SI 2025 Asset Pricing
Organized by Ralph S. J. Koijen and Sydney C. Ludvigson
July 10-11, 2025
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 10
8:00 am
Coffee and Pastries
Morning joint with Macro, Money and Financial Frictions
8:30 am

The Dynamics of Deposit Flightiness and its Impact on Financial Stability

Kristian Blickle, Federal Reserve Bank of New York
Xu Lu, University of Washington
Jian Li, Columbia University
Yiming Ma, Columbia University and NBER

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

Causal Inference for Asset Pricing (slides)

Valentin Haddad, University of California, Los Angeles and NBER
Zhiguo He, Stanford University and NBER
Paul Huebner, Stockholm School of Economics
Péter Kondor, London School of Economics and Political Science (LSE)
Erik Loualiche, University of Minnesota

Discussant:
Motohiro Yogo, Princeton University and NBER
10:45 am
Break
11:00 am

What Do $40 Trillion of Portfolio Holdings Say about Monetary Policy Transmission?

Chuck Fang, Drexel University
Kairong Xiao, Columbia University and NBER

Discussant:
Jeremy C. Stein, Harvard University and NBER
12:00 pm
Lunch
1:00 pm

Equity Premium Events

Benjamin Knox, Federal Reserve Board of Governors
Juan M. Londono, Federal Reserve Board of Governors
Mehrdad Samadi, Federal Reserve Board of Governors
Annette Vissing-Jorgensen, Federal Reserve Board of Governors and NBER

Discussant:
Alan Moreira, New York University and NBER
2:00 pm
Break
2:15 pm

Equity Valuation Without DCF

Thummim Cho, Korea University Business School
Christopher Polk, London School of Economics and Political Science (LSE)
Robert Rogers, London School of Economics and Political Science (LSE)

Discussant:
Alexi Savov, New York University and NBER
3:15 pm
Break
3:30 pm

Seemingly Virtuous Complexity in Return Prediction

Stefan Nagel, University of Chicago and NBER

Discussant:
Bryan T. Kelly, Yale University and NBER
4:30 pm
Ajourn
Friday, July 11
8:00 am
Coffee and Pastries
8:30 am

Entity Neutering

Joseph Engelberg, University of California, San Diego
Asaf Manela, Washington University in St. Louis
William Mullins, University of California, San Diego
Luka Vulicevic, University of California, San Diego

Discussant:
Bradford Levy, University of Chicago
9:30 am
Break
9:45 am

Certain vs Uncertain Timing

Indira Puri, New York University

Discussant:
Jessica Wachter, University of Pennsylvania and NBER
10:45 am
Break

Lightning Rounds
11:00 am

Anatomy of the Treasury Market: Who Moves Yields? (slides)

Manav Chaudhary, University of Chicago
Julie (Zhiyu) Fu, Washington University in St Louis
Haonan Zhou, The University of Hong Kong (HKU)
11:20 am

Specialization in Financial Markets

Milena Wittwer, Columbia University and NBER
Andreas Uthemann, Bank of Canada
11:40 am

Glass Box Machine Learning and Corporate Bond Returns

Sebastian Bell, School of Economics and Management, Karlsruhe Institute of Technology
Ali Kakhbod, University of California, Berkeley
Martin Lettau, University of California, Berkeley and NBER
Abdolreza Nazemi, Karlsruhe Institute of Technology
12:00 pm
Lunch
1:00 pm

The US Treasury Funding Advantage Since 1860

Balint Szoke, Federal Reserve Board of Governors
Jonathan Payne, Princeton University
Clemens Lehner, Columbia University
Jack Shurtleff, Board of Governors of the Federal Reserve System

Discussant:
Annette Vissing-Jorgensen, Federal Reserve Board of Governors and NBER
2:00 pm
Break
2:15 pm

Interest Rates and Equity Valuations (slides)

Niels Joachim Gormsen, University of Chicago and NBER
Eben Lazarus, University of California, Berkeley

Discussant:
Daniel Greenwald, New York University and NBER
3:15 pm
Break
3:30 pm

Hidden Risk

Daniel Barth, Federal Reserve Board of Governors
Phillip J. Monin, Federal Reserve Board of Governors
Emil Siriwardane, Harvard University and NBER
Adi Sunderam, Harvard University and NBER

Discussant:
Tobias J. Moskowitz, Yale University and NBER
4:30 pm
Adjourn