TÉDONGAP Roméo

Professor of Finance at the ESSEC Business School Paris-Singapore, Roméo Tédongap is an experienced academic expert in empirical asset pricing and portfolio choice. His primary research fields are macro-finance (investment decisions and asset valuation models based on consumption), behavioral finance (asymmetric attitude of investors towards risk in the presence of macroeconomic uncertainty), financial modeling, and econometrics (affine and regime-switching models). His skills are confirmed by several top-rated publications, notably in the Journal of Financial Economics, Review of Financial Studies, Management Science, Journal of Financial and Quantitative Analysis, Review of Finance, Journal of Econometrics, and Journal of Business and Economic Statistics. In addition, he was the co-winner of the 2013 best paper award at the European Financial Management Association (EFMA) annual meetings.

Professor Tédongap’s current work focuses on asymmetric investors’ attitudes toward risk in the presence of macroeconomic uncertainty and systemic changes and their implications on asset prices and investment decisions. Systemic changes range from those caused by economic and financial crises to those resulting from climate change or events such as migrations, pandemics, etc. Related applications include evaluating ultra-long investments such as public infrastructure, climate, and energy transition. Besides, Professor Tédongap has developed a strong research interest in the attractiveness of African stock markets and their impact on economic growth and development. He also has substantial experience advising African microfinance and higher education institutions. In addition, he currently serves as associate editor of the British Accounting Review (BAR) and editorial board member of the Pan-African Scientific Research Council (PASRC).

Roméo Tédongap holds a Ph.D. in economics from the Université de Montréal. From July 2007 to December 2015, he was an Assistant then Associate Professor with tenure at the Stockholm School of Economics (SSE) and a Research Associate at the Swedish House of Finance. During his SSE career, he was in charge of the Ph.D. program in finance from January 2014 to December 2015. At ESSEC, he has been an Associate Researcher in the Energy and Commodity Finance – Research Center since April 2016 and has served as Associate Dean, Director of Research since September 2021. He also assumed responsibility as head of the Ph.D. program in finance from September 2018 to August 2021. His primary teaching interests are asset pricing, financial econometrics, derivatives modeling, and quantitative economics. His courses include “discrete-time asset pricing theory” and “empirical asset pricing” at the Ph.D. level, “advanced empirical methods in finance,” “financial markets,” “advanced financial modeling,” and “international financial management” for MSc students. Before his Ph.D., Roméo Tédongap studied mathematics, physics, and computer science at the University of Dschang and statistics and economics at the ENSEA of Abidjan.

• 2008 : Ph.D. in Economics (Université de Montréal, Canada)
• 2003 : Engineer’s degree in Statistics and Quantitative Economics (École Nationale Supérieure de Statistique et d'Économie Appliquée (ENSEA) d'Abidjan, Côte d'Ivoire)
• 2000 : Bachelor’s degree in Mathematics, Specialization: Computer Science (University of Dschang, Cameroon)

Full-time academic appointments

• 2017 - Present : Professor (ESSEC Business School, France)
• 2016 - 2017 : Associate Professor (ESSEC Business School, France)
• 2013 - 2015 : Associate Professor (Stockholm School of Economics, Sweden)
• 2007 - 2013 : Assistant Professor (Stockholm School of Economics, Sweden)

Other Academic Appointments

• 2021 - 2024 : Associate Dean for Research (ESSEC Business School, France)
• 2019 : Research visit (University of Dschang, Cameroon)
• 2018 : Research visit (University of Dschang, Cameroon)
• 2017 : Research visit (Goethe University Frankfurt, Germany)
• 2012 - 2015 : Research Associate (Swedish House of Finance, Sweden)
• 2013 : Research visit (EDHEC Business School, France)
• 2013 : Research visit (J. Mack Robinson College of Business, Georgia State University, United States of America)
• 2011 : Research visit (EDHEC Business School, France)
• 2011 : Research visit (INSEAD, France)
• 2010 : Research Visit (East Carolina University, United States of America)
• 2009 : Research visit (Escola de Pós-Graduacao em Economia, Fundacao Getulio Vargas (EPGE/FGV), Brazil)
• 2009 : Research visit, Economics Department (Duke University, United States of America)
• 2008 : Research visit (Fuqua School of Business, United States of America)
• 2004 - 2006 : Research Assistant, CIRANO and CIREQ (Université de Montréal, Canada)
• 2006 : Lecturer (Université de Montréal, Canada)

Professional appointments

• 2002 : Internship, National Institute of Economic Analysis (National Institute of Economic Analysis, Morocco)

• 2013 : EFMA Best Conference Paper Award at the 2013 Annual Conference of the European Financial Management Association
• 2008 : Honors' list of the Dean of the faculty of graduate and postdoctoral studies (Université de Montréal, Canada)
• 2008 : Université de Montréal’s 2008 best PhD thesis award in Economics (Université de Montréal, Canada)

• 2020 - 2024 : EUTOPIA PhD Co-tutelle Program 2020; Co-applicant: Philippe Mueller
• 2019 : LABEX MME DII funding for a thematic semester on nonstandard investment choices; Co-applicant: Andrea Roncoroni (France)
• 2017 - 2021 : ANR (The French National Research Agency) grant for the project LONGTERMISM on the valuation of extra-long investments; Co-applicants: Christian Gollier, René Garcia and Nour Meddahi (Agence Nationale pour la Recherche (ANR), France)
• 2013 - 2016 : Vinnova Grant for Research on Financial Stability and Regulation, dedicated to an umbrella of projects involving the Swedish House of Finance and Sveriges RiksBank; Co-applicants: Laurent Bach, Michael Halling, Bige Kahraman, Paolo Sodini, Roine Vestman, Ulf von Lilienfeld-Toal
• 2010 - 2011 : Scholarships for Short-Term Research Visits, November 2010 (two weeks), October – November 2011 (one month), November-December 2011 (one month) (Stockholm School of Economics, Sweden)
• 2007 - 2013 : Wallander Scholarships; July 2010 to June 2013 Wallander Scholarships; July 2007 to June 2010
• 2003 - 2006 : Ph.D. Fellowship, CIREQ (Université de Montréal, Canada)
• 2000 - 2003 : Scholarship, French Government, ENSEA (Côte d'Ivoire)
• 1999 - 2000 : Fellowship, Ministry of Higher Education (University of Dschang, Cameroon)

• AMIN, S. and TÉDONGAP, R. (2023). The Changing Landscape of Treasury Auctions. Journal of Banking & Finance, 148, pp. 106714.
• TÉDONGAP, R. and TINANG, J. (2022). Portfolio Optimization and Asset Pricing Implications under Returns Non-Normality Concerns. Finance, 43(1), pp. 47-94.
• GUIOTTO, P., RONCORONI, A. and TÉDONGAP, R. (2022). Operations Revenue Insurance. Foundations and Trends in Technology, Information and Operations Management, 15(3), pp. 225-246.
• HIKOUATCHA, P. and TÉDONGAP, R. (2022). Valuing downside risk on international stock markets. Finance, In press.
• AUGUSTIN, P. and TÉDONGAP, R. (2021). Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets. Management Science, 67(10), pp. 6266–6293.
• FEUNOU, B., LOPEZ ALIOUCHKIN, R., TÉDONGAP, R. and XU, L. (2020). The Term Structures of Expected Loss and Gain Uncertainty. Journal of Financial Econometrics, 18(3), pp. 473-501.
• FARAGO, A. and TÉDONGAP, R. (2018). Downside Risks and the Cross-Section of Asset Returns. Journal of Financial Economics, 129(1), pp. 69-86.
• DAHLQUIST, M., FARAGO, A. and TÉDONGAP, R. (2017). Asymmetries and Portfolio Choice. Review of Financial Studies, 30(2), pp. 667-702.
• FENOU, B., FONTAINE, J.B. and TÉDONGAP, R. (2017). Implied Volatility and Skewness Surface. Review of Derivatives Research, 20(2), pp. 167-202.
• AUGUSTIN, P. and TÉDONGAP, R. (2016). Real Economic Shocks and Sovereign Credit Risk. Journal of Financial and Quantitative Analysis, 2(51), pp. 541-587.
• FEUNOU, B., JAHAN-PARVAR, M. and TÉDONGAP, R. (2016). Which Parametric Model for Conditional Skewness? The European Journal of Finance, 22(13), pp. 1237-1271.
• TÉDONGAP, R. (2015). Consumption Volatility and the Cross-Section of Stock Returns. Review of Finance (ex European Finance Review), 19(1), pp. 367-405.
• BONOMO, M., GARCIA, R., MEDDAHI, N. and TÉDONGAP, R. (2015). The Long and the Short of the Risk-Return Tradeoff. Journal of Econometrics, 187(2), pp. 580-592.
• FEUNOU, B., FONTAINE, J.S., TAAMOUTI, A. and TÉDONGAP, R. (2014). Risk Premium, Variance Premium and the Maturity Structure of Uncertainty. Review of Finance (ex European Finance Review), 18(1), pp. 219-269.
• FEUNOU, B., JAHAN-PARVAR, M. and TÉDONGAP, R. (2013). Modeling Market Downside Volatility. Review of Finance (ex European Finance Review), 17(1), pp. 443-481.
• FEUNOU, B. and TÉDONGAP, R. (2012). A Stochastic Volatility Model with Conditional Skewness. Journal of Business and Economic Statistics, 30(4), pp. 576-591.
• BONOMO, M., GARCIA, R., MEDDAHI, N. and TÉDONGAP, R. (2011). Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices. Review of Financial Studies, 24(1), pp. 82-122.

• FEUNOU, B., LOPEZ ALIOUCHKIN, R., TÉDONGAP, R. and XU, P. (2019). Loss Uncertainty, Gain Uncertainty, and Expected Stock Returns. In: 2019 Financial Econometrics Conference.
• GUIOTTO, P., RONCORONI, A. and TÉDONGAP, R. (2019). Optimal Portfolio Insurance and Allocation. In: Nonstandard Investment Choice.
• FEUNOU, B., LOPEZ ALIOUCHKIN, R., TÉDONGAP, R. and XU, P. (2018). Variance Premium, Downside Risk, and Expected Stock Returns. In: 2018 Financial Management Association (FMA) European Conference.
• FEUNOU, B., LOPEZ ALIOUCHKIN, R., TÉDONGAP, R. and XU, P. (2018). Variance Premium, Downside Risk, and Expected Stock Returns. In: 2018 Frontiers of Factor Investing.
• FEUNOU, B., LOPEZ-ALIOUCHKIN, R., TÉDONGAP, R. and XU, L. (2017). A Cross-Sectional Analysis of the Variance Risk Premium. In: 11th International Conference on Computational and Financial Econometrics.
• AUGUSTIN, P. and TÉDONGAP, R. (2017). Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets. In: Energy and Commodity Finance Conference 2017.
• AUGUSTIN, P. and TÉDONGAP, R. (2017). Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets. In: 2017 Africa Meeting of the Econometric Society.
• AUGUSTIN, P. and TÉDONGAP, R. (2016). Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets. In: 14th Paris December Finance 2016 Meeting.
• AUGUSTIN, P. and TÉDONGAP, R. (2016). Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets. In: 2nd BI-SHoF Conference in Asset Pricing and Financial Econometrics.
• AUGUSTIN, P. and TÉDONGAP, R. (2016). Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets. In: 33rd International Conference of the French Finance Association.
• DEDES, V. and TÉDONGAP, R. (2016). The Economic Value of TIPS Arbitrage Mispricing. In: 2016 Energy and Commodity Finance Conference.

• 2021 International Financial Management ( New Economic School Russia)
• 2018 Downside Risk in Asset Pricing and Portfolio Choice ( University of Dschang Cameroon)
• 2017 Downside Risk in Asset Pricing and Portfolio Choice ( Goethe University Frankfurt Germany)
• 2017 - Present : Financial Markets (Grande Ecole - Master in Management ESSEC Business School France)
• 2016 - Present : Advanced Derivatives Markets (Advanced Financial Modeling) (Master in Finance ESSEC Business School France)
• 2016 - Present : Asset Pricing I (PHD (MS BAR + PhD) ESSEC Business School France)
• 2016 - Present : Financial Markets (Master in Finance ESSEC Business School France)
• 2016 Financial Markets (Grande Ecole - Master in Management ESSEC Business School France)
• 2016 Stochastic Processes and their Applications in Asset Pricing (PHD (MS BAR + PhD) ESSEC Business School France)
• 2010 - 2015 : Empirical Asset Pricing (PHD (MS BAR + PhD) Stockholm School of Economics Sweden)
• 2009 - 2015 : Quantitative Modeling of Asset Prices ( Stockholm School of Economics Sweden)
• 2007 - 2009 : Discrete Time Asset Pricing ( Stockholm School of Economics Sweden)
• 2006 Techniques of Economic Analysis ( Université de Montréal Canada)
• 2004 Introductory Macroeconomics ( Université de Montréal Canada)

• 2019 - 2020 : The Role of Financial Markets in Ecological Transition (Apprenticeship tutoring)
• 2016 - 2017 : Overnight Investment: Risk and Reward (Mentoring)
• 2015 - 2016 : Prospect Theory (Mentoring)
• 2014 - 2015 : Investor Sentiment and Development of Strategic Emerging Industries in Shenzhen (Supervision of dissertation)
• 2014 - 2015 : Market Reaction to SEOs by European Banks in the Recent Financial Crisis (Supervision of dissertation)
• 2014 - 2015 : Market reactions to early called elections: A study investigating the announcement impact of snap elections on the European equity index market in 2014 (Supervision of dissertation)
• 2012 - 2013 : Derivative Market: Efficient Option Pricing Models and Predictive Informational Content (Supervision of dissertation)
• 2012 - 2013 : Long-run expected consumption and volatility risk and the cross-section of asset returns (Supervision of dissertation)
• 2012 - 2013 : Think on the Downside: Multifactor Asset Pricing Models Based on Downside Risk and their Performance Relative to the CAPM, FF3F and Momentum (Supervision of dissertation)
• 2011 - 2012 : Anticipated Shocks and their Impact on Expectations – An Event Study of the Impact of TIPS auctions on ZCIIS (Supervision of dissertation)
• 2011 - 2012 : Idiosyncratic Higher-Order Moments and the Cross-Section of Stock Returns (Supervision of dissertation)
• 2011 - 2012 : Inter-Asset Class Volatility – A Forward Looking Measure Rooted in Investors’ Realities (Supervision of dissertation)
• 2011 - 2012 : Parliamentary Elections Impact on Stock Market Returns – An event study investigating the impact of European parliamentary elections on short-term stock market performance (Supervision of dissertation)
• 2011 - 2012 : The Implied Probability Distribution – A Study of Swedish Equity Index Options (Supervision of dissertation)
• 2011 - 2012 : Total Performance Implications of Divestitures Depending on Timing in Divestiture Waves (Supervision of dissertation)
• 2010 - 2011 : Financial Information Relevance with Stock Return and Return Disparity Study: Case for China A-H Dual-listed Companies (Supervision of Research UV)
• 2010 - 2011 : Safe Haven Assets – the Role of Precious Metals in Preserving Wealth (Supervision of dissertation)
• 2010 - 2011 : Wide Spread Trade – Can Terms of Trade Explain Sovereign CDS Spreads? (Supervision of dissertation)
• 2009 - 2010 : Can the Endogenization of Regimes Lead to Improved Forecasting of the UIP? (Supervision of dissertation)
• 2009 - 2010 : Downside Risk, Upside Uncertainty and Portfolio Selection (Supervision of dissertation)
• 2009 - 2010 : Style Timing in the European Equity Markets – Recursive Modeling for Directional Predictions of Size and Value Premiums (Supervision of dissertation)
• 2008 - 2009 : Analyst Recommendations across Sectors – Analyzing the performance of analyst coverage of stocks publicly traded on the Stockholm Stock Exchange (Supervision of dissertation)
• 2008 - 2009 : Are Financial Ratios Rational? – A Study on the Swedish Market (Supervision of dissertation)
• 2008 - 2009 : Multifactor Stochastic Volatility Models – A Practical Approach (Supervision of dissertation)
• 2007 - 2008 : Effects of Allegations of Corporate Misconduct on Share Value – A Study on the Swedish Market (Supervision of dissertation)