NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.

ASSET PRICING PROGRAM PROGRAM MEETING

Deborah Lucas and Amir Yaron, Organizers

April 9, 2004

University of Chicago

Gleacher Center, GSB (Downtown Chicago)

Room 304

450 North Cityfront Plaza Drive

Chicago, IL 60611

PROGRAM

FRIDAY, APRIL 9:

8:30 AM Continental Breakfast

9:00 AM DIMITRI VAYANOS, MIT and NBER

Flight to Quality, Flight to Liquidity, and the Pricing of Risk

Discussant: ANDREA EISFELDT, Northwestern University

10:00 AM Break

10:15 AM ANTHONY LYNCH, New York University and NBER

SINAN TAN, New York University

Explaining the Magnitude of Liquidity Premia:

Transaction Costs

Discussant: JOHN HEATON, University of Chicago and NBER

11:15 AM XIAOHONG CHEN, New York University

SYDNEY LUDVIGSON, New York University and NBER

Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models

Discussant: DAVID CHAPMAN, Boston College

12:15 PM Lunch- Room 350

1:15 PM MICHAEL GALLMEYER and BURTON HOLLIFIELD, Carnegie Mellon University

An Examination of Heterogeneous Beliefs with a Short Sale Constraint

Discussant: GEORGE CONSTANTINIDES, University of Chicago and NBER

2:15 PM Break

2:30 PM JOHN COCHRANE, University of Chicago and NBER

FRANCIS LONGSTAFF and PEDRO SANTA-CLARA, UC, Los Angeles and NBER

Two Tree: Asset Price Dynamics Induced By Market Clearing

Discussant: RAVI BANSAL, Duke University

Over, Please!

Asset Pricing Program, Page 2:

3:30 PM XAVIER GABAIX, MIT and NBER

ARVIND KRISHNAMURTHY, Northwestern University

OLIVIER VIGNERON, Deutsche Bank

Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market

Discussant: JOHN GEANAKOPLOS, Yale University

4:30 PM Adjourn

6:30 PM Joint Dinner

University of Chicago

Gleacher Center

Room 621

450 North Cityfront Plaza Drive

Chicago, IL

3/29/04