New Developments in Long-Term Asset Management

Monika Piazzesi and Luis M. Viceira, Organizers

May 9-10, 2019

Royal Sonesta Hotel, Riverfront Room, 40 Edwin H. Land Blvd., Cambridge, MA

Conference Code of Conduct

Thursday, May 9
12:15 pm
Lunch, Somerset Room
Format: 20 minutes each for authors, discussants, general discussion
1:00 pm
Matthew Backus, University of California, Berkeley and NBER
Christopher Conlon, New York University and NBER
Michael Sinkinson, Northwestern University and NBER

Common Ownership in America: 1980-2017 (slides)
Discussant: David S. Scharfstein, Harvard University and NBER
2:00 pm
Arpit Gupta, New York University
Stijn Van Nieuwerburgh, Columbia University and NBER

Valuing Private Equity Investments Strip by Strip (slides)
Discussant: Antoinette Schoar, Massachusetts Institute of Technology and NBER
3:00 pm
Break
3:15 pm
Ralph S. J. Koijen, University of Chicago and NBER
Robert J. Richmond, New York University and NBER
Motohiro Yogo, Princeton University and NBER

Which Investors Matter for Global Equity Valuations and Expected Returns?
Discussant: Tarek Alexander Hassan, Boston University and NBER
4:15 pm
Break
4:30 pm
Panel on Quantitative Investing
Cliff Asness, AQR Capital Management
Owen Lamont, Wellington Management
Feifei Li, Research Affiliates (slides)
5:30 pm
Adjourn
6:30 pm
Dinner, Parkview Room
Keynote Speaker: John Campbell, Harvard University and NBER
Long-Term Investing in a Nonstationary World
Friday, May 10
8:00 am
Coffee and Pastries
8:30 am
Robin Greenwood, Harvard University and NBER
Annette Vissing-Jorgensen, Federal Reserve Board and NBER

The Impact of Pensions and Insurance on Global Yield Curves
Discussant: Adrien Verdelhan, Massachusetts Institute of Technology and NBER
9:30 am
Break
9:45 am
Andra C. Ghent, University of Utah

What's Wrong with Pittsburgh? Delegated Investors and Liquidity Concentration (slides)
Discussant: Tim Landvoigt, University of Pennsylvania and NBER
10:45 am
Break
11:00 am
Mikhail Chernov, University of California, Los Angeles and NBER
Lars A. Lochstoer, University of California, Los Angeles and NBER
Stig Lundeby, Norwegian School of Economics

Conditional Dynamics and the Multi-Horizon Risk-Return Trade-off
Discussant: Christopher Polk, London School of Economics
12:00 pm
Lunch, Somerset Room
1:00 pm
Lubos Pastor, University of Chicago and NBER
Robert F. Stambaugh, University of Pennsylvania and NBER
Lucian A. Taylor, University of Pennsylvania

Fund Tradeoffs
Discussant: Mark Grinblatt, University of California, Los Angeles and NBER
2:00 pm
Break
2:15 pm
Aleksandar Andonov, University of Amsterdam
Roman Kräussl, Bayes Business School
Joshua Rauh, Stanford University and NBER

The Subsidy to Infrastructure as an Asset Class (slides)
Discussant: Marcin Kacperczyk, Imperial College London
3:15 pm
Break
3:30 pm
Anil K. Kashyap, University of Chicago and NBER
Natalia Kovrijnykh, Arizona State University
Jian Li, Columbia University
Anna Pavlova, London Business School

The Benchmark Inclusion Subsidy
Discussant: David Thesmar, Massachusetts Institute of Technology and NBER
4:30 pm
Adjourn
Wednesday, July 24
1:20 pm
Andra C. Ghent, University of Utah

What's Wrong with Pittsburgh? Delegated Investors and Liquidity Concentration (slides)
Discussant: Barney Hartman-Glaser, University of California at Los Angeles