Asset Pricing 2016

Duke/UNC Asset Pricing Conference 2016

download program (Word)

Friday, 4/22

Lunch in Esbenshade Meeting Room

1-2.30
Dansby Classroom

Session Chair: Brett Green (UC Berkeley)

  • Nicolae Garleanu (UC Berkeley)
  • Stavros Panageas (University of Chicago)
  • Dimitris Papanikolaou (Northwestern University)
  • Jianfeng Yu (University of Minnesota)

Drifting apart: The pricing of assets when the benefits of growth are not shared equally

Discussant: Hanno Lustig (Stanford University)

  • Jean-Noel Barrot (MIT)
  • Erik Loualiche (MIT)
  • Julien Sauvagnat (Toulouse School of Economics)

The Globalization Risk Premium

Discussant: Bernard Dumas (INSEAD)

3-4.30
Dansby Classroom

  • Zhiguo He (University of Chicago)
  • Bryan Kelly (University of Chicago)
  • Asaf Manela (Washington University)

Intermediary Asset Pricing: New Evidence from Many Asset Classes

Discussant: Tobias Adrian (New York Federal Reserve Bank)

  • Ali Ozdagli (Boston Federal Reserve Bank)
  • Michael Weber (University of Chicago)

Monetary Policy Through Production Networks: Evidence from the Stock Market

Discussant: Anna Cieslak (Duke University)

5:15-6:15
Dansby Classroom

Keynote: Narayana Kocherlakota (University of Rochester)

Market-Based Expectations as a Tool for Policymakers

6:30 Drinks at Washington Duke
7:30 Dinner at Washington Duke

Saturday, 4/23

8.30-10
Dansby Classroom

  • Sergey Chernenko (Ohio State University)
  • Adi Sunderam (Harvard University)

Liquidity Transformation in Asset Management: Evidence from the Cash Holdings of Mutual Funds

Discussant: Jules van Binsbergen (University of Pennsylvania)

  • Joseph Gerakos (University of Chicago)
  • Juhani Linnainmaa (University of Chicago)
  • Adair Morse (UC Berkeley)

Asset Manager Funds

Discussant: Russ Wermers (University of Maryland)

10.30-12
Dansby Classroom

  • Svetlana Bryzgalova (Stanford University)
  • Christian Julliard (London School Economics)

The Consumption Risk of Bonds and Stocks

Discussant: Lars Lochstoer (Columbia University)

  • Harjoat Bhamra (Imperial College)
  • Raman Uppal (EDHEC)

Do Individual Behavioral Biases Affect Financial Markets and the Macroeconomy?

Discussant: Hengjie Ai (University of Minnesota)

Lunch in Esbenshade Meeting Room

1.30-3
Dansby Classroom

  • Cedric Ehouarne (Carnegie Mellon University)
  • Lars-Alexander Kuehn (Carnegie Mellon University)
  • David Schreindorfer (Arizona State University)

The Market Price of Capital Misallocation

Discussant: Yasser Boualam (University of North Carolina)

  • Lubos Pastor (University of Chicago)
  • Pietro Veronesi (University of Chicago)

Income Inequality and Asset Prices under Redistributive Taxation

Discussant: Joao Gomes (University of Pennsylvania)