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Location/Schedule

Location:

Lilly 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
FRIDAY, MARCH 12, 2010
1:00 - 2:00 P.M.
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.
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)
SATURDAY, MARCH 13, 2010

7:00 A.M.

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)
 


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