Daniel Andrei

McGill University

1001 Sherbrooke St. W

Montreal, Quebec H3A 1G5

Canada

Desautels Faculty of Management

1001 Sherbrooke St. W

Montreal, Quebec H3A 1G5

Canada

  • McGill University

  • Desautels Faculty of Management

SCHOLARLY PAPERS

17

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136

CROSSREF CITATIONS

32

Scholarly Papers (17)

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1.

The Lost Capital Asset Pricing Model

Downloads 1,085 (35,504)
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 1,083 (35,087)
Citation 11

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

The Lost Capital Asset Pricing Model

CEPR Discussion Paper No. DP12607
Number of pages: 61 Posted: 22 Jan 2018
Daniel Andrei, Julien Cujean and Mungo Ivor Wilson
McGill University, University of Bern - Institute for Financial Management and University of Oxford - Said Business School
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Citation 2
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2.

Economic Uncertainty and Investor Attention

Proceedings of the EUROFIDAI-ESSEC Paris December Finance Meeting 2022
Number of pages: 83 Posted: 04 Mar 2018 Last Revised: 02 May 2023
Daniel Andrei, Henry L. Friedman and N. Bugra Ozel
McGill University, University of California, Los Angeles (UCLA) - Anderson School of Management and University of Texas at Dallas
Downloads 1,063 (36,562)
Citation 2

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Investor attention; Economic uncertainty; Earnings announcements; CAPM

3.

Why Did the q Theory of Investment Start Working?

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 65 Posted: 21 Nov 2017 Last Revised: 08 Aug 2018
Daniel Andrei, William Mann and Nathalie Moyen
McGill University, Emory University - Department of Finance and University of Colorado at Boulder - Department of Finance
Downloads 988 (40,589)
Citation 12

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4.

Investor Attention and Stock Market Volatility

The Review of Financial Studies, 2015
Number of pages: 49 Posted: 05 Oct 2013 Last Revised: 16 Sep 2017
Daniel Andrei and Michael Hasler
McGill University and University of Neuchatel
Downloads 773 (56,821)
Citation 5

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Asset Pricing, General Equilibrium, Learning, Attention, Uncertainty, Volatility, Risk Premia

5.

The Redistributive Effects of Monetary Policy

Downloads 252 (103,480)
Citation 7

The Redistributive Effects of Monetary Policy

Number of pages: 49 Posted: 22 Mar 2017 Last Revised: 10 Dec 2017
Daniel Andrei, Bernard Herskovic and Olivier Ledoit
McGill University, University of California, Los Angeles (UCLA) - Anderson School of Management and University of Zurich - Department of Economics
Downloads 252 (208,437)
Citation 3

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Monetary policy, redistribution, networks

6.

The Low-Minus-High Portfolio and the Factor Zoo

Downloads 329 (159,144)

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 329 (158,072)

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CAPM, factor zoo, anomalies

The Low-Minus-High Portfolio and the Factor Zoo

CEPR Discussion Paper No. DP14153
Number of pages: 50 Posted: 04 Dec 2019
Daniel Andrei, Julien Cujean and Mathieu Fournier
McGill University, University of Bern - Institute for Financial Management and UNSW Business School
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7.

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 245 (215,216)
Citation 45

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Asset pricing; Momentum; Information percolation; Equilibrium

8.

Can the Fed Control Inflation? Stock Market Implications

Number of pages: 45 Posted: 28 Sep 2022 Last Revised: 11 Oct 2023
Daniel Andrei and Michael Hasler
McGill University and University of Neuchatel
Downloads 219 (239,721)

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Asset Pricing, Learning, Inflation, Federal Reserve, Rate Hikes

9.

Asset Pricing with Persistence Risk

Review of Financial Studies, Forthcoming
Number of pages: 61 Posted: 07 Sep 2017 Last Revised: 21 Nov 2018
Daniel Andrei, Michael Hasler and Alexandre Jeanneret
McGill University, University of Neuchatel and UNSW Business School
Downloads 199 (261,832)
Citation 8

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persistence risk, learning, long-run risk

10.

Schumpeterian Competition in a Lucas Economy

Number of pages: 73 Posted: 21 Nov 2017 Last Revised: 18 Jan 2023
Daniel Andrei and Bruce I. Carlin
McGill University and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 144 (345,349)

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Schumpeterian Competition; Experimentation; Tullock contests; Creative Destruction; Return Predictability; Income Inequality.

11.

Information Percolation Driving Volatility

Number of pages: 56 Posted: 16 Mar 2012
Daniel Andrei
McGill University
Downloads 133 (367,442)
Citation 5

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dynamic equilibrium, overlapping generations, volatility clustering, GARCH, information percolation, word-of-mouth, noisy rational expectations, centralized markets

12.

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 125 (385,151)

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co-movement, home bias

13.

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 116 (406,845)
Citation 4

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14.

Dynamic Attention Behavior under Return Predictability

Management Science, 2020
Number of pages: 47 Posted: 02 Jun 2020
Daniel Andrei and Michael Hasler
McGill University and University of Neuchatel
Downloads 91 (481,221)
Citation 9

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Optimal Attention, Portfolio Choice

15.

Asset Pricing in the Quest for the New El Dorado

Downloads 84 (505,594)

Asset Pricing in the Quest for the New El Dorado

Number of pages: 48 Posted: 25 Feb 2017 Last Revised: 04 Sep 2017
Daniel Andrei and Bruce I. Carlin
McGill University and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 64 (597,500)

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Asset Pricing in the Quest for the New El Dorado

NBER Working Paper No. w23455
Number of pages: 46 Posted: 30 May 2017 Last Revised: 02 Feb 2023
Daniel Andrei and Bruce I. Carlin
McGill University and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 20 (913,926)

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16.

Asset Pricing with Disagreement and Uncertainty about the Length of Business Cycles

Management Science
Number of pages: 50 Posted: 20 Sep 2017 Last Revised: 07 Aug 2020
Daniel Andrei, Bruce I. Carlin and Michael Hasler
McGill University, University of California, Los Angeles (UCLA) - Anderson School of Management and University of Neuchatel
Downloads 83 (509,185)
Citation 6

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Learning, Uncertainty, Disagreement, Volatility, Risk Premium

17.

Model Disagreement and Economic Outlook

NBER Working Paper No. w20190
Number of pages: 39 Posted: 11 Jun 2014 Last Revised: 03 Mar 2023
Daniel Andrei, Bruce I. Carlin and Michael Hasler
McGill University, University of California, Los Angeles (UCLA) - Anderson School of Management and University of Neuchatel
Downloads 47 (678,790)

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