Publications de Julien Hugonnier

Asset Pricing with Costly Short Sales

We study a dynamic general equilibrium model with costly-to-short stocks and heterogeneous beliefs. Costly short sales drive a wedge between the valuation of assets that promise identical cash flows but that are subject to different trading arrangements. I ...

2025

Optimal fund menus

Julien Hugonnier

We study the optimal design of a menu of funds by a manager who is required to use linear pricing and does not observe the beliefs of investors regarding one of the risky assets. The optimal menu involves bundling of assets and can be constructed from the ...

WILEY2022

Heterogeneity in decentralized asset markets

Julien Hugonnier

We study a canonical model of decentralized exchange for a durable good or asset, where agents are assumed to have time-varying, heterogeneous utility types. Whereas the existing literature has focused on the special case of two types, we allow agents' uti ...

ECONOMETRIC SOCIETY2022

Online appendix to: Debt dynamics with fixed issuance costs

Julien Hugonnier

We investigate equilibrium debt dynamics for a firm that cannot commit to a future debt policy and is subject to a fixed restructuring cost. We formally characterize equilibria when the firm is not required to repurchase outstanding debt prior to issuing a ...

2022

Valuing Life as an Asset, as a Statistic and at Gunpoint

Julien Hugonnier, Pascal St-Amour, Florian Pelgrin

2022

Risk Premia and Levy Jumps: Theory and Evidence*

Julien Hugonnier

We develop a novel class of time-changed Levy models, which are tractable and readily applicable, capture the leverage effect, and exhibit pure jump processes with finite or infinite activity. Our models feature four nested processes reflecting market, vol ...

OXFORD UNIV PRESS2021

Closing down the shop: Optimal health and wealth dynamics near the end of life

Julien Hugonnier, Pascal St-Amour, Florian Pelgrin

Near the end of life, health declines, mortality risk increases, and curative care is replaced by uninsured long-term care, accelerating the fall in wealth. Whereas standard explanations emphasize inevitable aging processes, we propose a complementary clos ...

WILEY2020

Frictional Intermediation in Over-the-Counter Markets

Julien Hugonnier

We extend Duffie et al.'s (2005) search-theoretic model of over-the-counter (OTC) asset markets, allowing for a decentralized inter-dealer market with arbitrary heterogeneity in dealers' valuations (or, equivalently, inventory costs). We develop a solution ...

OXFORD UNIV PRESS2020

Bank capital, liquid reserves, and insolvency risk

Erwan Morellec, Julien Hugonnier

2017

Capital supply uncertainty, cash holdings, and investment

Semyon Malamud, Erwan Morellec, Julien Hugonnier

We develop a dynamic model of investment, financing, and cash management decisions in which investment is lumpy and firms face capital supply uncertainty. We characterize optimal policies explicitly, demonstrate that smooth-pasting conditions may not guara ...

2015