March 9-10, 2012

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
FRIDAY, MARCH 9, 2012
11:45 - 12:45 P.M.
  
Lunch Served in Thomas Center Dining Room
1:00 - 3:00 P.M.
 Session 1: Understanding Macro Shocks
Session 1 - Paper 1 Examining Macroeconomic Models through the Lens of Asset Pricing
Jaroslav Borovicka (University of Chicago), Lars Peter Hansen (University of Chicago)
Discussant Lars Lochstoer (Columbia University)
Session 1 - Paper 2 Shocks and Crashes
Martin Lettau (UC Berkeley), Sydney Ludvigson (NYU)
Discussant Dana Kiku (University of Pennsylvania)
3:30 - 5:30 P.M.
 Session 2: International Financial Markets
Session 2 - Paper 1

The Share of Systematic Variation in Bilateral Exchange Rate
Adrien Verdelhan (MIT)
Discussant Max Croce (University of North Carolina)
Session 2 - Paper 2

International Correlation Risk
Philippe Mueller (LSE), Andreas Stathopoulos (USC), Andrea Vedolin (LSE)
Discussant Ivan Shaliastovich (University of Pennsylvania)
5:30 - 6:45 P.M.
Reception Reception at Esbenshade
7:00 P.M. -9:00 PM
Dinner Located at Old Faculty Lounge, Fuqua School of Business
Key Note Speaker

Kenneth Singleton (Stanford University)

SATURDAY, MARCH 10, 2012

7:00 A.M.
Breakfast Served in Thomas Center Dining Room
8:30 - 10:30 A.M.
 Session 3: Liquidity
Session 3 - Paper 1

The Equilibrium Dynamics of Liquidity and Illiquid Asset Prices
Adrian Buss (University of Frankfurt), Bernard Dumas (INSEAD)
Discussant Fernando Zapatero (USC)
Session 3 - Paper 2

Endogenous Liquidity and Defaultable Bonds
Zhiguo He (University of Chicago), Konstantin Milbradt (MIT)
Discussant Barney Hartman-Glaser (Duke University)
11:00 - 2:00 P.M.
 Session 4: Cross-Section of Returns
Session 4 - Paper 1

The Growth Premium
Jason Chen (University of British Columbia)
Discussant John Heaton (University of Chicago)
Lunch Served in Faculty Hall
Session 4 - Paper 2

The Relative Leverage Premium
Filippo Ippolito (Universitat Pompeu Fabra), Roberto Steri (Bocconi), Claudio Tebaldi (Bocconi)
Discussant Lars Kuehn (Carnegie Mellon University)
2:15 - 4:15 P.M.
 Session 5: Non-Standard Risks
Session 5 - Paper 1

Political Uncertainty and Risk Premia
Lubos Pastor (University of Chicago), Pietro Veronesi (University of Chicago)
Discussant Mikhail Chernov (LSE)
Session 5 - Paper 2

Technological Innovation, Resource Allocation and Growth
Leonid Kogan (MIT), Dimitris Papanikolou (Northwestern University), Amit Seru (University of Chicago), Noah Stoffman (Indiana University)
Discussant Stavros Panageas (University of Chicago)