NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.

SUMMER INSTITUTE 2007

Asset Pricing Workshop

Stefan Nagel and Kenneth Singleton, Organizers

Royal Sonesta Hotel

Grand Ballroom A

40 Edwin H. Land Boulevard

Cambridge, Massachusetts

July 12 - 13, 2007

PROGRAM

THURSDAY, JULY 12:
12:00 n	Lunch
1:00 pm	MARK BROADIE, Columbia University
	MIKHAIL CHERNOV, London Business School
	MICHAEL JOHANNES, Columbia University
	Understanding Index Option Returns
	Discussant: DAVID BATES, University of Iowa and NBER
2:00 pm	Break
2:15 pm	TIM BOLLERSLEV, Duke University and NBER
	HAO ZHOU, Federal Reserve Board
	Expected Stock Returns and Variance Risk Premia
	Discussant: MOTOHIRO YOGO, University of Pennsylvania and NBER
3:15 pm	Break
3:30 pm	JOSHUA COVAL, Harvard University and NBER
	JAKUB JUREK and ERIK STAFFORD, Harvard University
	Economic Catastrophe Bonds
	Discussant: PIERRE COLLIN-DUFRESNE, UC, Berkeley and NBER
4:30 pm	Adjourn
6:00 pm	Group Dinner – Legal Sea Foods, Kendall Sq., Cambridge, MA
FRIDAY, JULY 13:
8:00 am	Coffee and Pastries
8:30 am	NICOLAE GARLEANU, University of Pennsylvania and NBER
	STAVROS PANAGEAS, University of Pennsylvania
	Young, Old, Conservative and Bold: The Implications of Heterogeneity and Finite Lives for Asset Pricing
	Discussant: JOHN HEATON, University of Chicago and NBER
9:30 am	Break
9:45 am	GEORG KALTENBRUNNER and LARS LOCHSTOER
	London Business School
	Long-Run Risk through Consumption Smoothing
	Discussant: LEONID KOGAN, MIT and NBER
10:45 am	Break
11:00 am	GUILLAUME PLANTIN, London Business School
	HYUN SONG SHIN, Princeton University
	Carry Trades and Speculative Dynamics
	Discussant: LASSE PEDERSEN, New York University and NBER
12:00 n	Lunch
1:00 pm	GERARD HOBERG, University of Maryland
	IVO WELCH, Brown University and NBER
	Long-term and short-term market betas in securities prices
	Discussant: JONATHAN LEWELLEN, Dartmouth College and NBER
2:00 pm	Break
2:15 pm	LAUREN COHEN, Yale University
	ANDREA FRAZZINI, University of Chicago and NBER
	CHRISTOPHER MALLOY, London Business School
	The Small World of Investing: Board Connections and Mutual Fund Returns
	Discussant: JEREMY STEIN, Harvard University and NBER
3:15 pm	Break
3:30 pm	RALPH KOIJEN, Tilburg University
	OTTO VAN HEMERT, New York University
	STIJN VAN NIEUWERBURGH, New York University and NBER
	Mortgage Timing
	Discussant: JOHN CAMPBELL, Harvard University and NBER
4:30 pm	Adjourn
6/18/07