Asset Pricing 2020

Duke/UNC Asset Pricing Conference 2020

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

Friday, April 3rd

Session 1 (1:00-2:30pm), Session Chair: TBD

Stefano Giglio (Yale), Bryan Kelly (Yale), Serhiy Kozak (Maryland)
Equity Term Structures without Dividend Strips Data

 Discussant: Irina Zviadadze (HEC Paris)

Zhengyang Jiang (Northwestern), Hanno Lustig (Stanford),
Stijn Van Nieuwerburgh (Columbia), Mindy Xiaolan (UT Austin)
The Government Risk Premium Puzzle

 Discussant: Greg Duffee (Johns Hopkins)

Session 2 (3:00-4:30pm), Session Chair: TBD

Luyang Chen (Stanford), Markus Pelger (Stanford), Jason Zhu (Stanford)
Deep Learning in Asset Pricing

 Discussant: Andrew Patton (Duke)

Marcin Kacperczyk (Imperial), Emiliano Pagnotta (Imperial)
Becker Meets Kyle: Inside Insider Trading

 Discussant: Lauren Cohen (HBS)

Keynote Speech (5:00-6:00pm), Session Chair: TBD

Pete Kyle (Maryland)
Dimensional Analysis, Leverage Neutrality, and Market Microstructure Invariance

Drinks and Conference Dinner at Washington Duke (6:30pm)

Saturday, April 4th

Session 3 (8:30-10:00am), Session Chair: TBD

Harjoat Bhamra (Imperial), Raman Uppal (EDHEC), Johan Walden (SFI)
The Geography of Beliefs

 Discussant: Michael Weber (Chicago Booth)

Ralph Koijen (Chicago Booth), Robert Richmond (NYU), Motohiro Yogo (Princeton)
Which Investors Matter for Equity Valuations and Expected Returns?

 Discussant: Andrei Goncalves (UNC)

Session 4 (10:30am-12:00pm), Session Chair: TBD

Christian Heyerdahl-Larsen (Indiana), Philipp Illeditsch (Wharton), Howard Kung (LBS)
Disagreement about Innovations and Endogenous Growth

 Discussant: Nicolae Garleanu (UC Berkeley)

Nicolae Garleanu (UC Berkeley), Stavros Panageas (UCLA)
What to Expect when Everyone is Expecting: Self-Fulfilling Expectations and Asset-Pricing Puzzles

 Discussant: Hengjie Ai (Minnesota)

Session 5 (1:30-3:00pm), Session Chair: TBD

Jules van Binsbergen (Wharton), John Kim (Emory), Soohun Kim (Georgia Tech)
Capital Allocation and the Market for Mutual Funds: Inspecting the Mechanism

 Discussant: Harrison Hong (Columbia)

Antonio Coppola (Harvard Econ), Matteo Maggiori (Harvard Econ),
Brent Neiman (Chicago Booth), Jesse Schreger (Columbia)
Redrawing the Map of Global Capital Flows: The Role of Cross-Border Financing and Tax Havens

 Discussant: Frank Warnock (UVA Darden)