NATIONAL
BUREAU OF ECONOMIC RESEARCH, INC. |
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SUMMER
INSTITUTE 2004 |
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Asset
Pricing Workshop |
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John
Cochrane and Pietro Veronesi, Organizers |
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Royal
Sonesta Hotel |
5
Cambridge Parkway |
Cambridge,
Massachusetts |
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July 15 -
16, 2004 |
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PROGRAM |
THURSDAY, JULY 15: |
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12:00 N |
Lunch |
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1:00 p.m. |
ANTJE BERNDT, Cornell University |
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ROHAN DOUGLAS, Quantifi LLC |
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DARRELL DUFFIE, Stanford
University and NBER |
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MARK FERGUSON, Quantifi LLC |
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DAVID SCHRANZ, CIBC, Toronto |
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Measuring Default Risk Premia
from Default Swap Rates and EDFs |
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Discussant: GEORGE CONSTANTINIDES,
University of Chicago and NBER |
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2:00 p.m. |
Break |
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2:15 p.m. |
FRANCIS LONGSTAFF, UC, Los
Angeles and NBER |
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Discussant : ROBERT NOVY-MARX, University
of Chicago |
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3:15 p.m. |
Break |
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3:30 p.m. |
GEERT BEKAERT, Columbia
University and NBER |
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ERIC ENGSTROM, Columbia
University |
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STEVE GRENADIER, Stanford
University and NBER |
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Discussant: JOHN CAMPBELL,
Harvard University |
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4:30 p.m. |
Adjourn |
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6:00 p.m. |
Group Dinner, Davios at the
Royal Sonesta Hotel |
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FRIDAY, JULY 16: |
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8:00 a.m. |
Coffee and Pastries |
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8:30 a.m. |
PIERRE-OLIVIER GOURINCHAS, UC,
Berkeley and NBER |
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HELENE REY, Princeton University
and NBER |
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Discussant: ANNA PAVLOVA, MIT |
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9:30 a.m. |
Break |
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9:45 a.m. |
MARTIN EVANS, Georgetown
University and NBER |
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RICHARD LYONS, UC, Berkeley and
NBER |
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A New
Micro Model of Exchange Rate Dynamics |
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Discussant: LAURA VELDKAMP, New
York University |
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10:45 a.m. |
Break |
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11:00 a.m. |
LEI FENG, McKinsey & Co. MARK SEASHOLES, UC, Berkeley |
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Portfolio
Choice and Location of Trade |
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Discussant: TOBIAS MOSKOWITZ,
University of Chicago and NBER |
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12:00 p.m. |
Lunch |
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1:00 p.m. |
RAJ CHETTY, UC, Berkeley and
NBER |
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ADAM SZEIDL, Harvard University |
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Discussant: HANNO LUSTIG,
University of Chicago and NBER |
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2:00 p.m. |
Break |
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2:15PM |
LARS HANSEN and JOHN HEATON,
University of Chicago and NBER |
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NAN LI, University of Chicago |
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Discussant: JONATHAN PARKER,
Princeton University and NBER |
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3:15 p.m. |
Break |
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3:30 p.m. |
MARTIN LETTAU, New York
University and NBER |
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JESSICA WACHTER, University of
Pennsylvania and NBER |
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Why is
Long-horizon Equity Less Risky? A Duration Based Explanation of the Value
Premium |
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Discussant: LEONID KOGAN, MIT
and NBER |
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4:30 p.m. |
Adjourn |
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7/2/04 |
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