Daniel Andrei

McGill University

1001 Sherbrooke St. W

Montreal, Quebec H3A 1G5

Canada

SCHOLARLY PAPERS

15

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Top 18,115

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2,586

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Top 39,969

in Total Papers Citations

4

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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 661 (37,831)

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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 Toronto - Rotman School of Management
Downloads 444 (62,971)

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

3.
Downloads 427 ( 65,999)

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 427 (65,361)

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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 130 (120,982)

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 130 (217,585)

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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 183 (161,710)

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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 Toronto - Rotman School of Management and HEC Montréal
Downloads 131 (215,565)

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persistence risk, learning, long-run risk

7.

Economic Uncertainty and Investor Attention

Number of pages: 36 Posted: 04 Mar 2018 Last Revised: 12 Jun 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 106 (250,274)

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Economic uncertainty; Investor attention; Earnings announcements; Post-earnings announcement drift

8.

Information Percolation Driving Volatility

Number of pages: 56 Posted: 16 Mar 2012
Daniel Andrei
McGill University
Downloads 106 (250,274)

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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 (258,814)

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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 (297,518)

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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 64 (339,190)

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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 (377,976)

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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 (409,615)

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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 (636,012)

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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 Toronto - Rotman School of Management
Downloads 31 (458,745)

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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 Toronto - Rotman School of Management
Downloads 22 (500,656)

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