Christian Julliard

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

United Kingdom

Centre for Economic Policy Research (CEPR)

London

United Kingdom

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

  • Centre for Economic Policy Research (CEPR)

SCHOLARLY PAPERS

15

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SSRN CITATIONS
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Top 3,030

in Total Papers Citations

340

CROSSREF CITATIONS

270

Scholarly Papers (15)

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1.

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

Number of pages: 61 Posted: 04 Dec 2019 Last Revised: 27 Mar 2024
Svetlana Bryzgalova, Jiantao Huang and Christian Julliard
London Business School - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 3,425 (6,763)
Citation 9

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

2.

The Corporate Bond Factor Zoo

UNSW Business School Research Paper Forthcoming
Number of pages: 79 Posted: 12 Oct 2023 Last Revised: 14 Nov 2023
Alexander Dickerson, Christian Julliard and Philippe Mueller
UNSW Business School, London School of Economics & Political Science (LSE) - Department of Finance and Warwick Business School Finance Group
Downloads 1,765 (19,288)

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Corporate bonds; Factor zoo; Asset pricing; Factor models; Bayesian methods.

3.

Consumption in Asset Returns

Number of pages: 136 Posted: 12 Mar 2021 Last Revised: 27 Jun 2024
Svetlana Bryzgalova, Jiantao Huang and Christian Julliard
London Business School - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 660 (77,693)
Citation 2

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Consumption Dynamics, Asset Returns, Consumption-Based Asset Pricing, Term Structure. JEL Classification Codes: E21, E27, G12, E43, C11

4.

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: 76 Posted: 14 Dec 2016 Last Revised: 17 Aug 2020
Edward Denbee, Christian Julliard, Ye Li and Kathy Yuan
Bank of England, London School of Economics & Political Science (LSE) - Department of Finance, University of Pennsylvania - Finance Department and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 505 (108,613)
Citation 26

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financial networks, liquidity, interbank market, payment systems, payment velocity, payment multiplier, key players, systemic risk

5.

What Drives Repo Haircuts? Evidence from the UK Market

Downloads 444 (126,553)
Citation 6

What Drives Repo Haircuts? Evidence from the UK Market

Number of pages: 55 Posted: 22 Aug 2019 Last Revised: 03 Feb 2023
Christian Julliard, Gabor Pinter, Karamfil Todorov and Kathy Yuan
London School of Economics & Political Science (LSE) - Department of Finance, Bank for International Settlements (BIS), Bank for International Settlements and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 341 (168,996)
Citation 5

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repurchase agreement, systemic risk, repo market, margin, haircut.

What Drives Repo Haircuts? Evidence from the UK Market

Bank of England Working Paper No. 985
Number of pages: 58 Posted: 22 Jul 2022
Christian Julliard, Gabor Pinter, Karamfil Todorov and Kathy Yuan
London School of Economics & Political Science (LSE) - Department of Finance, Bank of England, Bank for International Settlements and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 103 (499,858)
Citation 4

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Repurchase agreement, systemic risk, repo market, margin; haircut

6.

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
McGill University, London School of Economics & Political Science (LSE) - Department of Finance and Alliance Manchester Business School
Downloads 431 (131,090)
Citation 47

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Entropy Bounds, Multiplicative Decomposition of Pricing Kernel

7.

Can Rare Events Explain the Equity Premium Puzzle?

Downloads 376 (153,090)
Citation 59

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 370 (154,564)
Citation 23

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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
McGill University and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 6 (1,175,417)
Citation 21
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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

8.

Macro Strikes Back: Term Structure of Risk Premia and Market Segmentation

Number of pages: 116 Posted: 11 Apr 2024
Svetlana Bryzgalova, Jiantao Huang and Christian Julliard
London Business School - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 298 (196,521)

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Macro-finance, asset pricing, risk premia, linear factor models, Bayesian inference, term structures, market segmentation. JEL Classification Codes: C11, C58, E27, E44, G12, G17

9.

Consumption Risk and the Cross-Section of Expected Returns

Downloads 257 (228,566)
Citation 65

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 257 (227,360)
Citation 65

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Consumption Capital Asset Pricing Model, Expected returns, Equity

Consumption Risk and the Cross Section of Expected Returns

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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10.

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

Number of pages: 27 Posted: 04 Aug 2020 Last Revised: 22 Jun 2022
Svetlana Bryzgalova, Jiantao Huang and Christian Julliard
London Business School - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 199 (291,370)
Citation 1

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Cross-sectional asset pricing, factor models, model evaluation, multiple testing, data mining, p-hacking, Bayesian methods, shrinkage, SDF

11.

Money Illusion and Housing Frenzies

Downloads 134 (407,581)
Citation 113

Money Illusion and Housing Frenzies

NBER Working Paper No. w12810
Number of pages: 48 Posted: 05 Jan 2007 Last Revised: 02 Jan 2022
Christian Julliard and Markus K. Brunnermeier
London School of Economics & Political Science (LSE) - Department of Finance and Princeton University - Department of Economics
Downloads 130 (418,561)
Citation 16

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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 (1,198,474)
Citation 16
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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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12.

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

Number of pages: 52 Posted: 22 Oct 2020 Last Revised: 07 Feb 2023
Christian Julliard, Ran Shi and Kathy Yuan
London School of Economics & Political Science (LSE) - Department of Finance, University of Colorado Boulder - Department of Finance and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 127 (424,753)
Citation 4

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COVID-19, networks, key players, spatial modelling, SIR model

13.

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 127 (424,753)

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International housing markets, Housing risk premium, politics, zoning

14.

Consumption Risk and Cross-Sectional Returns

NBER Working Paper No. w9538
Number of pages: 46 Posted: 13 Mar 2003 Last Revised: 25 Jul 2022
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 68 (636,516)
Citation 1

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15.

The Network Drivers of Trade Currency Invoicing

Number of pages: 78
Tommaso Mancini Griffoli, Christopher Greiner, Christian Julliard and Kathy Yuan
International Monetary Fund (IMF), affiliation not provided to SSRN, London School of Economics & Political Science (LSE) - Department of Finance and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 3

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Cross-border payments, Network, Peer effect, Trade invoicing, Dominant currency