Professors

Laurent-Emmanuel CALVET

Professor

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Laurent-Emmanuel CALVET

Academy

Transformation

Research center

Finance & Accounting Insights on Risk and Regulation

Location

Paris

Discipline

Finance

Laurent E. Calvet is a Professor of Finance at SKEMA Business School. An engineering graduate from Ecole Polytechnique and Ecole des Ponts ParisTech (France), he holds a Ph.D. in Economics from Yale University. Prior to joining SKEMA, he served as the John Loeb Associate Professor of the Social Sciences at Harvard University (1998-2004), a Professor and Chair in Finance at Imperial College London (2007-8), an HEC Foundation Chaired Professor at HEC Paris (2004-16), and a Chaired Professor of Finance at EDHEC Business School (2016-23). 

Calvet is a founding member of the CEPR Network in Household Finance and an affiliate of the Center for European Policy Research (London) and the Center for Financial Studies (Frankfurt).

Since Sept 2020, Calvet has co-organized with Kim Peijnenburg and Raman Uppal the CEPR Advanced Forum for Financial Economics (CAFFE) online seminar series.

Calvet's research focuses on asset pricing, household finance, and financial econometrics. He co-developed with Adlai Fisher the Markov-Switching Multifractal model of financial volatility, which is increasingly used by practitioners to forecast value-at-risk and price derivatives. 

Education
1998
PhD in Economics, Yale University, United States of America
1994
Ingénieur en Chef du Corps des Ponts et Chaussées, Ecole des Ponts ParisTech, France
1991
M. Engineering, Ecole Polytechnique, France
Experience
Full-time academic positions
Since 2023
Professor of Finance, SKEMA Business School, France
2016 - 2023
Chaired Professor of Finance, EDHEC Business School, France
2014 - 2016
Professor, HEC Foundation Chair in Finance, HEC, France
2007 - 2008
Professor, Chair in Finance, Imperial College Business School, Great Britain
2002 - 2005
John L. Loeb Associate Professor of the Social Sciences, Economics Department, Harvard University, United States of America
1998 - 2002
Assistant Professor, Economics Department, Harvard University, United States of America

Peer-reviewed journal articles

CALVET, L.E., CELERIER, C., SODINI, P. and VALLEE, B. (2023). Can Security Design Foster Household Risk‐Taking? Journal of Finance, 78(4), pp. 1917-1966.
CALVET, L.E., GIANFRATE, G. and UPPAL, R. (2022). The finance of climate change. Journal of Corporate Finance, 73, pp. 102162.
BACH, L., CALVET, L.E. and SODINI, P. (2020). Rich Pickings? Risk, Return, and Skill in Household Wealth. American Economic Review, 110(9), pp. 2703-2747.
CALVET, L.E., FISHER, A.J. and WU, L. (2018). Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics. Journal of Financial and Quantitative Analysis, 53(2), pp. 937-963.
CALVET, L.E., GRANDMONT, J.M. and LEMAIRE, I. (2018). Aggregation of heterogenous beliefs, asset pricing, and risk sharing in complete financial markets. Research in Economics, 72(1), pp. 117-146.
BETERMIER, S., CALVET, L.E. and SODINI, P. (2017). Who Are the Value and Growth Investors? Journal of Finance, 72(1), pp. 5-46.
CALVET, L.E. and CZELLAR, V. (2015). Accurate Methods for Approximate Bayesian Computation Filtering. Journal of Financial Econometrics, 13(4), pp. 798-838.
CALVET, L.E., FEARNLEY, M., FISHER, A.J. and LEIPPOLD, M. (2015). What is beneath the surface? Option pricing with multifrequency latent states. Journal of Econometrics, 187(2), pp. 498-511.
CALVET, L.E., CZELLAR, V. and RONCHETTI, E. (2015). Robust Filtering. Journal of the American Statistical Association, 110(512), pp. 1591-1606.
CALVET, L.E. and CZELLAR, V. (2015). Through the looking glass: Indirect inference via simple equilibria. Journal of Econometrics, 185(2), pp. 343-358.
CALVET, L.E. and SODINI, P. (2014). Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios. Journal of Finance, 69(2), pp. 867-906.
CALVET, L.E., CAMPBELL, J.Y. and SODINI, P. (2009). Measuring the Financial Sophistication of Households. American Economic Review, 99(2), pp. 393-398.
CALVET, L.E., CAMPBELL, J.Y. and SODINI, P. (2009). Fight Or Flight? Portfolio Rebalancing by Individual Investors. Quarterly Journal of Economics, 124(1), pp. 301-348.
CALVET, L.E. and FISHER, A.J. (2008). Multifrequency jump-diffusions: An equilibrium approach. Journal of Mathematical Economics, 44(2), pp. 207-226.
CALVET, L.E., CAMPBELL, J. and SODINI, P. (2007). Down or Out: Assessing the Welfare Costs of Household Investment Mistakes. Journal of Political Economy, 115(5), pp. 707-747.
CALVET, L.E. and FISHER, A. (2007). Multifrequency news and stock returns☆. Journal of Financial Economics, 86(1), pp. 178-212.
ANGELETOS, G.M. and CALVET, L.E. (2006). Idiosyncratic production risk, growth and the business cycle. Journal of Monetary Economics, 53(6), pp. 1095-1115.
CALVET, L.E., FISHER, A.J. and THOMPSON, S.B. (2006). Volatility comovement: a multifrequency approach. Journal of Econometrics, 131(1-2), pp. 179-215.
ANGELETOS, G.M. and CALVET, L.E. (2005). Incomplete-market dynamics in a neoclassical production economy. Journal of Mathematical Economics, 41(4-5), pp. 407-438.
CALVET, L.E., GONZALEZ-EIRAS, M. and SODINI, P. (2004). Financial Innovation, Market Participation, and Asset Prices. Journal of Financial and Quantitative Analysis, 39, pp. 431-459.
CALVET, L.E. and FISHER, A.J. (2004). How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes. Journal of Financial Econometrics, 2(1), pp. 49-83.
CALVET, L.E. and COMON, E. (2003). Behavioral Heterogeneity and the Income Effect. Review of Economics and Statistics, 85, pp. 653-669.
CALVET, L.E. and FISHER, A.J. (2002). Multifractality in Asset Returns: Theory and Evidence. Review of Economics and Statistics, 84, pp. 381-406.
CALVET, L.E. and FISHER, A. (2001). Forecasting multifractal volatility. Journal of Econometrics, 105(1), pp. 27-58.
CALVET, L.E. (2001). Incomplete Markets and Volatility. Journal of Economic Theory, 98(2), pp. 295-338.

Book chapters

CALVET, L.E., GRANDMONT, J.M. and LEMAIRE, I. (1999). Heterogenous probabilities in complete asset markets. In: Shigeo Kusuoka, Toru Maruyama eds. Advances in Mathematical Economics. 1 ed. Tokyo: Springer, pp. 3-15.

Working papers

CALVET, L.E., BETERMIER, S., KNUPFER, S. and KVAERNER, J. (2023). Investor Factors. SSRN.

Conference presentations

CALVET, L.E. (2023). Investor factors. In: Bank of England and Imperial College Business School Workshop on Household Finance and Housing. London.

Faculty research seminar presentations

CALVET, L.E. (2023). Investor factors. In: NEOMA. Paris.