NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.



SUMMER INSTITUTE 2000



Asset Pricing

John Cochrane, Organizer



Royal Sonesta Hotel

5 Cambridge Parkway

Cambridge, Massachusetts



July 18-21, 2000



PRELIMINARY PROGRAM



TUESDAY, JULY 18:



12:00 N Lunch



1:00 PM MARTIN LETTAU and SYDNEY LUDVIGSON,

Federal Reserve Bank of New York

Consumption, Aggregate Wealth and Expected Stock Returns



Discussant: MICHAEL COOPER, Purdue University



2:00 PM Break



2:15 PM WAYNE FERSON, University of Washington and NBER

SERGEI SARKISSIAN, McGill University

TIMOTHY SIMIN, University of Washington

Spurious Regressions in Financial Economics?



Discussant: FRANK DIEBOLD, New York University and NBER



3:15 PM Adjourn



WEDNESDAY, JULY 19:



12:00 N Lunch



1:00 PM JONATHAN LEWELLEN, MIT

Momentum Profits and the Autocorrelation of Returns

Discussant: MATTHEW RICHARDSON,

New York University and NBER



2:00 PM Break









SI00 AP Program

Page two



2:15 PM TANO SANTOS and PIETRO VERONESI, University of Chicago

Labor Income and Predictable Stock Returns



Discussant: MARTIN LETTAU, Federal Reserve Bank of New York



3:15 PM Adjourn



6:00 PM Group Dinner

Harvard Faculty Club

20 Quincy St.

Cambridge, MA



THURSDAY, JULY 20:

12:00 N Lunch



1:00 PM GEERT BEKAERT and ROBERT HODRICK,

Columbia University and NBER

Expectations Hypotheses Tests



Discussant: FREDERICO BANDI, University of Chicago



2:00 PM Break





2:15 PM AMIR YARON, University of Pennsylvania and NBER

RAVI BANSAL, Duke University

Risks for the Long Run: A Resolution of Asset Pricing Puzzles



Discussant: JOHN HEATON, University of Chicago and NBER



3:15 PM Adjourn



FRIDAY, JULY 21:



8:30 AM Coffee and Doughnuts



9:00 AM RANDOLPH COHEN, Harvard University

CHRISTOPHER POLK KELLOGG, Northwestern University

TUOMO VUOLTEENAHO, University of Chicago

The Value Spread



Discussant: MARIA VASSALOU, Columbia University



10:00 AM Break





SI00 AP Program

Page three





10:15 AM LUBOS PASTOR, University of Chicago

ROBERT STAMBAUGH, University of Pennsylvania and NBER

Evaluating and Investing in Equity Mutual Funds



Discussant: WAYNE FERSON, University of Washington and NBER



11:15 AM Adjourn





5/8/00