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Publications of Christian Julliard

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Academic journals

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

Journal of Finance, 78 (1), 487-557

December 2022
Svetlana Bryzgalova
Jiantao Huang
Christian Julliard

Academic journals

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

Journal of Financial Economics, 141(3), 831-859

September 2021
Edward Denbee
Christian Julliard
Ye Li
Kathy Yuan

Discussion Papers

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

We propose a novel, and simple, Bayesian estimation and model selection procedure for crosssectional asset pricing. Our approach, that allows for both...

January 2020
DP 791
Svetlana Bryzgalova
Jiantao Huang
Christian Julliard

Discussion Papers

Consumption in Asset Returns

Consumption dynamics are hard to measure accurately in the data, yet they are the crucial ingredient of macro-finance asset pricing models. The...

January 2020
DP 790
Svetlana Bryzgalova
Christian Julliard

Academic journals

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

The Review of Financial Studies, Volume 30, Issue 2, Pages 442–504.

February 2017
Anisha Ghosh
Christian Julliard
Alex P Taylor

Discussion Papers

Information Asymmetries, Volatility, Liquidity and the Tobin Tax

Information asymmetries and trading costs, in a financial market model with dynamic information, generate a self-exciting equilibrium price process...

February 2015
No 44
Albina Danilova
Christian Julliard

Discussion Papers

Information Asymmetries, Volatility, Liquidity and the Tobin Tax

Information asymmetries and trading costs, in a financial market model with dynamic information, generate a self-exciting equilibrium price process...

February 2015
No 44
Albina Danilova
Christian Julliard

Discussion Papers

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

We model banks’ liquidity holding decision as a simultaneous game on an interbank borrowing network. We show that at the Nash equilibrium, the...

October 2014
DP 734
Edward Denbee
Christian Julliard
Ye Li
Kathy Yuan

Discussion Papers

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

We study a broad class of asset pricing models in which the stochastic discount factor (SDF) can be factorized into an observable component and a...

October 2011
DP 691
Anisha Ghosh
Christian Julliard
Alex P Taylor

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Mike Burkart - Winner of the 2025 ECGI Finance Series Prize

LSE announces launch of an Initiative in Sustainable Finance

ESRB Policy Paper by Martin Oehmke on restructuring and inso ...

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5th Annual Conference on Non-Bank Financial Sector and Finan ...

16th Annual Paul Woolley Centre Conference and 4th Annual Co ...

15th Annual Paul Woolley Centre Conference

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Seminars

Is Index Concentration an Inevitable Consequence of Market-C ...

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Publications

Putting the Price in Asset Pricing

Investor Memory and Biased Beliefs: Evidence from the Field

High-frequency trading in the stock market and the costs of ...

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