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Publications of Christian Julliard

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Academic journals

Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models

Journal of Finance, 78 (1), 487-557

February 2023
Svetlana Bryzgalova
Jiantao Huang
Christian Julliard

Academic journals

Network Risk and Key Players: A Structural Analysis of Interbank Liquidity

Journal of Financial Economics, 141(3), 831-859

September 2021
Edward Denbee
Christian Julliard
Ye Li
Kathy Yuan

Opinion Pieces

How we learned to stop counting cases and worry about network effects instead

The commuter hub was key to the spread of COVID-19 in London. The authors of the article estimate it contributed to over 42% of all London cases. When...

November 2020
Christian Julliard
Ran Shi
Kathy Yuan

Discussion Papers

The Spread of COVID-19 in London: Network Effects and Optimal Lockdowns

We generalise a stochastic version of the workhorse SIR (Susceptible-Infectious- Removed) epidemiological model to account for spatial dynamics...

October 2020
DP 817
Christian Julliard
Ran Shi
Kathy Yuan

Discussion Papers

Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models

We propose a novel, and simple, Bayesian estimation and model selection procedure for crosssectional asset pricing. Our approach, that allows for both...

January 2020
DP 791
Svetlana Bryzgalova
Jiantao Huang
Christian Julliard

Discussion Papers

Consumption in Asset Returns

Consumption dynamics are hard to measure accurately in the data, yet they are the crucial ingredient of macro-finance asset pricing models. The...

January 2020
DP 790
Svetlana Bryzgalova
Christian Julliard

Academic journals

What Is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models

The Review of Financial Studies, Volume 30, Issue 2, Pages 442–504.

February 2017
Anisha Ghosh
Christian Julliard
Alex P Taylor

Discussion Papers

An Information Based One-Factor Asset Pricing Model

Given a set of asset returns, an information-theoretic approach is used to estimate non-parametrically the pricing kernel to price the given cross...

April 2016
DP 749
Anisha Ghosh
Christian Julliard
Alex P Taylor

Academic journals

Human capital and international portfolio diversification: A reappraisal

Journal of International Economics, Volume 99, Supplement 1, Pages S78-S96.

March 2016
Lorenzo Bretscher
Christian Julliard
Carlo Rosa

Discussion Papers

Human Capital and International Portfolio Diversification: A Reappraisal

We study the implications of human capital hedging for international portfolio choice. First, we document that, at the household level, the degree of...

October 2015
Lorenzo Bretscher
Christian Julliard
Carlo Rosa

Discussion Papers

Information Asymmetries, Volatility, Liquidity and the Tobin Tax

Information asymmetries and trading costs, in a financial market model with dynamic information, generate a self-exciting equilibrium price process...

December 2015
DP 748
Albina Danilova
Christian Julliard

Discussion Papers

Information Asymmetries, Volatility, Liquidity, and the Tobin Tax

We develop a tractable model in which trade is generated by asymmetry in agents' information sets. We show that, even if news are not generated by a...

November 2014
Albina Danilova
Christian Julliard

Discussion Papers

Network Risk and key Players: A Structural Analysis of Interbank Liquidity

We model banks’ liquidity holding decision as a simultaneous game on an interbank borrowing network. We show that at the Nash equilibrium, the...

October 2014
DP 734
Edward Denbee
Christian Julliard
Ye Li
Kathy Yuan

Discussion Papers

What is the Consumption-CAPM missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models

We study a broad class of asset pricing models in which the stochastic discount factor (SDF) can be factorized into an observable component and a...

October 2011
DP 691
Anisha Ghosh
Christian Julliard
Alex P Taylor

Discussion Papers

Can rare events explain the equity premium puzzle?

Probably not. First, allowing the probabilities attached to the states of the economy to differ from their sample frequencies, the Consumption-CAPM is...

March 2008
DP 610
Christian Julliard
Anisha Ghosh

Discussion Papers

Money Illusion and Housing Frenzies

A reduction in inflation can fuel run-ups in housing prices if people suffer from money illusion. For example, investors who decide whether to rent or...

July 2006
DP 579
Markus K. Brunnermeier
Christian Julliard

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Carbon Premium: Is It There?

Signed Option Trading and Stock Market Anomalies

Pricing Event Risk: Evidence from Concave Implied Volatility ...

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Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadr ...

The illusion of control: why the financial sector is more vu ...

Systemic risk and digital assets

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