NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.
SUMMER INSTITUTE 2002
Asset Pricing Workshop
Andrew Ang and Robert Hodrick, Organizers
Royal Sonesta Hotel
5 Cambridge Parkway
Cambridge, Massachusetts
July 18 - 19, 2002
PRELIMINARY PROGRAM
WEDNESDAY, JULY 17:
6:00 PM Clambake
Harvard Faculty Club
20 Quincy Street
Cambridge, MA
THURSDAY, JULY 18:
11:00 AM ZHENYU WANG, Columbia University
A Shrinkage Approach to Model Uncertainty and Asset Allocation
Discussant: ROBERT STAMBAUGH, University of Pennsylvania and NBER
12:00 PM Lunch
1:00 PM JACOB BOUDOUKH, MATTHEW RICHARDSON, and
ROBERT WHITELAW, New York University and NBER
YUQING SHEN, J.P. Morgan
Do Asset Prices Reflect Fundamentals?
Freshly squeezed Evidence from the FCOJ Market
Discussant: KENT DANIEL, Northwestern University and NBER
2:00 PM NICHOLAS BARBERIS, University of Chicago and NBER
ANDREI SHLEIFER, Harvard University and NBER
JEFFREY WURGLER, New York University
Discussant: KENNETH FRENCH, Dartmouth College and NBER
3:00 PM Break
3:15 PM LEONID KOGAN, STEPHEN ROSS, and JIANG WANG, MIT and NBER
MARK WESTERFIELD, MIT
The Survival and Price Impact of Irrational Traders
Discussant: MING HUANG, Stanford University
4:15 PM Adjourn
SI02 AP Program
page two
FRIDAY, JULY 19:
8:30 AM Coffee and Pastries
9:00 AM JOHN COCHRANE, University of Chicago and NBER
MONIKA PIAZZESI, UC, Los Angeles and NBER
Discussant: GEERT BEKAERT, Columbia University and NBER
10:00 AM Break
10:15 AM MICHAEL JOHANNES, Columbia University
NICHOLAS POLSON, University of Chicago
JON STROUD, University of Pennsylvania
Sequential Optimal Portfolio Performance: Market and Volatility Timing
Discussant: MICHAEL BRANDT, University of Pennsylvania and NBER
11:15 AM VIRAL ACHARYA, London Business School
LASSE PEDERSEN, New York University
Asset Pricing with Liquidity Risk
Discussant: LUIS VICEIRA, Harvard University and NBER
12:15 PM Lunch
1:15 PM JUN LIU, UC, Los Angeles
JUN PAN, MIT
TAN WANG, University of British Columbia
An Equilibrium Model of Rare Event Premia
Discussant: TORBEN ANDERSEN, Northwestern University and NBER
2:15 PM LARRY EPSTEIN, University of Rochester
MARTIN SCHNEIDER, UC, Los Angeles
Learning Under Ambiguity
Discussant: BERNARD DUMAS, INSEAD and NBER
3:15 PM Adjourn
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