Link to my Curriculum Vitae


Research Interests
Asset Pricing, General Equilibrium, Information Economics, Liquidity, Frictions & Incomplete Markets


Working Papers
Why Does Return Predictability Concentrate in Bad Times?, November 2014
[Slides]
[download pdf]

(with Michael Hasler) Countercyclical investors' disagreement causes stock returns predictability to be concentrated in bad times; a time-series momentum strategy crashes after sharp market rebounds.

Information Percolation, Momentum, and Reversal, September 2014, R&R at the Review of Financial Studies
[Slides]
[download pdf]

(with Daniel Andrei) Word-of-mouth communication accelerates the information flow through prices and generates momentum in asset returns. Word-of-mouth communication can propagate a rumor and a price run-up, followed by reversals once the rumor subsides.

Asymmetric Information and Inventory Concerns in Over-the-Counter Markets, December 2013
[Slides]
[download pdf]

(with Remy Praz) Transparency increases inventory costs and reduces the incentives to provide liquidity on an OTC market.

The Social Dynamics of Performance, October 2012
[Slides]
[download pdf]

Social interactions among fund managers cause their performance not to persist. Social interactions do not keep fund managers from extracting large dollar rents, but cause managers to implement passive investment strategies for which they should not be rewarded.

Global Public Signals, Heterogenous Beliefs and Stock Markets Co-movement, February 2010
[download pdf]

(with Daniel Andrei) A slight misinterpretation of a global public signal generates significant co-movement in stock returns in international stock markets.

Dumas & Maenhout (2003) Central-Planning Approach: A Comment, April 2008
[download pdf]

A note that I wrote on the Dumas & Maenhout (2003) Central Planning Approach in Incomplete Markets.
















JULIEN CUJEAN
Robert H. Smith School of Business
University of Maryland
4466 Van Munching Hall
College Park, MD 20742
Office: (301) 405-7707
Cell: (301) 458-5380
jcujean@rhsmith.umd.edu