Asset Pricing 2018

Duke/UNC Asset Pricing Conference 2018

Location: JB Duke Hotel, Glaxo Classroom
230 Science Drive, Durham

Friday, 4/27

1-2.30pm: Intermediaries

Session Chair: Chris Lundblad (UNC)

Valentin Haddad (UCLA)/Tyler Muir (UCLA):
Do Intermediaries Matter for Aggregate Asset Prices?

 Discussant: Juliane Begenau (Stanford University)

Matthias Fleckenstein (University of Delaware) /Francis Longstaff (UCLA):
Shadow Funding Costs: Measuring the Cost of Balance Sheet Constraints

 Discussant: Asaf Manela (Washington University)

3-4.30pm: Risk and the Macroeconomy

Session Chair: Max Croce (UNC)

Leonid Kogan (MIT)/Dimitris Papanikolaou (Northwestern)/Lawrence Schmidt (University of Chicago)/Jae Song:
Technological Innovation and the Distribution of Labor Income Growth

 Discussant: Jack Favilukis (University of British Columbia)

Xiaoji Lin (Ohio State University)/Dino Palazzo (Boston University)/ Fang Yang (University of Connecticut):
The Risks of Old Capital Age: Asset Pricing Implications of Technology Adoption

 Discussant: Gill Segal (University of North Carolina)

5-6pm: Keynote Speech

Session chair: S “Vish” Viswanathan (Duke)

Darrell Duffie (Stanford University)
Post-Crisis Bank Regulations and Financial Market Liquidity

6.30pm: Drinks and Conference Dinner

Saturday, 4/28

8.30-10am: Liquidity

Session chair: Yasser Boualam (UNC)

Lubos Pastor (University of Chicago) / Robert Stambaugh (University of Pennsylvania)/Luke Taylor (University of Pennsylvania):
Fund Tradeoffs

 Discussant: Clemens Sialm (University of Texas at Austin)

Itamar Drechsler (New York University)/ Alan Moreira (University of Rochester) / Alexi Savov (New York University):
Liquidity Creation as Volatility Risk

 Discussant: Pete Kyle (University of Maryland)

10.30-12pm: International Finance

Session chair: Irina Zviadadze (SSE)

Patrick Augustin (McGill University)/Mikhail Chernov (UCLA)/Dongho Song (Boston College):
Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads

 Discussant: Jesse Schreger (Columbia University)

Winston Dou (University of Pennsylvania)/Adrien Verdelhan (MIT):
The Volatility of International Capital Flows and Foreign Assets

 Discussant: Eric van Wincoop (University of Virginia)

1.30-3pm: Monetary Policy and Asset Prices

Session chair: Anna Cieslak (Duke)

Kent Daniel (Columbia University)/Lorenzo Garlappi (University of British Columbia)/ Kairong Xiao (Columbia University):
Monetary Policy and Reaching for Income

 Discussant: Annette Vissing-Jorgensen (University of California, Berkeley)

Tzuo-Hann Law/Dongho Song (Boston College)/Amir Yaron (University of Pennsylvania):
Fearing the Fed: How Wall Street Reads Main Street

 Discussant: Carolin Pflueger (University of British Columbia)