NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.

 

SUMMER INSTITUTE 2003

 

Asset Pricing Workshop

 

John Heaton and Leonid Kogan, Organizers

 

Royal Sonesta Hotel

5 Cambridge Parkway

Cambridge, Massachusetts

 

July 17 - 18, 2003

 

PRELIMINARY PROGRAM

 

WEDNESDAY, JULY 16:

 

 

 6:00 PM

Clambake, Harvard Faculty Club, 20 Quincy Street, Cambridge, MA

 

 

THURSDAY, JULY 17:

 

 

10:00 AM

M. FATIH GUVENEN, University of Rochester
A Parsimonious Macroeconomic Model for Asset Pricing:
Habit Formation or Cross-Sectional Heterogeneity
Discussant: URBAN JERMANN, University of Pennsylvania and NBER

 

 

11:00 AM

LU ZHANG and RALITSA PETKOVA, University of Rochester
Is Value Riskier than Growth
Discussant: ANDREW ANG, Columbia University and NBER

 

 

12:00 N

Lunch

 

 

 1:00 PM

JONATHAN PARKER, Princeton University and NBER

 

CHRISTIAN JULLIARD, Princeton University

 

Consumption Risk and Cross-Sectional Returns

 

 

 

Discussant: KENT DANIEL, Northwestern University and NBER

 

 

 2:00 PM

JONATHAN LEWELLEN, MIT and NBER

 

STEFAN NAGEL, London Business School

 

The Conditional CAPM Does Not Explain Asset-Pricing Anomalies

 

 

 

Discussant: MARTIN LETTAU, New York University and NBER

 

 

 3:00 PM

Break

 

 

 3:15 PM

BLAKE LEBARON, Brandeis University and NBER

 

Calibrating an Agent-Based Financial Market

 

 

 

Discussant: BRYAN ROUTLEDGE, Carnegie Mellon University

 

 

 4:15 PM

Adjourn

 

 

FRIDAY, JULY 18:

 

 

 8:30 AM

Coffee and Pastries

 

 

 9:00 AM

ROBERT NOVY-MARX, UC, Berkeley

 

An Equilibrium Model of Investment Under Uncertainty

 

 

 

Discussant: JANICE EBERLY, Northwestern University and NBER

 

 

10:00 AM

Break

 

 

10:15 AM

HANNO LUSTIG, University of Chicago

 

STIJN VAN NIEUWERBURGH, Stanford University

 

Housing Collateral, Consumption Insurance and Risk Premia

 

 

 

Discussant: MARTIN SCHNEIDER, UC, Los Angeles

 

 

11:15 AM

MASSIMO MASSA, INSEAD

 

ANDREI SIMONOV, Stockholm School of Economics

 

Hedging, Stock Market Performance and Portfolio Choice

 

 

 

Discussant: FRANCISCO GOMES, London School of Business

 

 

12:15 PM

Lunch

 

 

 1:15 PM

STEVE KAPLAN, University of Chicago and NBER

 

ANTOINETTE SCHOAR, MIT

 

Private Equity Performance: Returns, Persistence and Capital Flows

 

 

 

Discussant: JOSHUA LERNER, Harvard University and NBER

 

 

 2:15 PM

JOHN CAMPBELL, Harvard University and NBER

 

MOTOHIRO YOGO, Harvard University

 

Efficient Tests of Stock Return Predictability

 

 

 

Discussant: ROBERT STAMBAUGH, University of Pennsylvania and NBER

 

 

 3:15 PM

Adjourn

 

 

 

 

6/23/03