Link to my Curriculum Vitae
Research Interests
Equilibrium Asset Pricing, Information Economics
Publications 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.
Why Does Return Predictability Concentrate in Bad Times?, Journal of Finance, forthcoming
[Slides]
[internet appendix]
[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.
Working Papers The Lost Capital Asset Pricing Model, January 2017
[Slides]
[download pdf]
(with Daniel Andrei and Mungo Wilson) On announcement days, when investors learn about macroeconomic factors to which stocks are exposed, fundamental risk better explains variations in asset returns, clearing the "shoal of mud" that stands in the way of the CAPM.
Social Interactions and the Performance of Mutual Funds, November 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.
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
