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NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.

SI 2014 Asset Pricing

Markus K. Brunnermeier and Wei Xiong, Organizers

July 10-11, 2014

Ballroom A
Royal Sonesta Hotel
40 Edwin H. Land Blvd.
Cambridge, MA

PROGRAM

 

Thursday, July 10:

8:00 am

Coffee and Pastries

Monetary Policy and Asset Prices

8:30 am

John Y. Campbell, Harvard University and NBER
Carolin Pflueger, University of British Columbia
Luis M. Viceira, Harvard University and NBER
Monetary Policy Drivers of Bond and Equity Risks

Discussant: Monika Piazzesi, Stanford University and NBER

9:30 am

Zhaogang Song, Federal Reserve Board
Haoxiang Zhu, Massachusetts Institute of Technology and NBER
QE Auctions of Treasury Bonds

Discussant: Arvind Krishnamurthy, Northwestern University and NBER

10:30 am

Break

11:00 am

Aytek Malkhozov, McGill University
Philippe Mueller, London School of Economics
Andrea Vedolin, London School of Economics
Gyuri Venter,
Copenhagen Business School
Mortgage Risk and the Yield Curve

Discussant: John Cochrane, University of Chicago and NBER

12:00 n

Lunch

Financial Frictions

1:00 pm

Peter Kondor, Central European University

Dimitri Vayanos, London School of Economics and NBER

Liquidity Risk and the Dynamics of Arbitrage Capital


Discussant: Itamar Drechsler

2:00 pm

Tyler Muir, Yale University
Financial Crises and Risk Premia

Discussant: Alexi Savov, New York University and NBER

3:00 pm

Break

3:20 pm

Roger Farmer, University of California at Los Angeles and NBER
Asset Prices in a Lifecycle Economy

Discussant: Valentin Haddad, Princeton University

4:20 pm

Adjourn

6:30 pm

Group Dinner - Hotel Marlowe, Serrano Ballroom  (across the street from the Royal Sonesta Hotel)


Friday, July 11:

8:00 am

Coffee and Pastries

Derivatives

8:30 am

Jakub W. Jurek, Princeton University and NBER
Zhikai Xu, AQR Capital Management
Option-Implied Currency Risk Premia

Discussant: Pietro Veronesi, University of Chicago and NBER

9:30 am

Itzhak Ben-David, Ohio State University and NBER
Francesco Franzoni, Swiss Finance Institute
Rabih Moussawi, University of Pennsylvania
Do ETFs Increase Volatility?

Discussant: Martin Oehmke, Columbia University

10:30 am

Break

11:00 am

Andrew Ang, Columbia University and NBER
Richard Green, Carnegie Mellon University and NBER
Yuhang Xing, Columbia University
Advance Refundings of Municipal Bonds

Discussant: Stefan Nagel, University of Michigan and NBER

12:00 n

Lunch

Real Assets and Investor Behavior

1:00 pm

Sebastien Betermier, McGill University
Laurent E. Calvet, HEC School of Management, Paris
Paolo Sodini, Stockholm School of Economics
Who are the Value and Growth Investors?

Discussant: Jonathan Parker, Massachusetts Institute of Technology and NBER

2:00 pm

Break

2:30 pm

Charles Nathanson, Harvard University
Eric Zwick, Harvard University
Arrested Development: Theory and Evidence of Supply-Side Speculation in the Housing Market

Discussant: Christopher J. Mayer, Columbia University and NBER

3:30 pm

Robin Greenwood, Harvard University and NBER
Samuel Hanson, Harvard University and NBER
Waves in Ship Prices and Investment

Discussant: Ing-haw Cheng, Dartmouth College

4:30 pm

Adjourn