Daniel Andrei

McGill University

1001 Sherbrooke St. W

Montreal, Quebec H3A 1G5

Canada

SCHOLARLY PAPERS

15

DOWNLOADS
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Top 17,622

in Total Papers Downloads

2,691

CITATIONS
Rank 21,534

SSRN RANKINGS

Top 21,534

in Total Papers Citations

30

Scholarly Papers (15)

1.

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, University of California, Los Angeles (UCLA) - Anderson School of Management and University of Colorado at Boulder - Department of Finance
Downloads 690 (36,172)
Citation 3

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2.

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 Texas at Dallas, Naveen Jindal School of Management, Department of Finance
Downloads 453 (62,238)
Citation 5

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

3.
Downloads 442 ( 64,270)
Citation 6

The Lost Capital Asset Pricing Model

Number of pages: 46 Posted: 25 Feb 2017 Last Revised: 14 Aug 2018
Daniel Andrei, Julien Cujean and Mungo Ivor Wilson
McGill University, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Oxford - Said Business School
Downloads 442 (63,628)
Citation 6

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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 Maryland - Robert H. Smith School of Business and University of Oxford - Said Business School
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4.
Downloads 134 (118,469)
Citation 3

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 134 (213,479)
Citation 1

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Monetary policy, redistribution, networks

5.

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 - Ecole Polytechnique Fédérale de Lausanne
Downloads 184 (162,818)
Citation 2

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Asset pricing; Momentum; Information percolation; Equilibrium

6.

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 Texas at Dallas, Naveen Jindal School of Management, Department of Finance and HEC Montréal
Downloads 139 (206,613)
Citation 1

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persistence risk, learning, long-run risk

7.

Economic Uncertainty and Investor Attention

Number of pages: 38 Posted: 04 Mar 2018 Last Revised: 31 Jul 2019
Daniel Andrei, Henry L. Friedman and N. Bugra Ozel
McGill University, University of California, Los Angeles (UCLA) - Accounting Area and University of Texas at Dallas
Downloads 128 (220,639)

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Investor attention; Economic uncertainty; Firm-specific news; Earnings announcements

8.

Information Percolation Driving Volatility

Number of pages: 56 Posted: 16 Mar 2012
Daniel Andrei
McGill University
Downloads 108 (249,875)
Citation 6

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

9.

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 - Ecole Polytechnique Fédérale de Lausanne
Downloads 101 (261,723)

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co-movement, home bias

10.

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 - Ecole Polytechnique Fédérale de Lausanne
Downloads 81 (301,025)
Citation 4

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11.

The Low-Minus-High Portfolio and the Factor Zoo

Number of pages: 43 Posted: 07 May 2019 Last Revised: 21 May 2019
Daniel Andrei, Julien Cujean and Mathieu Fournier
McGill University, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and HEC Montreal
Downloads 77 (310,180)

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CAPM, factor zoo, anomalies

12.

The Risk of Schumpeterian Competition

Number of pages: 39 Posted: 21 Nov 2017 Last Revised: 14 Aug 2018
Daniel Andrei and Bruce I. Carlin
McGill University and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 51 (382,653)

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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 44 (414,729)

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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
Daniel Andrei and Bruce I. Carlin
McGill University and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 4 (645,881)

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14.

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

Number of pages: 50 Posted: 20 Sep 2017
Daniel Andrei, Bruce I. Carlin and Michael Hasler
McGill University, University of California, Los Angeles (UCLA) - Anderson School of Management and University of Texas at Dallas, Naveen Jindal School of Management, Department of Finance
Downloads 33 (450,730)

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Learning, Uncertainty, Disagreement, Volatility, Risk Premium

15.

Model Disagreement and Economic Outlook

NBER Working Paper No. w20190
Number of pages: 39 Posted: 11 Jun 2014
Daniel Andrei, Bruce I. Carlin and Michael Hasler
McGill University, University of California, Los Angeles (UCLA) - Anderson School of Management and University of Texas at Dallas, Naveen Jindal School of Management, Department of Finance
Downloads 22 (507,158)

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