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) |