with conditional skewness and kurtosis components," Review of Quantitative Finance and Accounting, Springer, vol. 59(2), pages 695-716, August.
    9. Maria-Teresa Bosch-Badia & Joan Montllor-Serrats & Maria-Antonia Tarrazon-Rodon, 2020. "Risk Analysis through the Half-Normal Distribution," Mathematics, MDPI, vol. 8(11), pages 1-27, November.
    10. Carnero, M. Angeles & León, Angel & Ñíguez, Trino-Manuel, 2023. "Skewness in energy returns: estimation, testing and retain-->implications for tail risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 178-189.
    11. Panayiotis Theodossiou & Dimitris Tsouknidis & Christos Savva, 2020. "Freight rates in downside and upside markets: pricing of own and spillover risks from other shipping segments," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 183(3), pages 1097-1119, June.

  5. Frans de Roon & Paul Karehnke, 2017. "Addendum: A Simple Skewed Distribution with Asset Pricing Applications," Review of Finance, European Finance Association, vol. 21(6), pages 2401-2401.

    Cited by:

    1. Delis, Manthos & Savva, Christos & Theodossiou, Panayiotis, 2020. "A Coronavirus Asset Pricing Model: The Role of Skewness," MPRA Paper 100877, University Library of Munich, Germany.
    2. Delis, Manthos D. & Savva, Christos S. & Theodossiou, Panayiotis, 2021. "The impact of the coronavirus crisis on the market price of risk," Journal of Financial Stability, Elsevier, vol. 53(C).
    3. Guljanov, Gaygysyz & Mutschler, Willi & Trede, Mark, 2022. "Pruned Skewed Kalman Filter and Smoother: With Application to the Yield Curve," Dynare Working Papers 78, CEPREMAP.
    4. Anna Bottasso & Sébastien Duchêne & Eric Guerci & Nobuyuki Hanaki & Charles Noussair, 2022. "Higher order risk attitudes of financial experts," Post-Print hal-03664148, HAL.
    5. Stephen Thiele, 2020. "Modeling the conditional distribution of financial returns with asymmetric tails," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(1), pages 46-60, January.
    6. Lee, Cheol Woo & Kang, Kyu Ho, 2023. "Estimating and testing skewness in a stochastic volatility model," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 445-467.
    7. Choi, Ahjin & Kang, Kyu Ho, 2023. "Modeling the time-varying dynamic term structure of interest rates," Journal of Banking & Finance, Elsevier, vol. 153(C).
    8. Panayiotis Theodossiou & Polina Ellina & Christos S. Savva, 2022. "Stochastic properties and pricing of bitcoin using a GJR-GARCH model with conditional skewness and kurtosis components," Review of Quantitative Finance and Accounting, Springer, vol. 59(2), pages 695-716, August.
    9. Carnero, M. Angeles & León, Angel & Ñíguez, Trino-Manuel, 2023. "Skewness in energy returns: estimation, testing and retain-->implications for tail risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 178-189.
    10. Panayiotis Theodossiou & Dimitris Tsouknidis & Christos Savva, 2020. "Freight rates in downside and upside markets: pricing of own and spillover risks from other shipping segments," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 183(3), pages 1097-1119, June.

  6. Elyès Jouini & Paul Karehnke & Clotilde Napp, 2014. "On Portfolio Choice with Savoring and Disappointment," Management Science, INFORMS, vol. 60(3), pages 796-804, March.
    See citations under working paper version above.

Books

  1. Karehnke, Paul, 2014. "Portfolio choice and asset pricing with endogenous beliefs and skewness preference," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/14624 edited by Jouini, Elyès & Roon, Frans Adrianus de.

    Cited by:

    1. Paul Karehnke & Frans de Roon, 2020. "Spanning Tests for Assets with Option-Like Payoffs: The Case of Hedge Funds," Management Science, INFORMS, vol. 66(12), pages 5969-5989, December.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MIC: Microeconomics (1) 2014-01-24
  2. NEP-UPT: Utility Models and Prospect Theory (1) 2014-12-29

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