Christian Julliard

Associate Professor of Finance, Department of Finance, LSE

Tel: +44 (0)20 7107 5366


Discussion Papers
Jan 2020
DP 93
We propose a novel, and simple, Bayesian estimation and model selection procedure for crosssectional asset pricing. Our approach, that allows for both tradable and non-tradable factors, and is applicable to high dimensional cases, has several...
Discussion Papers
Jan 2020
DP 92
Consumption dynamics are hard to measure accurately in the data, yet they are the crucial ingredient of macro-finance asset pricing models. The central insight of these models is that, in equilibrium, both consumption and returns are largely driven...
Discussion Papers
Oct 2015
DP 48
Lorenzo Bretscher, Christian Julliard and Carlo Rosa
We study the implications of human capital hedging for international portfolio choice. First, we document that, at the household level, the degree of home country bias in equity holdings is increasing in the labor income to financial wealth ratio....
Discussion Papers
Nov 2014
DP 24
We develop a tractable model in which trade is generated by asymmetry in agents' information sets. We show that, even if news are not generated by a stochastic volatility process, in the presence of information treatment and/or order processing...