SI 2024 Asset Pricing
Ralph S. J. Koijen and Sydney C. Ludvigson, Organizers
July 11-12, 2024
Ballroom A
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 | ||||
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8:30 am
Ballroom A
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Asset Purchase Rules: How QE Transformed the Bond Market
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| 9:30 am | Break | |||
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9:45 am
Ballroom A
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Financial Intermediaries and the Macroeconomy: Evidence from a High-Frequency Identification
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| 10:45 am | Break | |||
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11:00 am
Ballroom A
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Financing Private Credit
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| 12:00 pm | Lunch | |||
| 1:00 pm |
AI-Powered Trading, Algorithmic Collusion, and Price Efficiency
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| 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 |
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| 3:00 pm |
Expected EPS x Trailing P/E |
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| 3:30 pm |
The Return of Return Dominance: Decomposing the Cross-Section of Prices |
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| 4:00 pm |
Finance without (exotic) risk
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| 4:30 pm | Adjourn | |||
| Friday, July 12 | ||||
| 8:00 am | Coffee and Pastries | |||
| 8:30 am |
In Search of the True Greenium
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| 9:30 am | Break | |||
| 9:45 am |
Elephants in Equity Markets
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| 10:45 am | Break | |||
| 11:00 am | Lightning Round (1 hour) | |||
| 11:00 am |
One Factor to Bind the Cross-Section of Returns |
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| 11:20 am |
Who Clears the Market when Passive Investors Trade? |
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| 11:40 am |
Goal-Oriented Portfolio Management Through Transformer-Based Reinforcement Learning |
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| 12:00 pm | Lunch | |||
| 1:00 pm |
Tough Talk: The Fed and the Risk Premia
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| 2:00 pm | Break | |||
| 2:15 pm |
Implications of Asset Market Data for Equilibrium Models of Exchange Rates
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| 3:15 pm | Break | |||
| 3:30 pm |
Does Peer-Reviewed Research Help Predict Stock Returns?
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| 4:30 pm | Adjourn | |||