SI 2016 Asset Pricing
Organized by Monika Piazzesi, Sydney C. Ludvigson, and Stijn Van Nieuwerburgh
Supported by the NASDAQ OMX Education Foundation
July 14-15, 2016
Royal Sonesta Hotel

Thursday, July 14

1:00 pm

Asset Pricing with Endogenously Uninsurable Tail Risk

Anmol P. Bhandari, University of Minnesota and NBER
Hengjie Ai, University of Wisconsin - Madison

2:00 pm

Labor Rigidity and the Dynamics of the Value Premium

Roberto Marfe, Collegio Carlo Alberto

3:15 pm

Why Don’t We Agree? Evidence from a Social Network of Investors

J. Anthony Cookson, University of Colorado Boulder
Marina Niessner, Indiana University

Friday, July 15

8:30 am

Real Anomalies: Are Financial Markets a Sideshow?

Jules H. van Binsbergen, University of Pennsylvania and NBER
Christian C. Opp, University of Rochester and NBER

9:30 am

Contractionary Volatility or Volatile Contractions?

David W. Berger, Duke University and NBER
Ian Dew-Becker, Federal Reserve Bank of Chicago
Stefano Giglio, Yale University and NBER

11:00 am

Mortgage Debt, Consumption, and Illiquid Housing Markets in the Great Recession

Aaron Hedlund, Purdue University
Carlos Garriga, Federal Reserve Bank of St. Louis

1:00 pm

Can ETFs Increase Market Fragility? Effect of Information Linkages in ETF Markets

Ayan Bhattacharya, Baruch College of the City University of New York
Maureen O'Hara, Cornell University

2:30 pm

A Macrofinance View of US Sovereign CDS Premiums

Mikhail Chernov, University of California, Los Angeles and NBER
Lukas Schmid, University of Southern California
Andreas Schneider, University of California, Los Angeles

3:30 pm

The Globalization Risk Premium

Erik Loualiche, University of Minnesota
Jean-Noel Barrot, HEC Paris
Julien Sauvagnat, Bocconi University