Asset Pricing 2012

March 9-10, 2012

Location/Schedule Location: RJR Classroom
The Fuqua School of Business
Duke University
Durham, North Carolina  
Titles of Symposium and Sessions


11:45 – 12:45 P.M.
LunchServed in Thomas Center Dining Room

1:00 – 3:00 P.M.

Session 1: Understanding Macro Shocks
Session 1 – Paper 1 Examining Macroeconomic Models through the Lens of Asset Pricing
Jaroslav Borovicka (University of Chicago), Lars Peter Hansen (University of Chicago)
DiscussantLars Lochstoer (Columbia University)

Session 1 – Paper 2

Shocks and Crashes
Martin Lettau (UC Berkeley), Sydney Ludvigson (NYU)
DiscussantDana Kiku (University of Pennsylvania)

3:30 – 5:30 P.M.

Session 2: International Financial Markets
Session 2 – Paper 1 The Share of Systematic Variation in Bilateral Exchange Rate
Adrien Verdelhan (MIT)
DiscussantMax Croce (University of North Carolina)

Session 2 – Paper 2

International Correlation Risk
Philippe Mueller (LSE), Andreas Stathopoulos (USC), Andrea Vedolin (LSE)
DiscussantIvan Shaliastovich (University of Pennsylvania)

5:30 – 6:45 P.M.
ReceptionReception at Esbenshade

7:00 P.M. -9:00 PM
DinnerLocated at Old Faculty Lounge, Fuqua School of Business
Key Note Speaker Kenneth Singleton (Stanford University)


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

8:30 – 10:30 A.M.

Session 3: Liquidity
Session 3 – Paper 1 The Equilibrium Dynamics of Liquidity and Illiquid Asset Prices
Adrian Buss (University of Frankfurt), Bernard Dumas (INSEAD)
DiscussantFernando Zapatero (USC)

Session 3 – Paper 2

Endogenous Liquidity and Defaultable Bonds
Zhiguo He (University of Chicago), Konstantin Milbradt (MIT)
DiscussantBarney Hartman-Glaser (Duke University)

11:00 – 2:00 P.M.

Session 4: Cross-Section of Returns
Session 4 – Paper 1 The Growth Premium
Jason Chen (University of British Columbia)
DiscussantJohn Heaton (University of Chicago)

Served in Faculty Hall

Session 4 – Paper 2

The Relative Leverage Premium
Filippo Ippolito (Universitat Pompeu Fabra), Roberto Steri (Bocconi), Claudio Tebaldi (Bocconi)
DiscussantLars Kuehn (Carnegie Mellon University)

2:15 – 4:15 P.M.

Session 5: Non-Standard Risks
Session 5 – Paper 1 Political Uncertainty and Risk Premia
Lubos Pastor (University of Chicago), Pietro Veronesi (University of Chicago)
DiscussantMikhail Chernov (LSE)

Session 5 – Paper 2

Technological Innovation, Resource Allocation and Growth
Leonid Kogan (MIT), Dimitris Papanikolou (Northwestern University), Amit Seru (University of Chicago), Noah Stoffman (Indiana University)
DiscussantStavros Panageas (University of Chicago)