SI 2023 Asset Pricing
Organized by Ralph S. J. Koijen and Sydney C. Ludvigson
July 13-14, 2023
Royal Sonesta Hotel, 40 Edwin H. Land Blvd., Cambridge, MA and zoom.us
Thursday, July 13
8:00 am
Coffee and Pastries
AP Joint Session with Macro, Money and Financial Frictions
8:30 am

Payments, Reserves, and Financial Fragility

Itay Goldstein, University of Pennsylvania and NBER
Ming Yang, University College London
Yao Zeng, University of Pennsylvania and NBER

Discussant:
Yiming Ma, Columbia University and NBER
9:30 am
Break
9:45 am

A Theory of Payment-Chain Crises

Saki Bigio, University of California, Los Angeles and NBER

Discussant:
Jonathan Payne, Princeton University
10:45 am
Break
11:00 am

The Market for Inflation Risk

Saleem A. Bahaj, University College London
Robert Czech, Bank of England
Sitong Ding, London School of Economics and Political Science (LSE)
Ricardo Reis, London School of Economics and Political Science (LSE)

Discussant:
Carolin Pflueger, University of Chicago and NBER
12:00 pm
Lunch
1:00 pm

Counterproductive Sustainable Investing: The Impact Elasticity of Brown and Green Firms

Samuel M. Hartzmark, Boston College and NBER
Kelly Shue, Yale University and NBER

Discussant:
Niels Joachim Gormsen, University of Chicago and NBER
2:00 pm
Break
2:15 pm

Risk Preferences Implied By Synthetic Options

Ian Dew-Becker, Federal Reserve Bank of Chicago
Stefano Giglio, Yale University and NBER

Discussant:
Itamar Drechsler, University of Pennsylvania and NBER
3:15 pm
Break
3:30 pm

The Rise of Alternatives

Juliane Begenau, Stanford University and NBER
Pauline Liang, Stanford University
Emil Siriwardane, Harvard University and NBER

Discussant:
Yueran Ma, University of Chicago and NBER
4:30 pm
Adjourn
Friday, July 14
8:00 am
Coffee and Pastries
8:30 am

Simple Allocation Rules and Optimal Portfolio Choice Over the Lifecycle

Victor Duarte, University of Illinois Urbana-Champaign
Julia Fonseca, University of Illinois Urbana-Champaign
Aaron S. Goodman, The Vanguard Group
Jonathan A. Parker, Massachusetts Institute of Technology and NBER

Discussant:
David Laibson, Harvard University and NBER
9:30 am
Break
9:45 am

Perceptions about Monetary Policy

Michael D. Bauer, Federal Reserve Bank of San Francisco
Carolin Pflueger, University of Chicago and NBER
Adi Sunderam, Harvard University and NBER

Discussant:
Ricardo Reis, London School of Economics and Political Science (LSE)
10:45 am
Break
Lightning Round
11:00 am

Anomalies and Their Short-Sale Costs

Dmitriy Muravyev, University of Illinois Urbana-Champaign
Neil Pearson, University of Illinois Urbana-Champaign
Joshua Pollet, University of Illinois Urbana-Champaign

Corporate Bond Multipliers: Substitutes Matter

Manav Chaudhary, University of Chicago
Zhiyu Fu, Washington University in St. Louis
Jian Li, Columbia University

The Implied Equity Premium

Paul Tetlock, Columbia University
12:00 pm
Lunch
1:00 pm

The Factor Multiverse: The Role of Interest Rates in Factor Discovery

Jules H. van Binsbergen, University of Pennsylvania and NBER
Liang Ma, San Diego State University
Michael Schwert, AQR Arbitrage

Discussant:
Bryan T. Kelly, Yale University and NBER
2:00 pm
Break
2:15 pm

Are Cryptos Different? Evidence from Retail Trading

Shimon Kogan, Reichman University
Igor Makarov, London School of Economics and Political Science (LSE)
Marina Niessner, Indiana University
Antoinette Schoar, Massachusetts Institute of Technology and NBER

Discussant:
Marco Di Maggio, Imperial College London
3:15 pm
Break
3:30 pm

Debt and Deficits: Fiscal Analysis with Stationary Ratios

John Y. Campbell, Harvard University and NBER
Can Gao, University of St. Gallen
Ian Martin, London School of Economics and Political Science (LSE)

Discussant:
Hanno Lustig, Stanford University and NBER
4:30 pm
Adjourn