About

Daniel Andrei is an Assistant Professor of Finance at UCLA Anderson. His research focuses on theoretical asset pricing, with a particular emphasis on the role of information in financial markets. His recent work explores how the transmission of information through word-of-mouth communication impacts stock returns and their volatility. Additionally, he studies the implications of creative destruction on financial markets, concentrating on the uncertainty that arises when economic agents experiment with new technologies.

Research topics

• Economics
• Financial economics
• Monetary economics
• Econometrics
• Microeconomics
• Finance

Selected publications

• Investor learning about monetary-policy transmission and the stock market

  Journal of Financial Economics · 2025-08-27

  article1st authorCorresponding
  PublisherDOI

• The Quiet Hand of Regulation: Harnessing Uncertainty and Disagreement

  SSRN Electronic Journal · 2025-01-01

  preprintOpen access1st authorCorresponding
  PublisherDOI

• The Lost Capital Asset Pricing Model

  The Review of Economic Studies · 2023 · 40 citations

  1st authorCorresponding
  • Economics
  • Financial economics
  • Econometrics

  Abstract We provide a novel explanation for the empirical failure of the capital asset pricing model (CAPM) despite its widespread practical use. In a rational-expectations economy in which information is dispersed, variation in expected returns over time and across investors creates an informational gap between investors and the empiricist. The CAPM holds for investors, but the securities market line appears flat to the empiricist. Variation in expected returns across investors accounts for the larger part of this distortion, which is empirically substantial; it offers a new interpretation of why “betting against beta” (BAB) works: BAB really bets on true beta. The empiricist retrieves a stronger CAPM on days when public information reduces disagreement among investors.

  PublisherDOI

• Schumpeterian competition in a Lucas economy

  Journal of Economic Theory · 2023 · 6 citations

  1st authorCorresponding
  • Economics
  • Microeconomics
  • Monetary economics
  PublisherDOI

• Economic uncertainty and investor attention

  Journal of Financial Economics · 2023 · 125 citations

  1st authorCorresponding
  • Economics
  • Financial economics
  • Monetary economics

  This paper develops a multi-firm equilibrium model of information acquisition based on differences in firms’ characteristics. The model shows that heightened economic uncertainty amplifies stock price reactions to earnings announcements via increased investor attention, which varies by firm characteristics. Firms with higher systematic risk or more informative announcements attract more attention and exhibit stronger reactions to earnings announcements. Moreover, heightened investor attention caused by high economic uncertainty leads to a steeper CAPM relation and higher betas for announcing firms. Empirical analyses using firm-level attention measures and CAPM tests on high- versus low-attention days support the model’s predictions.

  PublisherDOI

• Replication package for: The Lost Capital Asset Pricing Model

  2022-11-22

  datasetOpen access1st authorCorresponding

  The package contains the codes and the data analysis files necessary to reproduce the figures and tables in Andrei, Cujean, and Wilson (forthcoming), "The Lost Capital Asset Pricing Model," Review of Economic Studies. Detailed instructions are also given about accessing the raw data.

  PublisherDOI

• Replication package for: The Lost Capital Asset Pricing Model

  Zenodo (CERN European Organization for Nuclear Research) · 2022-12-23

  datasetOpen access1st authorCorresponding

  The package contains the codes and the data analysis files necessary to reproduce the figures and tables in Andrei, Cujean, and Wilson (forthcoming), "The Lost Capital Asset Pricing Model," Review of Economic Studies. Detailed instructions are also given about accessing the raw data.

  PublisherDOI

• Replication package for: The Lost Capital Asset Pricing Model

  Zenodo (CERN European Organization for Nuclear Research) · 2022-12-23

  datasetOpen access1st authorCorresponding

  The package contains the codes and the data analysis files necessary to reproduce the figures and tables in Andrei, Cujean, and Wilson (forthcoming), "The Lost Capital Asset Pricing Model," Review of Economic Studies. Detailed instructions are also given about accessing the raw data.

  PublisherDOI

• Can the Fed Control Inflation? Stock Market Implications

  SSRN Electronic Journal · 2022-01-01 · 2 citations

  articleOpen access1st authorCorresponding
  PublisherDOI

• Dynamic Attention Behavior under Return Predictability

  2020-02-19

  article1st authorCorresponding

  We investigate the dynamic problem of how much attention an investor should pay to news in order to learn about stock-return predictability and maximize expected lifetime utility. We show that the optimal amount of attention is U-shaped in the return predictor, increasing with both uncertainty and the magnitude of the predictive coefficient, and decreasing with stock-return volatility. The optimal risky asset position exhibits a negative hedging demand that is hump-shaped in the return predictor. Its magnitude is larger when uncertainty increases, but smaller when stock-return volatility increases. We test and find empirical support for these theoretical predictions.

Frequent coauthors

• Julien Cujean

  13 shared

• Bruce Carlin

  12 shared

• Michael Hasler

  University of Neuchâtel

  11 shared

• Mungo Ivor Wilson

  5 shared

• Bernard Herskovic

  3 shared

• Henry L. Friedman

  Anderson University - South Carolina

  3 shared

• N. Bugra Ozel

  2 shared

• William Mann

  2 shared