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Location/Schedule

Location:

RJR Classroom
The Fuqua School of Business
Duke University
Durham, North Carolina

 

Symposiums/Sessions for Friday | Saturday

ASSET PRICING TENTATIVE CONFERENCE SCHEDULE
Titles of Symposium and Sessions
(Authors in bold are presenters)
FRIDAY, OCTOBER 21th, 2005
1:00 - 2:00 P.M.
Session A - Paper 1 What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations? (PDF)
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 (PDF)
Joost Driessen (University of Amsterdam)
Pascal Maenhout (INSEAD)
Grigory Vilkov (INSEAD)
Discussant David Bates (Iowa)
3:30 - 4:30 P.M.
Session B - Paper 3 Advisors and Asset Prices: A Model of the Origins of Bubbles (PDF)
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 (PDF)
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)
SATURDAY, OCTOBER 22, 2005

7:00 A.M.

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 (PDF)
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 (PDF)
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 (PDF)
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 (PDF)
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 (PDF)
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 (PDF)
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 (PDF)
Jennifer Huang (University of Texas - Austin)
Jiang Wang (M.I.T.)
Discussant Jacob Sagi (Berkeley)

 

 


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