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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Valentin Haddad, University of California, Los Angeles and NBER Alan Moreira, University of Rochester and NBER Tyler Muir, University of California, Los Angeles and NBER 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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Pablo Ottonello, University of Maryland and NBER Wenting Song, Bank of Canada 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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Nina Boyarchenko, Federal Reserve Bank of New York Leonardo Elias, Federal Reserve Bank of New York Financing Private Credit
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| 12:00 pm | Lunch | |||
| 1:00 pm |
Winston Wei Dou, University of Pennsylvania and NBER Itay Goldstein, University of Pennsylvania and NBER Yan Ji, Hong Kong University of Science and Technology 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 |
Andrew Atkeson, University of California, Los Angeles and NBER Jonathan Heathcote, Federal Reserve Bank of Minneapolis Fabrizio Perri, Federal Reserve Bank of Minneapolis There is No Excess Volatility Puzzle |
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| 3:00 pm |
Alex Chinco, Baruch College Itzhak Ben-David, The Ohio State University and NBER Expected EPS x Trailing P/E |
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| 3:30 pm |
Ricardo De la O, University of Southern California Xiao Han, Bayes Business School, City, University of London Sean Myers, University of Pennsylvania The Return of Return Dominance: Decomposing the Cross-Section of Prices |
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| 4:00 pm |
Pedro Bordalo, University of Oxford Nicola Gennaioli, Bocconi University Rafael La Porta, Brown University and NBER Andrei Shleifer, Harvard University and NBER Finance without (exotic) risk
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| 4:30 pm | Adjourn | |||
| Friday, July 12 | ||||
| 8:00 am | Coffee and Pastries | |||
| 8:30 am |
Marc Eskildsen, Copenhagen Business School Markus F. Ibert, Copenhagen Business School Theis I. Jensen, Yale University Lasse H. Pedersen, Copenhagen Business School In Search of the True Greenium
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| 9:30 am | Break | |||
| 9:45 am |
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 Elephants in Equity Markets
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| 10:45 am | Break | |||
| 11:00 am | Lightning Round (1 hour) | |||
| 11:00 am |
Nicola Borri, LUISS Denis Chetverikov, University of California at Los Angeles Yukun Liu, University of Rochester Aleh Tsyvinski, Yale University and NBER One Factor to Bind the Cross-Section of Returns |
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| 11:20 am |
Marco C. Sammon, Harvard University John Shim, University of Notre Dame Who Clears the Market when Passive Investors Trade? |
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| 11:40 am |
Lin William Cong, Cornell University and NBER Ke Tang, Tsinghua University Jingyuan Wang, Beihang University Goal-Oriented Portfolio Management Through Transformer-Based Reinforcement Learning |
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| 12:00 pm | Lunch | |||
| 1:00 pm |
Anna Cieslak, Duke University and NBER Michael McMahon, University of Oxford Tough Talk: The Fed and the Risk Premia
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| 2:00 pm | Break | |||
| 2:15 pm |
Zhengyang Jiang, Northwestern University and NBER Arvind Krishnamurthy, Stanford University and NBER Hanno Lustig, Stanford University and NBER Implications of Asset Market Data for Equilibrium Models of Exchange Rates
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| 3:15 pm | Break | |||
| 3:30 pm |
Andrew Y. Chen, Federal Reserve Board Alejandro Lopez-Lira, University of Florida Tom Zimmermann, University of Cologne Does Peer-Reviewed Research Help Predict Stock Returns?
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| 4:30 pm | Adjourn | |||