Economics of Asset Pricing - Research Papers 2015

Asset Pricing Theory (G1)


Presiding: JESSICA WACHTER (University of Pennsylvania)

Leisure Preferences, Long-Run Risks, and Human Capital Returns
ROBERT DITTMAR (University of Michigan)
FRANCISCO PALOMINO (University of Michigan)
WEI YANG (University of Indiana)
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New Entropy Restrictions and the Quest for Better Specified Asset Pricing Models
GURDIP BAKSHI (University of Maryland)
FOUSSENI CHABI-YO (Ohio State University)
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Asset Prices and Business Cycles with Financial Shocks
MAHDI NEZAFAT (Michigan State University)
CTIRAD SLAVIK (Goethe University Frankfurt)
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Discussants:
STIJN VAN NIEUWERBURGH (New York University)
ADRIEN VERDELHAN (Massachusetts Institute of Technology)
ZHIGUO HE (University of Chicago)


Topics in Asset Pricing (G1)

Presiding: ROBERT HODRICK (Columbia University)

Quality Minus Junk
CLIFF ASNESS (AQR Capital)
ANDREA FRAZZINI (AQR Capital)
LASSE PEDERSEN (Copenhagen Business School)
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Stock Market Valuations Across U.S. States
GEERT BEKAERT (Columbia University)
CAMPBELL R. HARVEY (Duke University)
CHRISTIAN LUNDBLAD (University of North Carolina)
STEPHAN SIEGEL (University of Washington)
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Horizon Effects in Average Returns: The Role of Slow Information Diffusion
OLIVER BOGUTH (Arizona State University)
MURRAY CARLSON (University of British Columbia)
ADLAI FISHER (University of British Columbia)
MIKHAIL SIMUTIN (University of Toronto)
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Option-Based Estimation of Co-Skewness and Co-Kurtosis Risk Premia
KRIS JACOBS (University of Houston)
PETER CHRISTOFFERSEN (University of Toronto)
MEHDI KAROUI (OMERS)
MATHIEU FOURNIER (HEC Montreal)
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Discussants:
JULES VAN BINSBERGEN (Stanford University)
RALPH KOIJEN (London Business School)
ZHONJIN LU (University of Georgia)
XIAOYAN ZHANG (Purdue University)


Asset Pricing under Heterogeneous Beliefs (G1)

Presiding: SULEYMAN BASAK (London Business School)

Value or Growth? Pricing of Idiosyncratic Cash Flow Risk with Heterogeneous Beliefs
HOGYU JHANG (Texas A&M University)
HWAGYUN KIM (Texas A&M University)
MICHAEL GALLMEYER (University of Virginia)
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Asset Prices and Portfolio Choice with Learning from Experience
PAUL EHLING (BI Norwegian Business School)
ALESSANDRO GRANIERO (London Business School)
CHRISTIAN HEYERDAHL-LARSEN (London Business School)
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Dynamic Equilibrium with Rare Events and Heterogeneous Epstein-Zin Investors
GEORGY CHABAKAURI (London School of Economics)
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Dynamic Noisy Rational Expectations Equilibria with Anticipative Information
JEROME DETEMPLE (Boston University)
MARCEL RINDISBACHER (Boston University)
THU TRUONG (Boston University)
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Discussants:
HONGJUN YAN (Yale University)
NICOLAE GARLEANU (University of California-Berkeley)
ILARIA PIATTI (University of Oxford)
BRETT GREEN (University of California-Berkeley)


Empirical Asset Pricing: Long Run Risk and Funding Risk (G1)


Presiding: PIETRO VERONESI (University of Chicago)

Business-Cycle Consumption Risk and Asset Prices
FEDERICO BANDI (Johns Hopkins University)
ANDREA TAMONI (London School of Economics)
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Short-Run and Long-Run Consumption Risks, Dividend Processes and Asset Returns
JUN LI (University of Texas-Dallas)
HAROLD ZHANG (University of Texas-Dallas)
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Monetary Policy Risks in the Bond Markets and Macroeconomy
IVAN SHALIASTOVICH (University of Pennsylvania)
RAM YAMARTHY (University of Pennsylvania)
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International Funding Liquidity
AYTEK MALKHOZOV (McGill University)
PHILIPPE MUELLER (London School of Economics)
ANDREA VEDOLIN (London School of Economics)
GYURI VENTER (Copenhagen Business School)
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Discussants:
STEFANO GIGLIO (University of Chicago)
AMIR YARON (University of Pennsylvania)
PIERLUIGI BALDUZZI (Boston College)
JEAN-SEBASTIEN FONTAINE (Bank of Canada)

https://www.aeaweb.org/aea/2015conference/program/preliminary.php