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Julien Hugonnier

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Related publications (23)

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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

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

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

Asset Pricing with Costly Short Sales

Julien Hugonnier

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

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 ...

2015

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

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

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

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

Health and (Other) Asset Holdings

Julien Hugonnier

Despite clear evidence of correlations between financial and medical statuses and decisions, most models treat financial and health-related choices separately. This article bridges this gap by proposing a tractable dynamic framework for the joint determina ...

Oxford Univ Press2013

Credit Market Frictions and Capital Structure Dynamics

Semyon Malamud, Erwan Morellec, Julien Hugonnier

2012

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

Julien Hugonnier

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

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

Corporate control and real investment in incomplete markets

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 perfect capital markets. However, in most situations, corporate executives face incomplete markets either b ...

2007

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

Incomplete information, idiosyncratic volatility and stock returns

Julien Hugonnier

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

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

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

Julien Hugonnier

2022

Pricing and hedging in the presence of extraneous risks

Pierre Collin-Dufresne, Julien Hugonnier

2007