Asset Pricing 2010

March 12-13, 2010

Location/Schedule Location: Lilly Classroom
The Fuqua School of Business
Duke University
Durham, North Carolina  
Titles of Symposium and Sessions
FRIDAY, MARCH 12, 2010

1:00 – 2:00 P.M.
Session A – Paper 1 The Federal Reserve and the Cross Section of Stock Returns
Erica Li (University of Michigan)
Francisco Palomino (University of Michigan)
DiscussantAdrien Verdelhan (MIT)

2:00 – 3:00 P.M.
Session A – Paper 2 A Cross-Sectional Investigation of the Conditional ICAPM
Turan Bali (Baruch College)
Robert Engle (NYU)
DiscussantJay Shanken (Emory)

3:30 – 4:30 P.M.
Session B – Paper 3 The Cross-Section and Time-Series of Stock and Bond Returns
Hanno Lustig (UCLA)
Ralph Koijen of (University of Chicago)
Stijn Van Nieuwerburgh (NYU)
DiscussantLukas Schmid (Duke)

4:30 – 5:30 P.M.
Session B – Paper 4 The “Out-of-sample” Performance of Long Run Risk Models
Wayne Ferson (University of Southern California)
Suresh Nallareddy (University of Southern California)
Biqin Xie (University of Southern California)
DiscussantDana Kiku (University of Pennsylvania)

7:00 P.M.
DinnerLocated at Old Faculty Lounge, Fuqua School of Business
Key Note Speaker Robert F. Engle (NYU)


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

8:30 – 9:30 A.M.
Session C – Paper 5Strategic Relationships in Over-the-Counter Markets
Ana Babus (University of Cambridge)
DiscussantPete Kyle (University of Maryland)

9:45 – 10:45 A.M.
Session C – Paper 6 Asymmetric Information, Endogenous Illiquidity, and Asset Pricing With Imperfect Competition
Hong Liu (Washington University in St. Louis)
Yajun Wang
DiscussantAvanidhar Subrahmanyam (UCLA)

11:00 – 12:00 P.M.
Session C – Paper 7 Mind the Gap: Disentangling Credit and Liquidity in Risk Spreads
Krista Schwarz (University of Pennsylvania).
DiscussantAnh Le (UNC Chapel Hill)

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

1:00 – 2:00 P.M.
Session E – Paper 8 Index Investing and the Financialization of Commodities
Ke Tang of Renmin(University of China)
Wei Xiong (Princeton)
DiscussantRalph Koijen of (University of Chicago)

2:00 – 3:00 P.M.
Session D – Paper 9 The Consumption of Active Investors and Asset Prices
Adam Zawadowski (Princeton)
DiscussantJohn Heaton (University of Chicago)

3:30 – 4:30 P.M.
Session D – Paper 10 Improving Portfolio Selection Using Option-Implied Volatility and Skewness
Victor DeMiguel (London Business School)
Yuliya Plyakha  (Goethe University Frankfurt)
Raman Uppal (London Business School)
Grigory Vilkov (Goethe University Frankfurt)
DiscussantJakub Jurek (Princeton)