Christian Julliard

Associate Professor of Finance

Research interests

• Macroeconomics
• Finance
• Applied econometrics
• International economics and finance
• Real estate finance

Selected publications

• What is the Consumption-CAPM missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models, with Anisha Ghosh and Alex Taylor, Review of Financial Studies, forthcoming

• Human Capital and International Portfolio Diversification: A Reappraisal, with Lorenzo Bretscher and Carlo Rosa, Journal of International Economics, forthcoming

• Can Rare Events Explain the Equity Premium Puzzle? with A. Ghosh, The Review of Financial Studies, 25 (10), 2012, pp 3037-3076

• Money Illusion and Housing Frenzies, with M. Brunnermeier, The Review of Financial Studies, 21(1), 2008. Media Mentions: 24/08/2007, Science Magazine; 10/02/05, New York Times.

• Consumption Risk and the Cross-Section of Expected Returns, with J. Parker, Journal of Political Economy, 113(1), February 2005.

• La diversificazione del portafoglio delle famiglie italiane, with T. Jappelli and M. Pagano, in XIX Rapporto sul Risparmio e sui Risparmiatori in Italia, A. Beltratti ed., BNL/Centro Einaudi, 2001, pp.91-121 (in Italian). Updated English version: Households' Portfolio Diversification, CSEF Working Paper No. 180, June 2007.

• Other papers

Teaching

• Office Hours (internal LSE access only)

Lectures/classes

• FM404 Forecasting Financial Time Series
  Current students click here for course information

• FM437 Financial Econometrics
  Current students click here for course information

Other webpages

• Dr Christian Julliard's Personal webpage