Julien Cujean

Ecole Polytechnique Fédérale de Lausanne

c/o University of Geneve

40, Bd du Pont-d'Arve

1211 Geneva, CH-6900

Switzerland

SCHOLARLY PAPERS

6

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1,787

SSRN CITATIONS
Rank 21,528

SSRN RANKINGS

Top 21,528

in Total Papers Citations

28

CROSSREF CITATIONS

18

Scholarly Papers (6)

1.
Downloads 801 ( 43,151)
Citation 11

The Lost Capital Asset Pricing Model

Number of pages: 88 Posted: 25 Feb 2017 Last Revised: 03 Dec 2021
Daniel Andrei, Julien Cujean and Mungo Ivor Wilson
McGill University, Ecole Polytechnique Fédérale de Lausanne and University of Oxford - Said Business School
Downloads 801 (42,690)
Citation 13

Abstract:

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The Low-Minus-High Portfolio and the Factor Zoo

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 47 Posted: 07 May 2019 Last Revised: 19 Nov 2019
Daniel Andrei, Julien Cujean and Mathieu Fournier
McGill University, Ecole Polytechnique Fédérale de Lausanne and HEC Montreal
Downloads 290 (145,404)

Abstract:

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CAPM, factor zoo, anomalies

3.

Asymmetric Information and Inventory Concerns in Over-the-Counter Markets

Number of pages: 33 Posted: 10 Jul 2014 Last Revised: 20 Nov 2015
Julien Cujean and Remy Praz
Ecole Polytechnique Fédérale de Lausanne and Copenhagen Business School - Department of Finance
Downloads 286 (148,285)
Citation 14

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Over-the-Counter Markets, Asymmetric Information, Inventory Concerns

4.

Information Percolation, Momentum and Reversal

Journal of Financial Economics (JFE), Vol. 123, 2017
Number of pages: 90 Posted: 30 Oct 2010 Last Revised: 25 Mar 2017
Daniel Andrei and Julien Cujean
McGill University and Ecole Polytechnique Fédérale de Lausanne
Downloads 212 (198,350)
Citation 22

Abstract:

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Asset pricing; Momentum; Information percolation; Equilibrium

5.

Global Public Signals, Heterogeneous Beliefs, and Stock Markets Comovement

22nd Australasian Finance and Banking Conference 2009
Number of pages: 36 Posted: 20 Aug 2009 Last Revised: 10 Jul 2010
Daniel Andrei and Julien Cujean
McGill University and Ecole Polytechnique Fédérale de Lausanne
Downloads 106 (345,273)

Abstract:

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co-movement, home bias

6.

Information Percolation, Momentum, and Reversal

Number of pages: 63 Posted: 01 Nov 2014
Daniel Andrei and Julien Cujean
McGill University and Ecole Polytechnique Fédérale de Lausanne
Downloads 92 (378,255)
Citation 4

Abstract:

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