Link to my Curriculum Vitae
Research Interests
Equilibrium Asset Pricing, Information Economics
Publication Information Percolation, Momentum, and Reversal, Journal of Financial Economics, forthcoming
[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, which generates price run-ups and reversals.
Working Papers Social Interactions and the Performance of Mutual Funds, August 2016
[Slides]
[download pdf]
Social interactions among fund managers cause the statistical significance of performance, the separation of skill from luck and performance persistence to concentrate in the worst-performing funds.
Why Does Return Predictability Concentrate in Bad Times?, May 2016, R & R at the Journal of Finance
[Slides]
[download pdf]
(with Michael Hasler) Countercyclical investors' disagreement causes stock return predictability to concentrate in bad times; a time-series momentum strategy crashes after sharp market rebounds.
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.
Global Public Signals, Heterogenous Beliefs and Stock Markets Co-movement, February 2010
[download pdf]
(with Daniel Andrei) A 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
4427 Van Munching Hall
College Park, MD 20742
Office: (301) 405-7707
Cell: (301) 458-5380
jcujean@rhsmith.umd.edu
