// 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

Why Does Return Predictability Concentrate in Bad Times?, November 2014

(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, January 2015

[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

[Slides]

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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.