SI 2022 Asset Pricing
Organized by Ralph S. J. Koijen and Sydney C. Ludvigson
July 14-15, 2022
Royal Sonesta Hotel, 40 Edwin H. Land Blvd., Cambridge, MA and zoom.us
Thursday, July 14
8:00 am
Coffee and Pastries
Morning joint with MEFM
8:30 am

Credit Crunches and the Great Stagflation

Itamar Drechsler, University of Pennsylvania and NBER
Alexi Savov, New York University and NBER
Philipp Schnabl, New York University and NBER

Discussant:
Juliane Begenau, Stanford University and NBER
9:30 am
Break
9:45 am

Monetary Policy, Segmentation, and the Term Structure

Rohan Kekre, University of Chicago and NBER
Moritz Lenel, Princeton University and NBER
Federico Mainardi, Columbia University

Discussant:
Anna Cieslak, Duke University and NBER
10:45 am
Break
11:00 am

A Stock Return Decomposition Using Observables

Benjamin Knox, Federal Reserve Board of Governors
Annette Vissing-Jorgensen, Federal Reserve Board of Governors and NBER

Discussant:
Jules H. van Binsbergen, University of Pennsylvania and NBER
12:00 pm
Lunch
1:00 pm

A Quantity-Based Approach to Constructing Climate Risk Hedge Portfolios

Georgij Alekseev, New York University
Stefano Giglio, Yale University and NBER
Quinn Maingi, University of Southern California
Julia Selgrad, University of Chicago
Johannes Stroebel, New York University and NBER

Discussant:
Lauren Cohen, Harvard University and NBER
2:00 pm

Concealed Carry

Spencer B. Andrews, University of North Carolina at Chapel Hill
Riccardo Colacito, University of North Carolina at Chapel Hill and NBER
Mariano Max Croce, Bocconi University
Federico Gavazzoni, Norwegian Business School

Discussant:
Hanno Lustig, Stanford University and NBER
3:00 pm
Break
3:15 pm

Dynamics of Subjective Risk Premia

Stefan Nagel, University of Chicago and NBER
Zhengyang Xu, City University of Hong Kong

Discussant:
Harrison Hong, Columbia University and NBER
4:15 pm
Adjourn
Friday, July 15
8:00 am
Coffee and Pastries
8:30 am

Do Common Factors Really Explain the Cross-Section of Stock Returns? (slides)

Alejandro Lopez-Lira, University of Florida
Nikolai Roussanov, University of Pennsylvania and NBER

Discussant:
Bryan T. Kelly, Yale University and NBER
9:30 am

Valuing Financial Data

Maryam Farboodi, Massachusetts Institute of Technology and NBER
Dhruv Singal, Columbia University
Laura Veldkamp, Columbia University and NBER
Venky Venkateswaran, New York University and NBER

Discussant:
Cecilia Parlatore, New York University and NBER
10:30 am
Break
10:45 am

Household Portfolios and Retirement Saving over the Life Cycle

Jonathan A. Parker, Massachusetts Institute of Technology and NBER
Antoinette Schoar, Massachusetts Institute of Technology and NBER
Allison T. Cole, Arizona State University
Duncan Simester, Massachusetts Institute of Technology

Discussant:
Sylvain Catherine, University of Pennsylvania
11:45 am
Lightning Session

Interest Rate Skewness and Biased Beliefs

Michael D. Bauer, Federal Reserve Bank of San Francisco
Mikhail Chernov, University of California, Los Angeles and NBER

Main Street's Pain, Wall Street's Gain

Nancy R. Xu, Boston College
Yang You, The University of Hong Kong (HKU)

The Day Destroys the Night, Night Extends the Day: A Clientele Perspective on Equity Premium Variation

Dong Lou, London School of Economics and Political Science (LSE)
Christopher Polk, London School of Economics and Political Science (LSE)
Spyros Skouras, Athens University of Economics and Business
12:45 pm
Lunch
1:45 pm

Asset-Price Redistribution

Andreas Fagereng, BI Norwegian Business School
Matthieu Gomez, Columbia University
Émilien Gouin-Bonenfant, Columbia University
Martin Blomhoff Holm, University of Oslo
Benjamin Moll, London School of Economics and Political Science (LSE)
Gisle Natvik, BI Norwegian Business School

Discussant:
Stijn Van Nieuwerburgh, Columbia University and NBER
2:45 pm

Stock Market Stimulus

Robin Greenwood, Harvard University and NBER
Toomas Laarits, New York University
Jeffrey Wurgler, New York University and NBER

Discussant:
Arvind Krishnamurthy, Stanford University and NBER
3:45 pm
Adjourn