NATIONAL
BUREAU OF ECONOMIC RESEARCH, INC. |
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SUMMER
INSTITUTE 2010 |
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Asset Pricing Workshop |
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Organizers:
Monika Piazzesi and Pierre Olivier Weill |
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July
12 and 13, 2010 |
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Hotel Marlowe |
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PROGRAM |
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MONDAY,
JULY 12: |
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Coffee
and Pastries |
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Session
1 |
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Francois
Gourio, |
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Discussant: Urban
Jermann, |
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Break |
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Xiaoji Lin and Jack Favilukis,
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4 |
Discussant: Dimitris Pananikolau, Northwestern University and NBER |
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Lunch |
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Session
2 |
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Adam
Kolasinksi, |
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Adam
Reed and Matthew Riggenberg, |
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A Multiple Lender Approach to
Understanding Supply and Search in the Equity Lending Market |
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Discussant: Lauren Cohen, |
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Lubos Pastor, |
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Robert
Stambaugh, |
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Discussant: Rick Green, |
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Break |
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Session
3 |
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Kristoffer Nimark, Universitat Pompeu Fabra |
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Speculative
Dynamics in the Term Structure of Interest Rates |
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Discussant: Kenneth Singleton, |
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Alexander
David, |
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Pietro Veronesi,
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What Ties Return Volatilities to Price
Valuations and Fundamentals? |
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Discussant: Luis Viceira, |
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Adjourn |
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Group
Dinner Hotel Marlowe |
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TUESDAY
JULY 13: |
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Coffee
and Pastries |
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Session 1 |
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Mark
Hugget, |
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Greg
Kaplan, Federal Reserve Bank of |
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Human
Capital Values and Returns: Bounds Implied By Earnings and Asset Returns Data
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Discussant: Adrien
Verdelhan, MIT and NBER |
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Yi-Li
Chien, |
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Harold
L. Cole, |
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Hanno
Lustig, UC, |
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Is
the Volatility of the Market Price of Risk Due to Intermittent Portfolio
Re-Balancing? |
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Discussant: Amir
Yaron, |
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Break |
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Session 2 |
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Nicolae Garleanu, UC, Berkeley and NBER |
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Margin-Based
Asset Pricing and Deviations from the Law of One Price |
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Discussant: Arvind
Krishnamurthy, Northwestern University and NBER |
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Tobias
Adrian and Emanuel Moench, Federal Reserve Bank of |
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Hyun
Shin, |
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Financial
Intermediation, Asset Prices, and Macroeconomic Dynamics |
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Discussant: Annette Vissing
Jorgensen, Northwestern University and NBER |
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Lunch
(at the Royal Sonesta Hotel) |
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Session 3 Joint with the
Corporate Finance Group |
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Zhiguo He, |
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Arvind Krishnamurthy, Northwestern
University and NBER |
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Break |
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Thomas
Philippon, |
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Philipp
Schnabel, |
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4:00
pm |
Adjourn |