Employee Profile

Bruno Gerard

Professor

Department of Finance

Image of Bruno Gerard

Biography

Dr. Gerard is primarily interested in empirical asset pricing and portfolio management, both in an international and a single country context as well as in issues of financial market integration and contagion. He has also written on the security issuance process (seasoned equity issues and Treasury auctions), price manipulation as well as corporate asset valuations and spin-offs.

His current research investigates how inflation and interest rate risk affects security returns and inter-temporal asset allocation. His other research projects investigate how industry structure and currency risk affect the returns of domestic and international portfolios, as well as the impact of the adoption of the European single currency on international equity markets and portfolio flows.

Dr. Gerard's research has been published in the Journal of Finance, Journal of Financial Economics and the Journal of Banking and Finance among others, and he is an associate editor of Finance Letters.

In addition to the Norwegian School of Management, he has also taught at the University of Michigan Business School, the Anderson School at the University of California, Los Angeles (UCLA), the Marshall School at the University of Southern California (USC) and at Louisiana State University (LSU). He has consulted on asset allocation and volatility issues with several institutions, including European Central Bank and the Norwegian Central Bank. Prior to his academic career, he practiced commercial, security and banking law as a member of the bar of Brussels, Belgium.

Area of Expertise

Publications

Gerard, Bruno (2019)

ESG and Socially Responsible Investment: A Critical Review

Beta, 33(1) , s. 61-83. Doi: https://doi.org/10.18261/issn.1504-3134-2019-01-05 - Full text in research archive

We review the literature on ESG and Socially Responsible Investment with a special focus on fixed-income investments. Most of the academic research is focused on the link between corporate CSR and ESG activities, investors’ SR engagement and stock returns and firm value. Very few studies examine the link between firm ESG policies and bond prices, risks and returns, and the performance of SR FI funds. The studies linking CSR to firm value suggest that higher CSR leads to higher corporate value, higher equity returns, and lower risk, enhancing the general collateral value of the firm. The FI income studies provide mixed evidence about the link between issuer ESG scores and bond prices and return characteristics: the bonds of issuers with both excellent and very poor ESG behavior tend to underperform the bonds of issuers with neither very strong nor very poor ESG scores. Lastly, while issuers’ ESG excellence may have led to both their equity and debt outperforming those of poorer ESG issuers in the 1990s, this out-performance halved in the first part of the 2000s and completely disappeared after the financial crisis. Markets seem now to largely price ESG performance into equity and bond prices.

Gerard, Bruno & Eiling, Esther (2015)

Emerging Equity Markets Comovements: Trends and Macroeconomics Fundamentals

Review of Finance, 19(4) , s. 1543-1585. Doi: https://doi.org/10.1093/rof/rfu036

Cappiello, Lorenzo; Gerard, Bruno, Kadareja, Arjan & Manganelli, Simone (2014)

Measuring comovements by regression quantiles

Journal of Financial Econometrics, 12(4) , s. 645-678. Doi: https://doi.org/10.1093/jjfinec/nbu009

Eiling, Esther; Gerard, Bruno & Roon, Frans de (2012)

Euro-zone equity returns: country versus industry effects

Review of Finance, 16(3) , s. 755-798. Doi: https://doi.org/10.1093/rof/rfq034

Eiling, Esther; Gerard, Bruno, Hillion, Pierre & Roon, Frans de (2012)

International portfolio diversification: Currency, industry and country effects revisited

Journal of International Money and Finance, 31(5) , s. 1249-1278. Doi: https://doi.org/10.1016/j.jimonfin.2012.01.015

We examine the relative importance of country, industry, world market and currency risk factors for international stock returns. Our approach focuses on testing the mean-variance efficiency of the various factor portfolios. An unconditional analysis does not detect significant differences between country, industry and world portfolios, nor any role for currency risk factors. However, when we allow expected returns, volatilities and correlations to vary over time, we find that equity returns are mainly driven by global industry and currency risk factors. We propose a novel test to evaluate the relative benefits of alternative investment strategies and find that including currencies is critical to take full advantage of the diversification benefits afforded by international markets.

Gerard, Bruno & Santis, Roberto De (2009)

International portfolio reallocation: diversification benefits and European monetary union

European Economic Review, 53(8) , s. 1010-1027. Doi: https://doi.org/10.1016/j.euroecorev.2009.01.003

Gerard, Bruno; Cappiello, Lorenzo, Manganelli, Simone & Kadareja, Arjan (2007)

Equity Market integration of the new EU member states

Financial Development, Integration And Stability: Evidence form Central, Eastern adn South-Eastern Europe,

Gerard, Bruno & Wu, Gengshu (2006)

How important is intertemporal risk for asset allocation?

The journal of business, 79(4) , s. 2203-2241.

We test a conditional asset pricing model that includes long-term interest rate risk as a priced factor for four asset classes-large stocks, small stocks, and long-term Treasury and corporate bonds. We find that the interest risk premium is the main component of the risk premiums for bond portfolios, while representing a small fraction of total risk premiums for equities. This suggests that stocks, especially small stocks, are hedges against variations in the investment opportunity set. We estimate that, at average market volatility levels, investors earn annual premiums between 3.6% during expansions and 5.8% during recessions for bearing intertemporal risk alone.

Santis, Giorgio De; Gerard, Bruno & Hillion, Pierre (2003)

The Relevance of Currency Risk in the EMU

Journal of Economics and Business, 55, s. 427-462.

Gerard, Bruno; Thanyalakpar, Kessara & Batten, John (2003)

Are East Asian Markets Integrated? Evidence from the ICAPM

Journal of Economics and Business, 55, s. 585-607.

Gerard, Bruno (1997)

International Asset Pricing and Portfolio Diversification with time-varying risk

Journal of Finance, 52, s. 1881-1912.

Gerard, Bruno (2015)

Alberta and Norway, two oil powers, world apart

[Journal]

Gerard, Bruno; Kjenstad, Einar, Bysveen, Fredrik, Rosef, Bård Haugland, Veiteberg, Vegard & Thomsen, Jan (2012)

NTNU-studenter fikk pris fra Oljefondet

[Internet]

Gerard, Bruno; Kjenstad, Einar, Bysveen, Fredrik, Rosef, Bård Haugland, Veiteberg, Vegard & Thomsen, Jan (2012)

NTNU-studenter fikk pris fra Oljefondet

[Journal]

Academic Degrees
Year Academic Department Degree
1991 Anderson School of Management, UCLA Ph.D.
1983 Louisiana State University Master of Business Administration
Work Experience
Year Employer Job Title
2009 - Present BI Norwegian Business School DNB Chair professor in asset management
2001 - Present BI Norwegian Business School Professor of Finance
2005 - 2008 Mellon Capital Management Director, Currency Strategies
2004 - 2004 California Institute of Technology Visiting Professor
2000 - 2001 Ross School of Business, University of Michigan Visiting Asst. Professor of Finance
1999 - 2000 Anderson School of Management - UCLA Visiting Asst. Professor of Finance
1996 - 1999 Marshall School of Business, USC Assistant professor of finance
1995 - 1996 Anderson School of Management - UCLA Visiting Asst. Professor of Finance
1991 - 1995 Marshall School of Business, USC Assistant professor of finance
1989 - 1991 Marshall School of Business, USC Instructor in Finance
1988 - 1989 Anderson School of Management - UCLA Teaching Assistant
1985 - 1988 Anderson School of Management - UCLA Research Assistant
1985 - 1985 Anderson School of Management - UCLA Teaching Assistant
1984 - 1984 Orsa School of Business - LSU Instructor
1983 - 1983 Orsa School of Business - LSU Teaching Assistent
1983 - 1983 Independent law practice Lawyer accredited to brussels bar
1981 - 1982 Taquet Wantier LawFirm Lawyer accredited to brussels bar

BI Business Review articles: