Asset Pricing Program Meeting
Organized by Hanno Lustig and Stefan Nagel
October 26, 2012
SIEPR

Friday, October 26

1

The Pre-FOMC Announcement Drift

David Lucca, Jane Street
Emanuel Moench, Frankfurt School of Finance & Management

2

Wage Rigidity: A Solution to Several Asset Pricing Puzzles

Jack Favilukis, University of British Columbia
Xiaoji Lin, University of Minnesota

3

Financial Intermediaries and the Cross Section of Asset Returns

Tyler Muir, University of California, Los Angeles and NBER
Tobias Adrian, International Monetary Fund
Erkko Etula, Goldman Sachs

4

Trading in Derivatives when the Underlying is Scarce

Snehal Banerjee, University of Michigan
Jeremy Graveline, University of Minnesota

5

Comomentum: Inferring Arbitrage Capital from Return Correlations

Dong Lou, London School of Economics and Political Science (LSE)
Christopher Polk, London School of Economics and Political Science (LSE)

	Asset Pricing Program Meeting Organized by Hanno Lustig and Stefan Nagel October 26, 2012 SIEPR
	Friday, October 26
1	The Pre-FOMC Announcement Drift David Lucca, Jane Street Emanuel Moench, Frankfurt School of Finance & Management
2	Wage Rigidity: A Solution to Several Asset Pricing Puzzles Jack Favilukis, University of British Columbia Xiaoji Lin, University of Minnesota
3	Financial Intermediaries and the Cross Section of Asset Returns Tyler Muir, University of California, Los Angeles and NBER Tobias Adrian, International Monetary Fund Erkko Etula, Goldman Sachs
4	Trading in Derivatives when the Underlying is Scarce Snehal Banerjee, University of Michigan Jeremy Graveline, University of Minnesota
5	Comomentum: Inferring Arbitrage Capital from Return Correlations Dong Lou, London School of Economics and Political Science (LSE) Christopher Polk, London School of Economics and Political Science (LSE)