Christian Julliard

London School of Economics & Political Science (LSE) - Department of Finance

United Kingdom

Centre for Economic Policy Research (CEPR)

London

United Kingdom

SCHOLARLY PAPERS

9

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1,339

SSRN CITATIONS
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Top 3,150

in Total Papers Citations

69

CROSSREF CITATIONS

273

Scholarly Papers (9)

1.

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

AFA 2012 Chicago Meetings Paper
Number of pages: 43 Posted: 19 Mar 2011
Anisha Ghosh, Christian Julliard and Alex P. Taylor
Carnegie Mellon University, London School of Economics & Political Science (LSE) - Department of Finance and Alliance Manchester Business School
Downloads 335 (91,500)
Citation 22

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Entropy Bounds, Multiplicative Decomposition of Pricing Kernel

2.
Downloads 303 (102,174)
Citation 40

Can Rare Events Explain the Equity Premium Puzzle?

Number of pages: 49 Posted: 13 Mar 2008
Christian Julliard and Anisha Ghosh
London School of Economics & Political Science (LSE) - Department of Finance and London School of Economics & Political Science (LSE)
Downloads 297 (103,914)
Citation 17

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Rare Events, Rare Disasters, Equity Premium Puzzle, Generalized Empirical Likelihood, Semi-parametric Bayesian Inference, Calibration, Cross-Section of Asset Returns, Peso Phenomenon

Can Rare Events Explain the Equity Premium Puzzle?

CEPR Discussion Paper No. DP8899
Number of pages: 53 Posted: 04 Apr 2012
Anisha Ghosh and Christian Julliard
Carnegie Mellon University and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 6 (650,137)
Citation 1
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Calibration, Cross-Section of Asset Returns, Equity Premium Puzzle, Generalized Empirical Likelihood, Peso Phenomenon, Rare Disasters, Rare Events, Semi-parametric Bayesian Inference

3.

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

Fisher College of Business Working Paper No. 2018-03-011, Charles A. Dice Center Working Paper No. 2018-11, Columbia Business School Research Paper No. 17-6
Number of pages: 63 Posted: 14 Dec 2016 Last Revised: 20 Sep 2018
Edward Denbee, Christian Julliard, Ye Li and Kathy Yuan
Bank of England, London School of Economics & Political Science (LSE) - Department of Finance, Ohio State University and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 193 (160,803)
Citation 23

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Liquidity, Interbank Market, Network, Systemic Risk, Strategic Complementarity, Amplification Mechanism

Consumption Risk and the Cross-Section of Expected Returns

Number of pages: 48 Posted: 03 Jan 2005
Christian Julliard and Jonathan A. Parker
London School of Economics & Political Science (LSE) - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 185 (166,965)
Citation 29

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Consumption Capital Asset Pricing Model, Expected returns, Equity

Consumption Risk and the Cross Section of Expected Returns

Journal of Political Economy, Vol. 113, pp. 185-222, February 2005
Posted: 13 Jan 2005
Christian Julliard and Jonathan A. Parker
London School of Economics & Political Science (LSE) - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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5.

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

Number of pages: 79 Posted: 04 Dec 2019
Svetlana Bryzgalova, Jiantao Huang and Christian Julliard
London Business School - Department of Finance, London School of Economics & Political Science (LSE) - Department of Finance and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 81 (312,364)

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Cross-Sectional Asset Pricing, Factor Models, Model Evaluation, Multiple Testing, Data Mining, P-Hacking, Bayesian Methods

6.

A Comparison of International Residential Housing Risk Premia

Number of pages: 20 Posted: 08 Jul 2011
Grace Wong Bucchianeri and Christian Julliard
University of Pennsylvania - Real Estate Department and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 77 (319,461)

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International housing markets, Housing risk premium, politics, zoning

7.
Downloads 75 (324,376)
Citation 94

Money Illusion and Housing Frenzies

NBER Working Paper No. w12810
Number of pages: 48 Posted: 05 Jan 2007 Last Revised: 18 May 2015
Christian Julliard and Markus K. Brunnermeier
London School of Economics & Political Science (LSE) - Department of Finance and Princeton University - Department of Economics
Downloads 71 (338,247)
Citation 2

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Money Illusion and Housing Frenzies

CEPR Discussion Paper No. DP6183
Number of pages: 50 Posted: 20 May 2008
Markus K. Brunnermeier and Christian Julliard
Princeton University - Department of Economics and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 4 (665,285)
Citation 4
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Behavioural finance, housing, inflation illusion, interest rate, money illusion, mortgages, real estate

Money Illusion and Housing Frenzies

The Review of Financial Studies, Vol. 21, Issue 1, pp. 135-180, 2008
Posted: 26 Jun 2008
Markus K. Brunnermeier and Christian Julliard
Princeton University - Department of Economics and London School of Economics & Political Science (LSE) - Department of Finance

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8.

Consumption Risk and Cross-Sectional Returns

NBER Working Paper No. w9538
Number of pages: 46 Posted: 13 Mar 2003 Last Revised: 31 Oct 2010
Christian Julliard and Jonathan A. Parker
London School of Economics & Political Science (LSE) - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 47 (407,904)
Citation 1

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9.

What Drives Repo Haircuts? Evidence from the UK Market

Number of pages: 50 Posted: 22 Aug 2019
London School of Economics & Political Science (LSE) - Department of Finance, Bank of England, Pacific Investment Management Company (PIMCO), London School of Economics & Political Science, Department of Finance and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 43 (422,754)

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repurchase agreement, systemic risk, repo market, margin, haircut, network analysis