NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.

 

SUMMER INSTITUTE 2004

 

Asset Pricing Workshop

 

John Cochrane and Pietro Veronesi, Organizers

 

Royal Sonesta Hotel

5 Cambridge Parkway

Cambridge, Massachusetts

 

July 15 - 16, 2004

 

PROGRAM

 

THURSDAY, JULY 15:

 

 

12:00 N

Lunch

 

 

 1:00 p.m.

ANTJE BERNDT, Cornell University

 

ROHAN DOUGLAS, Quantifi LLC

 

DARRELL DUFFIE, Stanford University and NBER

 

MARK FERGUSON, Quantifi LLC

 

DAVID SCHRANZ, CIBC, Toronto

 

Measuring Default Risk Premia from Default Swap Rates and EDFs

 

 

 

Discussant: GEORGE CONSTANTINIDES, University of Chicago and NBER

 

 

 2:00 p.m.

Break

 

 

 2:15 p.m.

FRANCIS LONGSTAFF, UC, Los Angeles and NBER

 

Financial Claustrophobia: Asset Pricing in Illiquid Markets   

 

 

 

Discussant : ROBERT NOVY-MARX, University of Chicago

 

 

 3:15 p.m.

Break

 

 

 3:30 p.m.

GEERT BEKAERT, Columbia University and NBER

 

ERIC ENGSTROM, Columbia University

 

STEVE GRENADIER, Stanford University and NBER

 

Stock and Bond Returns with Moody Investors

 

 

 

Discussant: JOHN CAMPBELL, Harvard University

 

 

 4:30 p.m.

Adjourn

 

 

 6:00 p.m.

Group Dinner, Davio’s at the Royal Sonesta Hotel

 

 

FRIDAY, JULY 16:

 

 

 8:00 a.m.

Coffee and Pastries

 

 

 8:30 a.m.

PIERRE-OLIVIER GOURINCHAS, UC, Berkeley and NBER

 

HELENE REY, Princeton University and NBER

 

International Financial Adjustment

 

 

 

Discussant: ANNA PAVLOVA, MIT

 

 

 9:30 a.m.

Break

 

 

 9:45 a.m.

MARTIN EVANS, Georgetown University and NBER

 

RICHARD LYONS, UC, Berkeley and NBER

 

A New Micro Model of Exchange Rate Dynamics

 

 

 

 

Discussant: LAURA VELDKAMP, New York University

 

 

10:45 a.m.

Break

 

 

11:00 a.m.

LEI FENG, McKinsey & Co.

MARK SEASHOLES, UC, Berkeley

 

Portfolio Choice and Location of Trade

 

 

 

Discussant: TOBIAS MOSKOWITZ, University of Chicago and NBER

 

 

12:00 p.m.

Lunch

 

 

 1:00 p.m.

RAJ CHETTY, UC, Berkeley and NBER

 

ADAM SZEIDL, Harvard University

 

Consumption Commitments and Asset Prices

 

 

 

Discussant: HANNO LUSTIG, University of Chicago and NBER

 

 

 2:00 p.m.

Break

 

 

 2:15PM

LARS HANSEN and JOHN HEATON, University of Chicago and NBER

 

NAN LI, University of Chicago

 

Consumption Strikes Back?

 

 

 

Discussant: JONATHAN PARKER, Princeton University and NBER

 

 

 3:15 p.m.

Break

 

 

 3:30 p.m.

MARTIN LETTAU, New York University and NBER

 

JESSICA WACHTER, University of Pennsylvania and NBER

 

Why is Long-horizon Equity Less Risky? A Duration Based Explanation of the Value Premium

 

 

 

 

 

 

Discussant: LEONID KOGAN, MIT and NBER

 

 

 4:30 p.m.

Adjourn

 

 

 

 

7/2/04