Daniel Andrei : Research

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Publications

1. Investor Attention and Stock Market Volatility
(with Michael Hasler)
2015, Review of Financial Studies 28: 33-72 [download pdf]
-- Winner of the SIX Swiss Exchange Best Paper Award, SGF Conference, Zurich 2013

2. Information Percolation, Momentum, and Reversal
(with Julien Cujean)
2017, Journal of Financial Economics 123:617-645 
[download pdf]

3. Asset Pricing with Disagreement and Uncertainty about the Length of Business Cycles
(with Bruce Carlin and Michael Hasler)
2017, Management Science, forthcoming [download pdf]
-- Winner of the WRDS Best Paper Award at the NFA , Ottawa 2014

 

Working Papers

4. The Lost Capital Asset Pricing Model
(with Julien Cujean and Mungo Wilson)
[download pdf]

5. Asset Pricing with Persistence Risk
(with Michael Hasler and Alexandre Jeanneret)
[download pdf]

6. Asset Pricing in the Quest for the New El Dorado
(with Bruce Carlin)
[download pdf]

7. The Redistributive Effects of Monetary Policy
(with Olivier Ledoit and Bernard Herskovic)
[download pdf]

8. Information Percolation Driving Volatility
[download pdf]

9. Learning and Consumption Dynamics
(with Steffen Hitzemann and Alexandre Jeanneret)
[download pdf]

10. Dynamic Attention Behavior under Return Predictability
(with Michael Hasler)
[download pdf]

11. International Portfolio Choice and Relative Wealth Concerns
[download pdf]

12. Global Public Signals, Heterogeneous Beliefs and Stock Markets Comovement
(with Julien Cujean)
[download pdf]

13. Trade Costs, Heterogeneous Firms and International Portfolio Choice
[download pdf]