Christian Julliard

London School of Economics & Political Science (LSE) - Department of Finance

United Kingdom

Centre for Economic Policy Research (CEPR)

London

United Kingdom

SCHOLARLY PAPERS

12

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SSRN CITATIONS
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Top 3,100

in Total Papers Citations

156

CROSSREF CITATIONS

277

Scholarly Papers (12)

1.

Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models

Number of pages: 84 Posted: 04 Dec 2019 Last Revised: 22 Sep 2021
Svetlana Bryzgalova, Jiantao Huang and Christian Julliard
London Business School - Department of Finance, London School of Economics & Political Science (LSE) - Department of Finance and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 1,837 (11,529)
Citation 9

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Cross-Sectional Asset Pricing, Factor Models, Model Evaluation, Multiple Testing, Data Mining, P-Hacking, Bayesian Methods, shrinkage, SDF.

2.

Network Risk and Key Players: A Structural Analysis of Interbank Liquidity

Fisher College of Business Working Paper No. 2018-03-011, Charles A. Dice Center Working Paper No. 2018-11, Columbia Business School Research Paper No. 17-6
Number of pages: 76 Posted: 14 Dec 2016 Last Revised: 17 Aug 2020
Edward Denbee, Christian Julliard, Ye Li and Kathy Yuan
Bank of England, London School of Economics & Political Science (LSE) - Department of Finance, Ohio State University (OSU) and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 378 (100,891)
Citation 26

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financial networks, liquidity, interbank market, payment systems, payment velocity, payment multiplier, key players, systemic risk

3.

What is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models

AFA 2012 Chicago Meetings Paper
Number of pages: 43 Posted: 19 Mar 2011
Anisha Ghosh, Christian Julliard and Alex P. Taylor
McGill University, London School of Economics & Political Science (LSE) - Department of Finance and Alliance Manchester Business School
Downloads 358 (107,229)
Citation 30

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Entropy Bounds, Multiplicative Decomposition of Pricing Kernel

4.
Downloads 325 (119,388)
Citation 51

Can Rare Events Explain the Equity Premium Puzzle?

Number of pages: 49 Posted: 13 Mar 2008
Christian Julliard and Anisha Ghosh
London School of Economics & Political Science (LSE) - Department of Finance and London School of Economics & Political Science (LSE)
Downloads 319 (121,065)
Citation 21

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Rare Events, Rare Disasters, Equity Premium Puzzle, Generalized Empirical Likelihood, Semi-parametric Bayesian Inference, Calibration, Cross-Section of Asset Returns, Peso Phenomenon

Can Rare Events Explain the Equity Premium Puzzle?

Number of pages: 53 Posted: 04 Apr 2012
Anisha Ghosh and Christian Julliard
McGill University and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 6 (788,339)
Citation 10
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Calibration, Cross-Section of Asset Returns, Equity Premium Puzzle, Generalized Empirical Likelihood, Peso Phenomenon, Rare Disasters, Rare Events, Semi-parametric Bayesian Inference

Consumption Risk and the Cross-Section of Expected Returns

Number of pages: 48 Posted: 03 Jan 2005
Christian Julliard and Jonathan A. Parker
London School of Economics & Political Science (LSE) - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 204 (189,915)
Citation 65

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Consumption Capital Asset Pricing Model, Expected returns, Equity

Consumption Risk and the Cross Section of Expected Returns

Posted: 13 Jan 2005
Christian Julliard and Jonathan A. Parker
London School of Economics & Political Science (LSE) - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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6.

Consumption

Number of pages: 83 Posted: 12 Mar 2021 Last Revised: 11 Nov 2021
Svetlana Bryzgalova and Christian Julliard
London Business School - Department of Finance and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 184 (208,663)
Citation 1

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Consumption Dynamics, Asset Returns, Consumption-Based Asset Pricing, Term Structure

7.

What Drives Repo Haircuts? Evidence from the UK Market

Number of pages: 50 Posted: 22 Aug 2019
London School of Economics & Political Science (LSE) - Department of Finance, Bank of England, Pacific Investment Management Company (PIMCO), London School of Economics & Political Science, Department of Finance and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 143 (257,728)
Citation 5

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repurchase agreement, systemic risk, repo market, margin, haircut, network analysis

8.

A Comparison of International Residential Housing Risk Premia

Number of pages: 20 Posted: 08 Jul 2011
Grace Wong Bucchianeri and Christian Julliard
University of Pennsylvania - Real Estate Department and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 94 (347,119)

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International housing markets, Housing risk premium, politics, zoning

9.
Downloads 87 (364,372)
Citation 101

Money Illusion and Housing Frenzies

Number of pages: 48 Posted: 05 Jan 2007 Last Revised: 04 Jul 2021
Christian Julliard and Markus K. Brunnermeier
London School of Economics & Political Science (LSE) - Department of Finance and Princeton University - Department of Economics
Downloads 83 (378,445)
Citation 3

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Money Illusion and Housing Frenzies

Number of pages: 50 Posted: 20 May 2008
Markus K. Brunnermeier and Christian Julliard
Princeton University - Department of Economics and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 4 (805,170)
Citation 11
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Behavioural finance, housing, inflation illusion, interest rate, money illusion, mortgages, real estate

Money Illusion and Housing Frenzies

The Review of Financial Studies, Vol. 21, Issue 1, pp. 135-180, 2008
Posted: 26 Jun 2008
Markus K. Brunnermeier and Christian Julliard
Princeton University - Department of Economics and London School of Economics & Political Science (LSE) - Department of Finance

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10.

Online Appendix for Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models

Number of pages: 23 Posted: 04 Aug 2020 Last Revised: 15 Sep 2021
Svetlana Bryzgalova, Jiantao Huang and Christian Julliard
London Business School - Department of Finance, London School of Economics & Political Science (LSE) - Department of Finance and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 82 (377,604)

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Cross-sectional asset pricing, factor models, model evaluation, multiple testing, data mining, p-hacking, Bayesian methods, shrinkage, SDF

11.

The Spread of COVID-19 in London: Network Effects and Optimal Lockdowns

Number of pages: 42 Posted: 22 Oct 2020 Last Revised: 02 Nov 2020
Christian Julliard, Ran Shi and Kathy Yuan
London School of Economics & Political Science (LSE) - Department of Finance, London School of Economics & Political Science (LSE) - Department of Finance and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 72 (406,619)
Citation 1

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COVID-19, networks, key players, spatial modelling, SIR model

12.

Consumption Risk and Cross-Sectional Returns

Number of pages: 46 Posted: 13 Mar 2003 Last Revised: 31 Oct 2010
Christian Julliard and Jonathan A. Parker
London School of Economics & Political Science (LSE) - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 53 (473,176)

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