NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.

 

ASSET PRICING PROGRAM MEETING

 

Hanno Lustig and Monika Piazzesi, Organizers

 

April 25, 2008

                       

University of Chicago

                                                Gleacher Center, GSB (Downtown Chicago)

                                                                        Room 206

450 North Cityfront Plaza Drive

Chicago, IL 60611

 

PROGRAM

 

THURSDAY, APRIL 24:

 

7:00 pm            Dinner

                        InterContinental Chicago

                        Empire Room

                        505 N Michigan Avenue

                        Chicago, IL 60611

 

FRIDAY, APRIL 25:

 

8:00 am            Continental Breakfast                            

 

8:30 am            ZHI DA and PENGJIE GAO, University of Notre Dame

                        RAVI JAGANNATHAN, Northwestern University and NBER

                        When Does A Mutual Fund’s Trade Reveal its Skill?

 

                        Discussant:        JONATHAN BERK, UC, Berkeley and NBER

 

9:30 am            Break

                                               

9:45 am            RUI ALBUQUERQUE and JIANJUN MIAO, Boston University

                        Advance Information and Asset Prices

 

                        Discussant:        SNEHAL BANERJEE, Northwestern University

                                     

10:45 am           Break

 

11:00 am           ZHIGUO HE and ARVIND KRISHNAMURTHY, Northwestern University

                        Intermediary Asset Pricing

 

                        Discussant:        STAVROS PANAGEAS, University of Pennsylvania

 

12:00 pm          Lunch

                        InterContinental Chicago

                        Empire Room

                        505 N Michigan Avenue

                        Chicago, IL 60611

 

1:15 pm            CHRISTINE PARLOUR and JOHAN WALDEN, UC, Berkeley

                        Capital, Contracts, and the Cross Section of Stock Returns

           

                        Discussant:        ADRIANO RAMPINI, Duke University

 

2:15 pm            Break

 

2:30 pm            PEDRO SANTA-CLARA, UC, Los Angeles and NBER

                        SHU YAN, University of South Carolina

                        Crashes, Volatility, and the Equity Premium: Lessons from the S&P 500 Options

 

                        Discussant:        RAVI BANSAL, Duke University and NBER

 

3:30 pm            Break                                      

 

3:45 pm            JOHN COCHRANE University of Chicago and NBER

                        A Mean-Variance Benchmark for Intertemporal Portfolio Theory

                       

                        Discussant:        STANLEY ZIN, Carnegie Mellon University and NBER                         

 

4:45 pm            Adjourn

 

4/10/08