Christian Julliard

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

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

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

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

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

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

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

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...