// Julien Cujean, University of Bern //

Link to my Curriculum Vitae

Academic Appointments

University of Bern, Associate Professor

CEPR, Research Affiliate

Research Interests

Equilibrium Asset Pricing, Information Economics

Publications

Information Percolation, Momentum, and Reversal, Journal of Financial Economics, 2017

[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, 2017

[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.

Idea Sharing and the Performance of Mutual Funds, Journal of Financial Economics, forthcoming

[Slides]

[download pdf]

Idea sharing causes the statistical significance of performance, the separation of skill from luck and performance persistence to concentrate in the worst-performing funds.

Working Papers

The Lost Capital Asset Pricing Model, R & R at the Review of Economic Studies, August 2018

[Slides]

[download pdf]

(with Daniel Andrei and Mungo Wilson) In a rational-expectations economy in which markets are not informationally efficient, the CAPM holds but is rejected empirically―a classic Type I error.

Knowledge Cycles and Corporate Investment, July 2019

[Slides]

[download pdf]

(with Cecilia Bustamante and Laurent Fresard) The trade-off between experimenting with a technology and exploring new technologies creates endogenous knowledge cycles, at early stages of which investment is abnormally low.

The Low-Minus-High Portfolio and the Factor Zoo, April 2019

[Slides]

[download pdf]

(with Daniel Andrei and Mathieu Fournier) A single long-short portfolio will always explain, together with the market, 100% of cross-sectional variation in returns. The empiricist may uncover an infinity of proxies for this portfolio, thus unleashing the factor zoo.

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

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(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.