NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.
SUMMER INSTITUTE 2010
Asset Pricing Workshop
Organizers: Monika Piazzesi and Pierre Olivier Weill
July 12 and 13, 2010
Hotel Marlowe
25 Edwin H. Land Boulevard
Cambridge, Massachusetts
PROGRAM
MONDAY, JULY 12:
9:00 am	Coffee and Pastries
Session 1
9:30 am	Francois Gourio, Boston University and NBER
	Disaster Risk and Business Cycles
	Discussant: Urban Jermann, University of Pennsylvania and NBER
10:30 am	Break
11:00 am	Xiaoji Lin and Jack Favilukis, London School of Economics
	Micro Frictions, Asset Pricing, and Aggregate Implications
4	Discussant: Dimitris Pananikolau, Northwestern University and NBER
12:00 n	Lunch
Session 2
1:00 pm	Adam Kolasinksi, University of Washington
	Adam Reed and Matthew Riggenberg, University of North Carolina at Chapel Hill
	A Multiple Lender Approach to Understanding Supply and Search in the Equity Lending Market
	Discussant: Lauren Cohen, Harvard University and NBER
2:00 pm	Lubos Pastor, University of Chicago and NBER
	Robert Stambaugh, University of Pennsylvania and NBER
	On the Size of the Active Management Industry
	Discussant: Rick Green, Carnegie Mellon University
3:00 pm	Break
Session 3
3:30 pm	Kristoffer Nimark, Universitat Pompeu Fabra
	Speculative Dynamics in the Term Structure of Interest Rates
	Discussant: Kenneth Singleton, Stanford University and NBER
4:30 pm	Alexander David, University of Calgary
	Pietro Veronesi, University of Chicago and NBER
	What Ties Return Volatilities to Price Valuations and Fundamentals?
	Discussant: Luis Viceira, Harvard University and NBER
5:30 pm	Adjourn
6:30 pm	Group Dinner – Hotel Marlowe
TUESDAY JULY 13:
8:00 am	Coffee and Pastries
Session 1
8:30 am	Mark Hugget, Georgetown University
	Greg Kaplan, Federal Reserve Bank of Minneapolis
	Human Capital Values and Returns: Bounds Implied By Earnings and Asset Returns Data
	Discussant: Adrien Verdelhan, MIT and NBER
9:30 am	Yi-Li Chien, Purdue University
	Harold L. Cole, University of Pennsylvania and NBER
	Hanno Lustig, UC, Los Angeles and NBER
	Is the Volatility of the Market Price of Risk Due to Intermittent Portfolio Re-Balancing?
	Discussant: Amir Yaron, University of Pennsylvania and NBER
10:30 am	Break
Session 2
10:45 am	Nicolae Garleanu, UC, Berkeley and NBER
	Lasse Pedersen, New York University and NBER
	Margin-Based Asset Pricing and Deviations from the Law of One Price
	Discussant: Arvind Krishnamurthy, Northwestern University and NBER
11:45 am	Tobias Adrian and Emanuel Moench, Federal Reserve Bank of New York
	Hyun Shin, Princeton University
	Financial Intermediation, Asset Prices, and Macroeconomic Dynamics
	Discussant: Annette Vissing Jorgensen, Northwestern University and NBER
1:00 pm	Lunch (at the Royal Sonesta Hotel)
Session 3 – Joint with the Corporate Finance Group
2:00 pm	Zhiguo He, University of Chicago
	Arvind Krishnamurthy, Northwestern University and NBER
	Balance Sheet Adjustment in the 2008 Crisis
2:50 pm	Break
3:10 pm	Thomas Philippon, New York University and NBER
	Philipp Schnabel, New York University
	Efficient Recapitalization
4:00 pm	Adjourn