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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TOTAL CITATIONS
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Top 8,713

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117

Scholarly Papers (17)

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1.

The Lost Capital Asset Pricing Model

Downloads 1,226 (35,044)
Citation 12

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 (EPFL) and University of Oxford - Said Business School
Downloads 1,223 (34,569)
Citation 10

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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
Downloads 3 (1,297,615)
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 - Naveen Jindal School of Management
Downloads 1,180 (37,063)
Citation 2

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Investor attention; Economic uncertainty; Earnings announcements; CAPM

3.

Why Did the q Theory of Investment Start Working?

Journal of Financial Economics, volume 133, issue 2, 2019[10.1016/j.jfineco.2019.03.007]
Number of pages: 65 Posted: 21 Nov 2017 Last Revised: 02 Dec 2024
Daniel Andrei, William Mann and Nathalie Moyen
McGill University, Emory University - Department of Finance and University of Colorado at Boulder - Department of Finance
Downloads 1,087 (41,820)
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 919 (52,877)
Citation 5

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

5.

The Redistributive Effects of Monetary Policy

Downloads 293 (104,224)
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 293 (210,251)
Citation 3

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Monetary policy, redistribution, networks

6.

The Low-Minus-High Portfolio and the Factor Zoo

Downloads 349 (175,666)

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 (EPFL) and UNSW Business School
Downloads 348 (174,733)

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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
Downloads 1 (1,318,562)
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7.

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 289 (214,752)

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

8.

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 (EPFL)
Downloads 271 (229,243)
Citation 49

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Asset pricing; Momentum; Information percolation; Equilibrium

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 231 (269,845)
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 158 (379,220)

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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 158 (379,220)
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 (EPFL)
Downloads 135 (430,752)

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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 (EPFL)
Downloads 129 (446,464)
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 126 (454,611)
Citation 11

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Optimal Attention, Portfolio Choice

15.

Asset Pricing in the Quest for the New El Dorado

Downloads 106 (517,554)

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 78 (636,999)

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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 28 (989,513)

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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 101 (539,319)
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 51 (772,609)

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