// Julien Cujean, R. H. Smith, Maryland //

Link to my Curriculum Vitae

Research Interests

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

Working Papers

Disagreement and Predictability over the Business Cycle, March 2014

(with Michael Hasler) Heterogeneous models lead to an asymmetric term structure of disagreement whereby returns predictability is concentrated in recessions; returns feature times-series momentum in bad times and a momentum strategy may crash when the market rebounds.

Information Percolation, Momentum, and Reversal, January 2014, submitted

[Slides]

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(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

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(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]

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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

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(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

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