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

SCHOLARLY PAPERS

16

DOWNLOADS
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Top 15,526

in Total Papers Downloads

4,486

SSRN CITATIONS
Rank 12,587

SSRN RANKINGS

Top 12,587

in Total Papers Citations

61

CROSSREF CITATIONS

33

Scholarly Papers (16)

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 899 (36,329)
Citation 12

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2.
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Citation 11

The Lost Capital Asset Pricing Model

Number of pages: 88 Posted: 25 Feb 2017 Last Revised: 03 Dec 2021
Daniel Andrei, Julien Cujean and Mungo Ivor Wilson
McGill University, Ecole Polytechnique Fédérale de Lausanne and University of Oxford - Said Business School
Downloads 788 (42,976)
Citation 13

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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, Institute for Financial Management and University of Oxford - Said Business School
Downloads 2 (880,890)
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3.

Economic Uncertainty and Investor Attention

Number of pages: 69 Posted: 04 Mar 2018 Last Revised: 06 Nov 2021
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
Downloads 662 (55,226)
Citation 2

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Investor attention; Economic uncertainty; Earnings announcements; CAPM

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 Texas at Dallas, Naveen Jindal School of Management, Department of Finance
Downloads 631 (58,359)
Citation 5

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

5.
Downloads 208 (106,814)
Citation 7

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 208 (199,144)
Citation 3

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Monetary policy, redistribution, networks

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 and HEC Montreal
Downloads 290 (143,492)

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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, Institute for Financial Management and HEC Montreal
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7.

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
Downloads 212 (195,868)
Citation 22

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Asset pricing; Momentum; Information percolation; Equilibrium

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 UNSW Business School
Downloads 166 (242,844)
Citation 8

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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 120 (313,120)
Citation 5

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

10.

Schumpeterian Competition in a Lucas Economy

Number of pages: 65 Posted: 21 Nov 2017 Last Revised: 15 Mar 2022
Daniel Andrei and Bruce I. Carlin
McGill University and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 110 (332,851)

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Schumpeterian Competition; Experimentation; Tullock contests; Creative Destruction; Return Predictability; Income Inequality.

11.

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
Downloads 106 (341,244)

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co-movement, home bias

12.

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
Downloads 92 (373,883)
Citation 4

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13.

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 Texas at Dallas, Naveen Jindal School of Management, Department of Finance
Downloads 59 (477,016)
Citation 1

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Optimal Attention, Portfolio Choice

14.

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 Texas at Dallas, Naveen Jindal School of Management, Department of Finance
Downloads 53 (500,743)
Citation 6

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Learning, Uncertainty, Disagreement, Volatility, Risk Premium

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 47 (536,752)

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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 2022
Daniel Andrei and Bruce I. Carlin
McGill University and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 6 (836,232)

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16.

Model Disagreement and Economic Outlook

NBER Working Paper No. w20190
Number of pages: 39 Posted: 11 Jun 2014 Last Revised: 03 Mar 2022
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 35 (586,846)

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