October 21-22, 2005
Location/Schedule Location: RJR Classroom
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Symposiums/Sessions for Friday | Saturday
ASSET PRICING TENTATIVE CONFERENCE SCHEDULE Titles of Symposium and Sessions (Authors in bold are presenters) |
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1:00 - 2:00 P.M. |
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| Session A - Paper 1 | What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations? |
| Bernard Dumas (INSEAD) | |
| Alexander Kurshev (London Business School) | |
| Raman Uppal (London Business School) | |
| Discussant | Jiang Wang (MIT) |
| 2:00 - 3:00 P.M. | |
| Session A - Paper 2 | Option-Implied Correlations and the Price of Correlation Risk |
| Joost Driessen (University of Amsterdam) | |
| Pascal Maenhout (INSEAD) | |
| Grigory Vilkov (INSEAD) | |
| Discussant | David Bates (Iowa) |
3:30 - 4:30 P.M. |
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| Session B - Paper 3 | Advisors and Asset Prices: A Model of the Origins of Bubbles |
| Harrison Hong (Princeton University) | |
| Jose Scheinkman (Princeton University) | |
| Wei Xiong (Princeton University) | |
| Discussant | Kerry Back (Texas A&M) |
| 4:30 - 5:30 P.M. | |
| Session B - Paper 4 | Optimal Learning and New Technology Bubbles |
| Tim Johnson (London Business School) | |
| Discussant | Stavros Panageas (University of Pennsylvania) |
| 7:00 P.M. | |
| Dinner | Located at Washington Duke Inn |
| Key Note Speaker | Bob Litterman (Goldman Sachs Asset Management) |
7:00 A.M. |
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| Breakfast | Served in Thomas Center Dining Room |
| 8:30 - 9:30 A.M. | |
| Session C - Paper 5 | Long-Run Stockholder Consumption Risk and Asset Returns |
| Christopher Malloy (London Business School) | |
| Tobias Moskowitz (University of Chicago) | |
| Annette Vissing-Jorgensen (Northwestern University) | |
| Discussant | Amir Yaron (University of Pennsylvania) |
| 9:45 - 10:45 A.M. | |
| Session C - Paper 6 | Euler Equation Errors |
| Martin Lettau (New York University) | |
| Sydney Ludvigson (New York University) | |
| Discussant | George Tauchen (Duke) |
| 11:00 - 12:00 P.M. | |
| Session C - Paper 7 | Lazy Investors, Discretionary Consumption, and the Cross Section of Stock Returns |
| Ravi Jagannathan (Northwestern University) | |
| Yong Wang (Northwestern University) | |
| Discussant | Robert Dittmar (Michigan) |
| 12:00 P.M. | |
| Lunch | Served in Thomas Center Dining Room |
| 1:00 - 2:00 P.M. | |
| Session D - Paper 8 | Money Illusion and Housing Frenzies |
| Markus Brunnemeier (Princeton University) | |
| Christian Juliard (Princeton University) | |
| Discussant | Adriano Rampini (Northwestern) |
| 2:00 - 3:00 P.M. | |
| Session D - Paper 9 | Testing Factor-Model Explanations of Market Anomalies |
| Kent Daniel (Northwestern University) | |
| Sheridan Titman (University of Texas - Austin) | |
| Discussant | Jonathan Lewellen (Dartmouth) |
| 3:30 - 4:30 P.M. | |
| Session E - Paper 10 | Asset Pricing in Markets With Illiquid Assets |
| Francis Longstaff (UCLA) | |
| Discussant | Leonid Kogan (MIT) |
| 4:30 - 5:30 P.M. | |
| Session E - Paper 11 | Market Liquidity and Asset Prices under Costly Participation |
| Jennifer Huang (University of Texas - Austin) | |
| Jiang Wang (M.I.T.) | |
| Discussant | Jacob Sagi (Berkeley) |