THURSDAY, FEBRUARY 28:

6:00 PM Dinner

Frontera Grill and Topolobampo

445 N. Clark Street

Chicago, IL 60610

312/661-1434

FRIDAY, MARCH 1:

8:30 AM Continental Breakfast

9:00 AM ANDREW ANG, Columbia University and NBER

JOSEPH CHEN, University of Southern California

YUHANG XING, Columbia University

Downside Risk and the Momentum Effect

Discussant: TOBIAS J. MOSKOWITZ, University of Chicago and NBER

10:00 AM Break

10:15 AM DAVID S. BATES, University of Iowa and NBER

The Market for Crash Risk

Discussant: FRANCIS LONGSTAFF, UC, Los Angeles and NBER

11:15 AM JUN LIU, UC, Los Angeles

JUN PAN, MIT

Dynamic Derivative Strategies

Discussant: MICHAEL W. BRANDT, University of Pennsylvania and NBER

12:15 PM Lunch- Room 220

Over, Please!

Asset Pricing Meeting Program, Page 2:

FRIDAY, MARCH 1, 2002, Continued:

1:15 PM MICHAEL BRENNAN and ASHLEY WANG, UC, Los Angeles

YIHONG XIA, University of Pennsylvania

A Simple Model of Intertemporal Capital Asset Pricing and Its Implications for the

Fama-French Three-Factor Model

Discussant: GEORGE M. CONSTANTINIDES, University of Chicago and NBER

2:15 PM Break

2:30 PM HARRY MAMAYSKY, Yale University

On the Joint Pricing of Stocks and Bonds: Theory and Evidence

Discussant: MONIKA PIAZZESI, UC, Los Angeles and NBER

3:30 PM RANDOLPH COHEN, Harvard University

CHRISTOPHER K. POLK, Northwestern University

TUOMO VUOLTEENAHO, Harvard University and NBER

Does Risk or Mispricing Explain the Cross-Section of Stock Prices?

Discussant: KENT D. DANIEL, Northwestern University and NBER

4:30 PM Adjourn

2/25/02