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Asset Pricing Program Meeting

Kent D. Daniel and Robert Hodrick, Organizers

November 6, 2015

Stanford Graduate School of Business

Bass Building, Room B400
Knight Management Center
655 Knight Way
Stanford, CA 94305



Friday, November 06:

8:00 am

Continental Breakfast

8:30 am

David Backus, New York University and NBER
Nina Boyarchenko, Federal Reserve Bank of New York
Mikhail Chernov, University of California at Los Angeles
Term Structures of Asset Prices and Returns

Discussant: Lars Lochstoer, Columbia University

9:30 am


9:45 am

Michael Weber, University of Chicago
The Term Structure of Equity Returns: Risk or Mispricing?

Discussant: Jules van Binsbergen, University of Pennsylvania and NBER

10:45 am


11:00 am

Dong Lou, London School of Economics
Christopher Polk, London School of Economics
Spyros Skouras, Athens University of Economics and Business
A Tug of War: Overnight Versus Intraday Expected Returns

Discussant: Andrea Frazzini, AQR Capital Management

12:00 pm


1:15 pm

Zhiguo He, University of Chicago and NBER
Bryan T. Kelly, University of Chicago and NBER
Asaf Manela, Washington University in St. Louis
Intermediary Asset Pricing: New Evidence from Many Asset Classes

Discussant: Tyler Muir, Yale University

2:15 pm


2:30 pm

Ian Dew-Becker, Northwestern University
Stefano Giglio, University of Chicago and NBER
Anh T. Le, University of North Carolina
Marius Rodriguez, Federal Reserve Board
The Price of Variance Risk

Discussant: Itamar Drechsler, New York University and NBER

3:30 pm


3:45 pm

Nicolae B. Garleanu, University of California at Berkeley and NBER
Lasse H. Pedersen, Copenhagen Business School
Efficiently Inefficient Markets for Assets and Asset Management

Discussant: Tano Santos, Columbia University and NBER

4:45 pm


6:00 pm

Dinner (Joint with Corporate Finance)
MacArthur Park Restaurant

27 University Avenue
Palo Alto, CA 94301