SI 2024 Asset Pricing
Organized by Ralph S. J. Koijen and Sydney C. Ludvigson
July 11-12, 2024
Royal Sonesta Hotel, 40 Edwin H. Land Blvd., Cambridge, MA
Format: 20 minutes for authors, 20 minutes for discussants, 20 minutes for Q&A.
Thursday, July 11
8:00 am
Coffee and Pastries
Morning joint with Macro, Money and Financial Frictions
8:30 am

Asset Purchase Rules: How QE Transformed the Bond Market

Valentin Haddad, University of California, Los Angeles and NBER
Alan Moreira, New York University and NBER
Tyler Muir, University of California, Los Angeles and NBER

Discussant:
William F. Diamond, University of Wisconsin - Madison
9:30 am
Break
9:45 am

Financial Intermediaries and the Macroeconomy: Evidence from a High-Frequency Identification

Pablo Ottonello, University of Maryland, College Park and NBER
Wenting Song, Bank of Canada

Discussant:
Simon Gilchrist, New York University and NBER
10:45 am
Break
11:00 am

Financing Private Credit

Nina Boyarchenko, Federal Reserve Bank of New York
Leonardo Elias, Federal Reserve Bank of New York

Discussant:
Greg Buchak, Stanford University and NBER
12:00 pm
Lunch
1:00 pm

AI-Powered Trading, Algorithmic Collusion, and Price Efficiency

Winston Wei Dou, University of Pennsylvania and NBER
Itay Goldstein, University of Pennsylvania and NBER
Yan Ji, Hong Kong University of Science and Technology (HKUST)

Discussant:
Laura Veldkamp, Columbia University and NBER
2:00 pm
Break
2:30 pm
Session (2 hours): Competing perspectives on the fluctuations of valuation ratios
2:30 pm

There is No Excess Volatility Puzzle

Andrew Atkeson, University of California, Los Angeles and NBER
Jonathan Heathcote, Federal Reserve Bank of Minneapolis
Fabrizio Perri, Federal Reserve Bank of Minneapolis
3:00 pm

Expected EPS x Trailing P/E

Alex Chinco, Michigan State University
Itzhak Ben-David, The Ohio State University and NBER
3:30 pm

The Return of Return Dominance: Decomposing the Cross-Section of Prices

Ricardo De la O, University of Southern California
Xiao Han, Bayes Business School, City, University of London
Sean Myers, University of Pennsylvania
4:00 pm

Finance without (exotic) risk

Pedro Bordalo, University of Oxford
Nicola Gennaioli, Bocconi University
Rafael La Porta, Brown University and NBER
Andrei Shleifer, Harvard University and NBER

Discussant:
Stefan Nagel, University of Chicago and NBER
4:30 pm
Adjourn
Friday, July 12
8:00 am
Coffee and Pastries
8:30 am

In Search of the True Greenium

Marc Eskildsen, Copenhagen Business School
Markus F. Ibert, Copenhagen Business School
Theis I. Jensen, Yale University
Lasse H. Pedersen, Copenhagen Business School

Discussant:
Marcin Kacperczyk, Imperial College London
9:30 am
Break
9:45 am

Elephants in Equity Markets (slides)

Hélène Rey, London Business School and NBER
Adrien Rousset Planat, London Business School
Vania Stavrakeva, London Business School
Jenny Tang, Federal Reserve Bank of Boston

Discussant:
Motohiro Yogo, Princeton University and NBER
10:45 am
Break
11:00 am
Lightning Round (1 hour)
11:00 am

One Factor to Bind the Cross-Section of Returns

Nicola Borri, LUISS
Denis Chetverikov, University of California, Los Angeles
Yukun Liu, University of Rochester
Aleh Tsyvinski, Yale University and NBER
11:20 am

Who Clears the Market when Passive Investors Trade?

Marco C. Sammon, Harvard University
John Shim, University of Notre Dame
11:40 am

Goal-Oriented Portfolio Management Through Transformer-Based Reinforcement Learning

Lin William Cong, Cornell University and NBER
Ke Tang, Tsinghua University
Jingyuan Wang, Beihang University
12:00 pm
Lunch
1:00 pm

Tough Talk: The Fed and the Risk Premia

Anna Cieslak, Duke University and NBER
Michael McMahon, University of Oxford

Discussant:
Francesco Bianchi, Johns Hopkins University and NBER
2:00 pm
Break
2:15 pm

Implications of Asset Market Data for Equilibrium Models of Exchange Rates

Zhengyang Jiang, Northwestern University and NBER
Arvind Krishnamurthy, Stanford University and NBER
Hanno Lustig, Stanford University and NBER

Discussant:
Ian Martin, London School of Economics and Political Science (LSE)
3:15 pm
Break
3:30 pm

Does Peer-Reviewed Research Help Predict Stock Returns? (slides)

Andrew Y. Chen, Federal Reserve Board of Governors
Alejandro Lopez-Lira, University of Florida
Tom Zimmermann, University of Cologne

Discussant:
John Y. Campbell, Harvard University and NBER
4:30 pm
Adjourn