NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.

SUMMER INSTITUTE 2001

Asset Pricing Workshop

Kent Daniel and Owen Lamont, Organizers

Royal Sonesta Hotel

5 Cambridge Parkway

Cambridge, Massachusetts

July 19-20, 2001

PRELIMINARY PROGRAM



WEDNESDAY, JULY 18:



6:00 PM Clambake

Harvard Faculty Club

20 Quincy St.

Cambridge, MA



THURSDAY, JULY 19:



10:30 AM Coffee and Doughnuts



11:00 AM YEUNG LEWIS CHAN, Hong Kong University of Science & Technology

LEONID KOGAN, University of Pennsylvania

Catching Up with the Joneses: Heterogeneous Preferences and the

Dynamics of Asset Prices



Discussant: JOHN HEATON, University of Chicago and NBER



12:00 AM Lunch



1:00 PM GREGORY DUFFEE, UC, Berkeley

Why Does the Slope of the Term Structure Forecast Excess Returns?



Discussant: JOHN CAMPBELL, Harvard University and NBER



2:00 PM CHARLES JONES, Columbia University

A Century of Stock Market Liquidity and Trading Costs



Discussant: DEBORAH LUCAS, Northwestern University and NBER



3:00 PM Break



SI01 AP Program

Page two



3:15 PM ALEXANDER DAVID, Federal Reserve Board

PIETRO VERONESI, University of Chicago and NBER

Inflation and Earnings Uncertainty and the Volatility of Asset Prices:

An Empirical Investigation



Discussant: MARTIN LETTAU, Federal Bank of New York



4:15 PM Adjourn

FRIDAY, JULY 20:



8:30 AM Coffee and Doughnuts



9:00 AM ADAM REED, University of Pennsylvania

Costly Short-Selling and Stock Price Adjustment to Earnings Announcements

Discussant: JEREMY STEIN, Harvard University and NBER



10:00 AM Break



10:15 AM ARVIND KRISHNAMURTHY, Northwestern University

The Bond/Old-Bond Spread



Discussant: DARRELL DUFFIE, Stanford University and NBER



11:15 AM ELI OFEK and MATTHEW RICHARDSON, New York University

DotCom Mania: A Survey of Market Efficiency in the Internet Sector



Discussant: KENNETH FRENCH, MIT and NBER



12:15 PM Lunch

1:15 PM JOSEPH CHEN and HARRISON HONG, Stanford University

JEREMY STEIN, Harvard University and NBER

Breadth of Ownership and Stock Returns



Discussant: OWEN LAMONT, University of Chicago and NBER



2:15 PM Adjourn



6/27/01