// Julien Cujean, University of Bern //

Link to my Curriculum Vitae

Academic Appointments

University of Bern, Associate Professor

CEPR, Research Affiliate

Research Interests

"The capitalist mystery par excellence: that of price formation" (M. Houellebecq, La carte et Le territoire, p.93)

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 Low-Minus-High Portfolio and the Factor Zoo, November 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.

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.

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.