// 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

Asymmetric Information and Inventory Concerns in Over-the-Counter Markets, November 2013

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

Information Percolation, Momentum, and Reversal, September 2013, submitted

[BibTeX]

[download pdf]

(with Daniel Andrei) Information percolation among a population of investors operating in centralized markets produces momentum in stock returns. A rumor may thereby propagate and lead to reversal when it disappears.

The Social Dynamics of Performance, October 2012

[BibTeX]

[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.

Fear of Recessions, Heterogenous Beliefs, and Stock Price Under/Over-Reaction, October 2011

[BibTeX]

[download pdf]

(with Michael Hasler) Large difference of opinion induced by fear of recessions is amenable to significant predictability in stock returns at the beginning and at the end of bad economic episodes.

Global Public Signals, Heterogenous Beliefs and Stock Markets Co-movement, February 2010

[BibTeX]

[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.