Asset Pricing 2007

December 7-8, 2007

Location/Schedule Location: 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, DECEMBER 7th, 2007


1:00 – 2:00 P.M.
Session A – Paper 1 The Levered Equity Risk Premium and Credit Spreads: A Unified Framework
Harjoat S. Bhamra (University of British Columbia)
Lars-Alexander Kuehn (University of British Columbia)
Ilya A. Strebulaev (Stanford)
Discussant:Hanno Lustig (UCLA)


2:00 – 3:00 P.M.
Session A – Paper 2Levered Returns
Joao F. Gomes (University of Pennsylvania)
Lukas Schmid (University of Lausanne)
Discussant:Lu Zhang (University of Michigan)


3:30 – 4:30 P.M.
Session B – Paper 3 The Aggregate Demand for Treasury Debt
Arvind Krishnamurthy(Northwestern)
Annette Vissing-Jorgensen (Northwestern and NBER)
Discussant:Robin Greenwood (Harvard)


4:30 – 5:30 P.M.
Session B – Paper 4 The empirical importance of background risks
Darius Paliaa (Rutgers)
 Yaxuan Qi (Concordia and Northwestern)
 Yangru Wua (Rutgers)
Discussant:Mariano M. Croce (UNC Chapel Hill)


7:00 P.M.
DinnerLocated at the Washington Duke Inn
Keynote SpeakerJohn Campbell (Harvard)


SATURDAY, DECEMBER 8th, 2007


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


8:30 – 9:30 A.M.
Session C – Paper 5 Bond Pricing, Habits, and a Simple Policy Rule
Michael Gallmeyer (Texas A&M)
Burton Hollifield (Carnegie Mellon)
Francisco Palomino (Carnegie Mellon)
Stanley Zin (Carnegie Mellon and NBER)
Discussant:Motohiro Yogo (Princeton)


9:45 – 10:45 A.M.
Session C – Paper 6 The representative agent of an economy with external habit-formation and heterogenous risk-aversion
Costas Xiouros (USC)
Fernando Zapatero (USC)
Discussant:Leonid Kogan (MIT)


11:00 – 12:00 P.M.
Session C – Paper 7 Young, Old, Conservative and Bold: The asset pricing implications of heterogeneity and finite lives
Nicolae Gârleanu(University of Pennsylvania)
Stavros Panageas (University of Pennsylvania)
Discussant:Hengji Ai (Duke)


12:00 P.M.
LunchLunch


1:00 – 2:00 P.M.
Session D – Paper 8 Economic Catastrophe Bonds
Joshua D. Coval (Harvard)
Jakub W. Jurek (Harvard)
Erik Stafford (Harvard)
Discussant:Mikhail Chernov (London Business School)


2:00 – 3:00 P.M.
Session D – Paper 9 Difference in Beliefs and Currency Option Markets
Alessando Beber (HEC Lausanne)
Francis Breedon (Imperial College London)
Andrea Buraschi (Imperial College London)
Discussant:Chris Jones (University of South California)


3:30 – 4:30 P.M.
Session E – Paper 10 Rank fund managers by the accuracy of their beliefs
Kathy Yuan (University of Michigan)
Discussant:Clemens Sialem (University of Texas Austin)


4:30 – 5:30 P.M.
Session E – Paper 11 Dynamic Mean-Variance Asset Allocation
Suleyman Basak (London Business School and CEPR)
Georgy Chabakauri (London Business School)
Discussant:Hong Liu (University of Washington at St. Louis)