December 7-8, 2007
Location/Schedule Location: The Fuqua School of Business
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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 | The Levered Equity Risk Premium and Credit Spreads: A Unified Framework |
| Harjoat S. Bhamra (University of British Columbia) | |
| Lars-Alexander Kuehn (University of British Columbia) | |
| Ilya A. Strebulaev (Stanford) | |
| Discussant: | Hanno Lustig (UCLA) |
| 2:00 - 3:00 P.M. | |
| Session A - Paper 2 | Levered Returns |
| Joao F. Gomes (University of Pennsylvania) | |
| Lukas Schmid (University of Lausanne) | |
| Discussant: | Lu Zhang (University of Michigan) |
3:30 - 4:30 P.M. |
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| Session B - Paper 3 | The Aggregate Demand for Treasury Debt |
| Arvind Krishnamurthy(Northwestern) | |
| Annette Vissing-Jorgensen (Northwestern and NBER) | |
| Discussant: | Robin Greenwood (Harvard) |
| 4:30 - 5:30 P.M. | |
| Session B - Paper 4 | The empirical importance of background risks |
| Darius Paliaa (Rutgers) | |
| Yaxuan Qi (Concordia and Northwestern) | |
| Yangru Wua (Rutgers) | |
| Discussant: | Mariano M. Croce (UNC Chapel Hill) |
| 7:00 P.M. | |
| Dinner | Located at the Washington Duke Inn |
| Keynote Speaker | John Campbell (Harvard) |
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 | Bond Pricing, Habits, and a Simple Policy Rule |
| Michael Gallmeyer (Texas A&M) | |
| Burton Hollifield (Carnegie Mellon) | |
| Francisco Palomino (Carnegie Mellon) | |
| Stanley Zin (Carnegie Mellon and NBER) | |
| Discussant: | Motohiro Yogo (Princeton) |
| 9:45 - 10:45 A.M. | |
| Session C - Paper 6 | The representative agent of an economy with external habit-formation and heterogenous risk-aversion |
| Costas Xiouros (USC) | |
| Fernando Zapatero (USC) | |
| Discussant: | Leonid Kogan (MIT) |
| 11:00 - 12:00 P.M. | |
| Session C - Paper 7 | Young, Old, Conservative and Bold: The asset pricing implications of heterogeneity and finite lives |
| Nicolae Gârleanu(University of Pennsylvania) | |
| Stavros Panageas (University of Pennsylvania) | |
| Discussant: | Hengji Ai (Duke) |
| 12:00 P.M. | |
| Lunch | Lunch |
| 1:00 - 2:00 P.M. | |
| Session D - Paper 8 | Economic Catastrophe Bonds |
| Joshua D. Coval (Harvard) | |
| Jakub W. Jurek (Harvard) | |
| Erik Stafford (Harvard) | |
| Discussant: | Mikhail Chernov (London Business School) |
| 2:00 - 3:00 P.M. | |
| Session D - Paper 9 | Difference in Beliefs and Currency Option Markets |
| Alessando Beber (HEC Lausanne) | |
| Francis Breedon (Imperial College London) | |
| Andrea Buraschi (Imperial College London) | |
| Discussant: | Chris Jones (University of South California) |
| 3:30 - 4:30 P.M. | |
| Session E - Paper 10 | Rank fund managers by the accuracy of their beliefs |
| Kathy Yuan (University of Michigan) | |
| Discussant: | Clemens Sialem (University of Texas Austin) |
| 4:30 - 5:30 P.M. | |
| Session E - Paper 11 | Dynamic Mean-Variance Asset Allocation |
| Suleyman Basak (London Business School and CEPR) | |
| Georgy Chabakauri (London Business School) | |
| Discussant: | Hong Liu (University of Washington at St. Louis) |