Julien Cujean

École 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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2,365

SSRN CITATIONS
Rank 18,884

SSRN RANKINGS

Top 18,884

in Total Papers Citations

56

CROSSREF CITATIONS

18

Scholarly Papers (6)

1.
Downloads 1,167 (36,233)
Citation 14

The Lost Capital Asset Pricing Model

Number of pages: 86 Posted: 25 Feb 2017 Last Revised: 21 Nov 2022
Daniel Andrei, Julien Cujean and Mungo Ivor Wilson
McGill University, École Polytechnique Fédérale de Lausanne and University of Oxford - Said Business School
Downloads 1,167 (35,749)
Citation 10

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CAPM, dispersed information, informational distance, cross-investors variation

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, École Polytechnique Fédérale de Lausanne and UNSW Business School
Downloads 344 (170,211)

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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
École Polytechnique Fédérale de Lausanne and Copenhagen Business School - Department of Finance
Downloads 336 (176,007)
Citation 13

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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 École Polytechnique Fédérale de Lausanne
Downloads 259 (230,599)
Citation 48

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 École Polytechnique Fédérale de Lausanne
Downloads 133 (417,283)

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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 École Polytechnique Fédérale de Lausanne
Downloads 126 (434,783)
Citation 4

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