Authors, please upload your paper here.


Asset Pricing Program Meeting

Adrien Verdelhan and Deborah J. Lucas, Organizers

April 8, 2016

University of Chicago
Gleacher Center, Booth School of Business (Downtown Chicago)
Room 408

450 North Cityfront Plaza Drive, Chicago, IL



Friday, April 08

8:00 am

Continental Breakfast

8:30 am

Lars P. Hansen, University of Chicago and NBER
Thomas J. Sargent, New York University and NBER
Sets of Models and Prices of Uncertainty

Discussant: Stavros Panageas, University of Chicago and NBER

9:30 am


9:45 am

Robert Novy-Marx, University of Rochester and NBER
Testing Strategies Based on Multiple Signals

Discussant: Motohiro Yogo, Princeton University and NBER

10:45 am


11:00 am

Nina Boyarchenko, Federal Reserve Bank of New York
David Lucca, Federal Reserve Bank of New York
Laura Veldkamp, New York University and NBER
Taking Orders and Taking Notes: Dealer Information Sharing in Financial Markets

Discussant: Darrell Duffie, Stanford University and NBER

12:00 pm

Lunch-Executive Dining Room 621

1:15 pm

Brian Weller, Northwestern University
Measuring Tail Risks at High Frequency

Discussant: Mikhail Chernov, University of California at Los Angeles

2:15 pm


2:30 pm

Michael D. Bauer, Federal Reserve Bank of San Francisco
James D. Hamilton, University of California at San Diego and NBER
Robust Bond Risk Premia

Discussant: Gregory Duffee, John Hopkins University

3:30 pm


3:45 pm

Erik P. Gilje, University of Pennsylvania
Robert C. Ready, University of Rochester
Nikolai Roussanov, University of Pennsylvania and NBER
Fracking, Drilling, and Asset Pricing: Estimating the Economic Benefits of the Shale Revolution

Discussant: Wei Xiong, Princeton University and NBER

4:45 pm


5:00 pm

Jonathan Sokobin, Chief Economist, FINRA
An Overview of FINRA Data  (slides)

6:00 pm

Joint Reception and Dinner

University of Chicago
Gleacher Center-Executive Dining Room 621
450 North Cityfront Drive
Chicago, IL