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Julien Hugonnier

Related publications (22)

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Capital Supply Uncertainty, Cash Holdings, and Investment

Semyon Malamud, Erwan Morellec, Julien Hugonnier

We develop a model of investment, financing, and cash management decisions in which investment is lumpy and firms face uncertainty regarding their ability to raise funds in the capital markets. We characterize optimal policies explicitly and show that the ...

2013

Incomplete information, idiosyncratic volatility and stock returns

Julien Hugonnier, Tony Berrada

When investors have incomplete information, expected returns, as measured by an econometrician, deviate from those predicted by standard asset pricing models by including a term that is the product of the stock's idiosyncratic volatility and the investors' ...

2012

Real options and risk aversion

Erwan Morellec, Julien Hugonnier

In the standard real options approach to investment under uncertainty, agents formulate optimal policies under the assumptions of risk neutrality or complete financial markets. Although these assumptions are crucial to the implications of the approach, the ...

2012

Credit Market Frictions and Capital Structure Dynamics

Semyon Malamud, Erwan Morellec, Julien Hugonnier

We study the implications of credit market frictions for the dynamics of corporate capital structure and the risk of default of corporations. To do so, we develop a dynamic capital structure model in which firms face uncertainty regarding their ability to ...

2012

Rational asset pricing bubbles and portfolio constraints

Julien Hugonnier

This article shows that portfolio constraints can give rise to rational asset pricing bubbles in equilibrium even if there are unconstrained agents in the economy who can benefit from the induced limited arbitrage opportunities. Furthermore, it is shown th ...

Academic Press Inc Elsevier Science2012

Endogenous Completeness of Diffusion Driven Equilibrium Markets

Semyon Malamud, Julien Hugonnier

We study the existence of dynamic equilibria with endogenously complete markets in continuous-time, heterogenous agents economies driven by diffusion processes. Our main results show that under appropriate conditions on the transition density of the state ...

Econometric Society2012

A Structural Analysis of the Health Expenditures and Portfolio Choices of Retired Agents

Julien Hugonnier, Pascal St-Amour, Florian Pelgrin

Richer and healthier agents tend to hold riskier portfolios and spend proportionally less on health expenditures. Potential explanations include health and wealth effects on preferences, expected longevity or disposable total wealth. Using HRS data, we per ...

2010

Mutual fund portfolio choice in the presence of dynamic ﬂows

Julien Hugonnier

We analyze the implications of dynamic flows on a mutual fund's portfolio decisions. In our model, myopic investors dynamically allocate capital between a riskless asset and an actively managed fund which charges fraction-of-fund fees. The presence of dyna ...

2010

Mutual fund competition in the presence of dynamic flows

Julien Hugonnier

This paper analyzes competition between mutual funds in a multiple funds version of the model of Hugonnier and Kaniel (2010). We characterize the set of equilibria for this portfolio management game and show that there exists a unique Pareto optimal equili ...

2010

Endogenous Completeness of Diffusion Driven Equilibrium Markets

Semyon Malamud, Julien Hugonnier

We study the existence of equilibria with endogenously complete mar- kets in a continuous-time, heterogenous agents economy driven by a multi- dimensional diﬀusion process. Our main results show that if prices are real analytic as functions of time and the ...

2009