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Post-doctoral researcher receives “WINNER” Best Paper Award

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Published on Thursday, 07 December 2017

Julien Penasse, a post-doctoral researcher at the Luxembourg School of Finance, won the inaugural “WINNER” Best Paper Award together with his co-author Magnus Dahlquist for their work on “The Missing Risk Premium in Exchange Rates”.

For more than thirty years, research on currency returns has documented the failure of the uncovered interest parity of exchange rates – the observation that currencies with a relatively high interest rate tend to appreciate rather than depreciate. The paper documents a quantitatively larger puzzle: that currencies with a relatively high exchange rate earn negative returns, especially in the long run.

 “The Missing Risk Premium in Exchange Rates” has been presented at some of the most selective conferences in economics and finance, including the 2017 National Bureau of Economic Research Summer Institute and the Western Finance Association’s Annual Meeting.

It also convinced the jury of the inaugural “WINNER” Best Paper Prize, including Prof. Josef Zechner and Prof. Otto Randl (both Vienna University of Economics and Business) as well as Dr Georg Cejnek, representing “ZZ Vermögensverwaltung”.

The €10,000 award is sponsored by “ZZ Vermögensverwaltung” and the “POK Pühringer Privatstiftung” in association with the Vienna University of Economics and Business (WU Vienna). It forms part of the WINNER (Wealth Innovation, Neuro- and Entrepreneurial Rates) concept, which pursues the aim to combine traditional research in empirical asset pricing with neurofinance and entrepreneurial finance.

We would like to congratulate both Dr Penasse and Dr Dahlquist (Stockholm School of Economics) on the success of their paper and research.