March 12-13, 2010
Location/Schedule Location: Lilly Classroom
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Symposiums/Sessions for Friday | Saturday
ASSET PRICING TENTATIVE CONFERENCE SCHEDULE Titles of Symposium and Sessions |
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1:00 - 2:00 P.M. |
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| Session A - Paper 1 | The Federal Reserve and the Cross Section of Stock Returns |
| Erica Li (University of Michigan) | |
| Francisco Palomino (University of Michigan) | |
| Discussant | Adrien Verdelhan (MIT) |
| 2:00 - 3:00 P.M. | |
| Session A - Paper 2 | A Cross-Sectional Investigation of the Conditional ICAPM |
| Turan Bali (Baruch College) | |
| Robert Engle (NYU) | |
| Discussant | Jay Shanken (Emory) |
3:30 - 4:30 P.M. |
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| Session B - Paper 3 | The Cross-Section and Time-Series of Stock and Bond Returns |
| Hanno Lustig (UCLA) | |
| Ralph Koijen of (University of Chicago) | |
| Stijn Van Nieuwerburgh (NYU) | |
| Discussant | Lukas Schmid (Duke) |
| 4:30 - 5:30 P.M. | |
| Session B - Paper 4 | The "Out-of-sample" Performance of Long Run Risk Models |
| Wayne Ferson (University of Southern California) | |
| Suresh Nallareddy (University of Southern California) | |
| Biqin Xie (University of Southern California) | |
| Discussant | Dana Kiku (University of Pennsylvania) |
| 7:00 P.M. | |
| Dinner | Located at Old Faculty Lounge, Fuqua School of Business |
| Key Note Speaker | Robert F. Engle (NYU) |
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 | Strategic Relationships in Over-the-Counter Markets |
| Ana Babus (University of Cambridge) | |
| Discussant | Pete Kyle (University of Maryland) |
| 9:45 - 10:45 A.M. | |
| Session C - Paper 6 | Asymmetric Information, Endogenous Illiquidity, and Asset Pricing With Imperfect Competition |
| Hong Liu (Washington University in St. Louis) | |
| Yajun Wang | |
| Discussant | Avanidhar Subrahmanyam (UCLA) |
| 11:00 - 12:00 P.M. | |
| Session C - Paper 7 | Mind the Gap: Disentangling Credit and Liquidity in Risk Spreads |
| Krista Schwarz (University of Pennsylvania). | |
| Discussant | Anh Le (UNC Chapel Hill) |
| 12:00 P.M. | |
| Lunch | Served in Thomas Center Dining Room |
| 1:00 - 2:00 P.M. | |
| Session E - Paper 8 | Index Investing and the Financialization of Commodities |
| Ke Tang of Renmin(University of China) | |
| Wei Xiong (Princeton) | |
| Discussant | Ralph Koijen of (University of Chicago) |
| 2:00 - 3:00 P.M. | |
| Session D - Paper 9 | The Consumption of Active Investors and Asset Prices |
| Adam Zawadowski (Princeton) | |
| Discussant | John Heaton (University of Chicago) |
| 3:30 - 4:30 P.M. | |
| Session D - Paper 10 | Improving Portfolio Selection Using Option-Implied Volatility and Skewness |
| Victor DeMiguel (London Business School) | |
| Yuliya Plyakha (Goethe University Frankfurt) | |
| Raman Uppal (London Business School) | |
| Grigory Vilkov (Goethe University Frankfurt) | |
| Discussant | Jakub Jurek (Princeton) |