Sebastien Betermier

   Sebastien Betermier

     Associate Professor of Finance

       Desautels Faculty of Management
      1001 Sherbrooke St West
      Montreal, QC H3A 1G5
      (514) 398 3762
      sebastien.betermier at


Research Interests

Asset Allocation, Asset Pricing, Household Finance, Real Estate, Human Capital.

My research seeks to
 understand the relationships between risk and return and how these drive investors in their investment decisions. My work is both theoretical and empirical and specializes in economies like Scandinavia that capture extremely detailed information on the portfolio holdings and socio-economic characteristics of large population samples. The comprehensiveness of this data allows us to see the sources of risk that investors face and thereby better understand what drives their investment decisions. Ultimately, I would like to design careful and efficient guidelines for individuals and professionals alike to manage their wealth. 


Who are the value and growth investors? (2017), with Laurent Calvet and Paolo Sodini                            The Journal of Finance, Vol. 72:1, 5-46 (lead article)  -- Appendix

In the past century the financial markets have exhibited a remarkable anomaly where the returns from value stocks exceed the returns from growth stocks. To give an idea of how much value stocks outperform growth stocks, the return differential (value premium) is 4-6% on average per year. This is comparable to the risk compensation of the entire stock market. The outperformance of value stocks is one of the most enigmatic puzzles in finance because it absolutely goes against standard asset pricing theory which predicts that value stocks will earn lower returns because they are less volatile. In this paper, we analyze the determinants of value and growth investing for the first time and provide a clearer understanding of what is driving the value premium anomaly.

Hedging labor income risk (2012), with Thomas Jansson, Christine Parlour, and Johan Walden           Journal of Financial Economics, Vol. 105:3, 622-639 -- Appendix 

Labor income represents the households' greatest source of wealth. Because of this, we expect cyclical stocks to yield high returns to compensate for the fact that they will suffer large losses during economic recessions when jobs are on the line. Surprisingly, empirical studies have struggled to discover convincing evidence that labor income risk is as important in financial markets as we think. In this paper we contribute clear evidence that labor income risk does indeed have an impact on households' investment decisions.


Working Papers

The predominance of real estate in the household portfolio (2016), with Laurent Barras -- Appendix

Standard portfolio theory advocates a well-diversified mix of assets since diversification buffers the risk that each asset poses. It is perplexing then that households always behave in contrast to this theory by selecting portfolios that are heavily skewed toward real estate. In this paper we explore this enigmatic investment behavior and demonstrate that real estate has unique investment value that corresponds to its disproportionate size in household portfolios.