Asset Pricing 2005

October 21-22, 2005

Location/Schedule Location: RJR Classroom
The Fuqua School of Business
Duke University
Durham, North Carolina  
Titles of Symposium and Sessions
(Authors in bold are presenters)
FRIDAY, OCTOBER 21th, 2005

1:00 – 2:00 P.M.
Session A – Paper 1 What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?
Bernard Dumas (INSEAD)
Alexander Kurshev (London Business School)
Raman Uppal (London Business School)
DiscussantJiang Wang (MIT)

2:00 – 3:00 P.M.
Session A – Paper 2 Option-Implied Correlations and the Price of Correlation Risk
Joost Driessen (University of Amsterdam)
Pascal Maenhout (INSEAD)
Grigory Vilkov (INSEAD)
DiscussantDavid Bates (Iowa)

3:30 – 4:30 P.M.
Session B – Paper 3 Advisors and Asset Prices: A Model of the Origins of Bubbles
Harrison Hong (Princeton University)
Jose Scheinkman (Princeton University)
Wei Xiong (Princeton University)
DiscussantKerry Back (Texas A&M)

4:30 – 5:30 P.M.
Session B – Paper 4 Optimal Learning and New Technology Bubbles
Tim Johnson (London Business School)
DiscussantStavros Panageas (University of Pennsylvania)

7:00 P.M.
DinnerLocated at Washington Duke Inn
Key Note Speaker Bob Litterman (Goldman Sachs Asset Management)


7:00 A.M.
BreakfastServed in Thomas Center Dining Room

8:30 – 9:30 A.M.
Session C – Paper 5 Long-Run Stockholder Consumption Risk and Asset Returns
Christopher Malloy (London Business School)
Tobias Moskowitz (University of Chicago)
Annette Vissing-Jorgensen (Northwestern University)
DiscussantAmir Yaron (University of Pennsylvania)

9:45 – 10:45 A.M.
Session C – Paper 6 Euler Equation Errors
Martin Lettau (New York University)
Sydney Ludvigson (New York University)
DiscussantGeorge Tauchen (Duke)

11:00 – 12:00 P.M.
Session C – Paper 7 Lazy Investors, Discretionary Consumption, and the Cross Section of Stock Returns
Ravi Jagannathan (Northwestern University)
Yong Wang (Northwestern University)
DiscussantRobert Dittmar (Michigan)

12:00 P.M.
LunchServed in Thomas Center Dining Room

1:00 – 2:00 P.M.
Session D – Paper 8 Money Illusion and Housing Frenzies
Markus Brunnemeier (Princeton University)
Christian Juliard (Princeton University)
DiscussantAdriano Rampini (Northwestern)

2:00 – 3:00 P.M.
Session D – Paper 9 Testing Factor-Model Explanations of Market Anomalies
Kent Daniel (Northwestern University)
Sheridan Titman (University of Texas – Austin)
DiscussantJonathan Lewellen (Dartmouth)

3:30 – 4:30 P.M.
Session E – Paper 10 Asset Pricing in Markets With Illiquid Assets
Francis Longstaff (UCLA)
DiscussantLeonid Kogan (MIT)

4:30 – 5:30 P.M.
Session E – Paper 11 Market Liquidity and Asset Prices under Costly Participation
Jennifer Huang (University of Texas – Austin)
Jiang Wang (M.I.T.)
DiscussantJacob Sagi (Berkeley)