Details about Christian Julliard

Access statistics for papers by Christian Julliard.

Last updated 2024-12-21. Update your information in the RePEc Author Service.

Short-id: pju2

Working Papers

2023

1. The spread of COVID-19 in London: network effects and optimal lockdowns
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (4)
   Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2020)
   See also Journal Article The spread of COVID-19 in London: Network effects and optimal lockdowns, Journal of Econometrics, Elsevier (2023) View citations (4) (2023)

2022

2. What drives repo haircuts? Evidence from the UK market
   BIS Working Papers, Bank for International Settlements View citations (8)
   Also in Bank of England working papers, Bank of England (2022) View citations (11)

2021

3. Network risk and key players: a structural analysis of interbank liquidity
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (14)
   Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2014) View citations (1)
   Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics (2018) View citations (6)
   FMG Discussion Papers, Financial Markets Group (2014) View citations (46)
   See also Journal Article Network risk and key players: A structural analysis of interbank liquidity, Journal of Financial Economics, Elsevier (2021) View citations (10) (2021)

2020

4. Bayesian solutions for the factor zoo: we just ran two quadrillion models
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
   See also Journal Article Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models, Journal of Finance, American Finance Association (2023) View citations (10) (2023)

2017

5. What is the Consumption-CAPM missing? An information-theoretic framework for the analysis of asset pricing models
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (24)
   Also in FMG Discussion Papers, Financial Markets Group (2011)
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2011)
   See also Journal Article What Is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models, The Review of Financial Studies, Society for Financial Studies (2017) View citations (26) (2017)

2016

6. An information based one-factor asset pricing model
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
7. Human capital and international portfolio diversification: a reappraisal
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (3)
   Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2015)
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2015)
   See also Journal Article Human capital and international portfolio diversification: A reappraisal, Journal of International Economics, Elsevier (2016) View citations (3) (2016)
   Chapter Human Capital and International Portfolio Diversification: A Reappraisal, NBER Chapters, National Bureau of Economic Research, Inc (2016) View citations (4) (2016)

2015

8. Information asymmetries, volatility, liquidity and the Tobin Tax
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
   Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2014)

2012

9. Can Rare Events Explain the Equity Premium Puzzle?
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (55)
   Also in 2008 Meeting Papers, Society for Economic Dynamics (2008) View citations (22)
   FMG Discussion Papers, Financial Markets Group (2008) View citations (24)
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2008) View citations (22)
   See also Journal Article Can Rare Events Explain the Equity Premium Puzzle?, The Review of Financial Studies, Society for Financial Studies (2012) View citations (55) (2012)

2007

10. Households’ Portfolio Diversification
    CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy
    See also Journal Article Households' Portfolio Diversification, STUDI ECONOMICI, FrancoAngeli Editore (2010) (2010)
11. Labor income risk and asset returns
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (5)
12. Money Illusion and Housing Frenzies
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (22)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2006) View citations (6)
    FMG Discussion Papers, Financial Markets Group (2006) View citations (6)
    NBER Working Papers, National Bureau of Economic Research, Inc (2006) View citations (7)
    See also Journal Article Money Illusion and Housing Frenzies, The Review of Financial Studies, Society for Financial Studies (2008) View citations (208) (2008)

2004

13. Consumption Risk and the Cross-Section of Expected Returns
    Working Papers, Princeton University, School of Public and International Affairs, Discussion Papers in Economics View citations (17)
    See also Journal Article Consumption Risk and the Cross Section of Expected Returns, Journal of Political Economy, University of Chicago Press (2005) View citations (251) (2005)
14. Human capital and international portfolio choice
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (18)

2003

15. Consumption Risk And Expected Stock Returns
    Working Papers, Princeton University, School of Public and International Affairs, Discussion Papers in Economics View citations (14)
16. Consumption Risk and Cross-Sectional Returns
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
17. The international diversification puzzle is not worse than you think
    International Finance, University Library of Munich, Germany View citations (27)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2002) View citations (20)

Journal Articles

2023

1. Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models
   Journal of Finance, 2023, 78, (1), 487-557 View citations (10)
   See also Working Paper Bayesian solutions for the factor zoo: we just ran two quadrillion models, LSE Research Online Documents on Economics (2020) (2020)
2. The spread of COVID-19 in London: Network effects and optimal lockdowns
   Journal of Econometrics, 2023, 235, (2), 2125-2154 View citations (4)
   See also Working Paper The spread of COVID-19 in London: network effects and optimal lockdowns, LSE Research Online Documents on Economics (2023) View citations (4) (2023)

2021

3. Network risk and key players: A structural analysis of interbank liquidity
   Journal of Financial Economics, 2021, 141, (3), 831-859 View citations (10)
   See also Working Paper Network risk and key players: a structural analysis of interbank liquidity, LSE Research Online Documents on Economics (2021) View citations (14) (2021)

2017

4. What Is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models
   The Review of Financial Studies, 2017, 30, (2), 442-504 View citations (26)
   See also Working Paper What is the Consumption-CAPM missing? An information-theoretic framework for the analysis of asset pricing models, LSE Research Online Documents on Economics (2017) View citations (24) (2017)

2016

5. Human capital and international portfolio diversification: A reappraisal
   Journal of International Economics, 2016, 99, (S1), S78-S96 View citations (3)
   See also Chapter Human Capital and International Portfolio Diversification: A Reappraisal, NBER Chapters, 2016 (2016) View citations (4) (2016)
   Working Paper Human capital and international portfolio diversification: a reappraisal, LSE Research Online Documents on Economics (2016) View citations (3) (2016)

2012

6. Can Rare Events Explain the Equity Premium Puzzle?
   The Review of Financial Studies, 2012, 25, (10), 3037-3076 View citations (55)
   See also Working Paper Can Rare Events Explain the Equity Premium Puzzle?, CEPR Discussion Papers (2012) View citations (55) (2012)

2010

7. Households' Portfolio Diversification
   STUDI ECONOMICI, 2010, LXV, (100), 117-143
   See also Working Paper Households’ Portfolio Diversification, CSEF Working Papers (2007) (2007)

2008

8. Money Illusion and Housing Frenzies
   The Review of Financial Studies, 2008, 21, (1), 135-180 View citations (208)
   See also Working Paper Money Illusion and Housing Frenzies, CEPR Discussion Papers (2007) View citations (22) (2007)

2005

9. Consumption Risk and the Cross Section of Expected Returns
   Journal of Political Economy, 2005, 113, (1), 185-222 View citations (251)
   See also Working Paper Consumption Risk and the Cross-Section of Expected Returns, Working Papers (2004) View citations (17) (2004)

Chapters

2016

1. Human Capital and International Portfolio Diversification: A Reappraisal
   A chapter in NBER International Seminar on Macroeconomics 2015, 2016 View citations (4)
   See also Journal Article Human capital and international portfolio diversification: A reappraisal, Elsevier (2016) View citations (3) (2016)
   Working Paper Human capital and international portfolio diversification: a reappraisal, London School of Economics and Political Science, LSE Library (2016) View citations (3) (2016)