Asset Pricing 2005

October 21-22, 2005

Location/Schedule Location: RJR Classroom
The Fuqua School of Business
Duke University
Durham, North Carolina  
ASSET PRICING TENTATIVE CONFERENCE SCHEDULE
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)


SATURDAY, OCTOBER 22, 2005


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)