Piotr Orłowski

Associate Professor, Department of Finance

Contact information

HEC Montréal
3000, chemin de la Côte-Sainte-Catherine
Montréal (Québec)
Canada H3T 2A7

Email : piotr.orlowski@hec.ca
Phone : 514 340-3828
Secretary: 514 340-6823
Fax : n/a
Office : 4.215

Personal page

Other title(s)

Forthcoming

Education

Ph. D. (économie), Università della Svizzera italiana
Ph. D. (finance), Swiss Finance Institute
M. A., Warsaw School of Economics

Current research

Forthcoming

This publication selection covers the last five years.

Journal articles (5)

ORLOWSKI, Piotr, SCHNEIDER, Paul, TROJANI, Fabio; « On the Nature of (Jump) Skewness Risk Premia », Management Science, vol. 70, no 2, 2024, p. 1154-1174.

FOURNIER, Mathieu, JACOBS, Kris, ORLOWSKI, Piotr; « Modeling Conditional Factor Risk Premia Implied by Index Option Returns », Journal of Finance, 2024 (status : online).

ALMEIDA, Caio, ARDISON, Kym, FREIRE, Gustavo, GARCIA, René, ORLOWSKI, Piotr; « High-Frequency Tail Risk Premium and Stock Return Predictability », Journal of Financial and Quantitative Analysis, 2024 (status : online).

AUGUSTIN, Patrick, BRENNER, Menachem, GRASS, Gunnar, ORLOWSKI, Piotr, SUBRAHMANYAM, Marti G.; « Informed options strategies before corporate events », Journal of Financial Markets, vol. 63, 2023, p. 1-34.

ORLOWSKI, Piotr; « Informative option portfolios in filter design for option pricing models », Quantitative Finance, vol. 21, no 6, 2021, p. 945-965.

This selection of supervision activities covers the last five years.

Master's thesis direction – MSc in Management (5)

Conditional Semi-Parametric Bounds on Pricing Kernel Dynamics, by Jalpa Mishra
August 2023

Corporate Diversification and Capital Structure: Evidence from Spin-offs, by William Gallego Blandon
January 2022

In codirection with : SOKOLOVSKI, Valeri
Explaining the Returns to the Carry Trade: Currency Crash Risk and Equity Tail Risk, by Maya Bandia
September 2021

Modélisation de la structure de la variance et du coefficient d'asymétrie d'options sur indice à l'aide d'un modèle GARCH, by Marc-André Lecours
March 2021

Supervised project supervision – MSc in Management (14)

Examining the Role of Leverage in the Cross-Section of Equity Returns , by Sahel Hajivand
March 2024

Volatilités du pétrole et des devises : une approche de couverture dynamique , by Rayhane Belkhaoui
March 2024

An Analysis of SPAC Returns Through the Lens of Factor Models , by Loïc Wandege
October 2023

How Shocks to Financial Intermediaries in Japan Influence Currency Carry Trade? , by Hanxin Tang
October 2023

Conditional Factor Modelling of VIX Futures Returns , by Maxime Gagnon
August 2023

Impact of volatile factor exposure on mutual fund performance , by Vasvi Malhotra
March 2023

In codirection with : FOURNIER, Mathieu
Exposition des options d'équité aux risques de variance systématique , by Hong Kun Zhang
January 2023

Enquête sur la résilience des prix boursiers des entreprises canadiennes face à des crises économiques mondiales : une étude de la pertinence des caractéristiques pré-chocs des entreprises , by Yvanne Korine Mopewou
September 2021

Analyzing stock market reactions to CEO tweets , by Dylan Bertus
September 2021

Étude d'événement : l'impact de la pandémie COVID-19 sur les revenus de l'activité de prêts de titres , by Camille Couture Gendron
March 2021

Évaluation de la performance des méthodes de pénalisation des portefeuilles , by Samuel Normandeau
March 2021

The efficiency and predictability of Canadian ETFs market , by Pan Yao
March 2021

Une approche par bootstrap pour l'analyse des alphas des fonds communs de placement canadiens , by Jahana Nayenka Jean-Jacques
January 2020