Daniel Andrei

McGill University

1001 Sherbrooke St. W

Montreal, Quebec H3A 1G5

Canada

SCHOLARLY PAPERS

15

DOWNLOADS
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Top 16,547

in Total Papers Downloads

3,017

SSRN CITATIONS
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SSRN RANKINGS

Top 15,629

in Total Papers Citations

25

CROSSREF CITATIONS

32

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, Emory University - Department of Finance and University of Colorado at Boulder - Department of Finance
Downloads 751 (33,812)
Citation 7

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2.
Downloads 479 ( 60,914)
Citation 10

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 477 (60,586)
Citation 10

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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
Downloads 2 (693,985)
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3.

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 477 (61,238)
Citation 5

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

4.
Downloads 146 (115,977)
Citation 5

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 146 (207,982)
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 195 (161,451)
Citation 7

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Asset pricing; Momentum; Information percolation; Equilibrium

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, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and HEC Montreal
Downloads 194 (166,010)

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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 Maryland - Robert H. Smith School of Business and HEC Montreal
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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 171 (181,533)

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

8.

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 147 (206,361)
Citation 2

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persistence risk, learning, long-run risk

9.

Information Percolation Driving Volatility

Number of pages: 56 Posted: 16 Mar 2012
Daniel Andrei
McGill University
Downloads 111 (255,864)
Citation 7

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

10.

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 (273,110)

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co-movement, home bias

11.

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 87 (300,673)
Citation 4

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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 53 (392,266)

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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 45 (428,543)

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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 (674,413)

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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 34 (465,698)

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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 (529,043)

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