NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.

SUMMER INSTITUTE 2006

Asset Pricing Workshop

Ravi Jagannathan and Tano Santos, Organizers

Royal Sonesta Hotel

40 Edwin H. Land Blvd.

Cambridge, Massachusetts

July 13- 14, 2006

PROGRAM

THURSDAY, JULY 13:
12:00 n	Lunch
1:00 pm	DIRK KRUEGER, Goethe University Frankfurt and NBER
	HANNO LUSTIG, UC, Los Angeles and NBER
	The Irrelevance of Market Incompleteness for the Price of Aggregate Risk
	Discussant: DEBORAH LUCAS, Northwestern University and NBER
2:00 pm	Break
2:15 pm	HONGJUN YAN, Yale University
	Is Noise Trading Cancelled out by Aggregation
	Discussant: KERRY BACK, Texas A&M University
3:15 pm	Break
3:30 pm	VICTOR-ANGEL DEMIGUEL, London Business School
	LORENZO GARLAPPI, University of Texas at Austin
	RAMAN UPPAL, London Business School
	1/N
	Discussant: LUIS VICEIRA, Harvard University and NBER
4:30 pm	Adjourn
6:00 pm	Group Dinner - Legal Sea Foods, Kendall Sq., Cambridge, MA
FRIDAY, JULY 14:
8:00 am	Coffee and Pastries
8:30 am	ZHI DA and ERNST SCHAUMBURG, Northwestern University
	Target Prices, Relative Valuations and the Compensation for Liquidity Provision
	Discussant: AMIYATOSH PURNANANDAM, University of Michigan
9:30 am	Break
9:45 am	ERICA LI, University of Rochester
	DMITRY LIVDAN, Texas A&M University
	LU ZHANG, University of Michigan and NBER
	Optimal Market Timing
	Discussant: MALCOLM BAKER, Harvard University and NBER
10:45 am	Break
11:00 am	ANDREW DUBINSKY and MICHAEL JOHANNES, Columbia University
	Anticipated Uncertainty, Earnings Announcements, and Equity Options
	Discussant: KENNETH SINGLETON, Stanford University and NBER
12:00 n	Lunch
1:00 pm	EVAN ANDERSON, Northern Illinois University
	ERIC GHYSELS, University of North Carolina at Chapel Hill
	JENNIFER JUERGENS, Arizona State University
	The Impact of Risk and Uncertainty on Expected Returns
	Discussant: LEONID KOGAN, MIT and NBER
2:00 pm	Break
2:15 pm	LAURENT CALVET, HEC School of Management and NBER
	JOHN CAMPBELL, Harvard University and NBER
	PAOLO SODINI, Stockholm School of Economics
	Down and Out: Assessing the Welfare Costs of Household Investment Mistakes
	Discussant: NICHOLAS BARBERIS, Yale University and NBER
3:15 pm	Break
3:30 pm	MARIANO CROCE, New York University
	MARTIN LETTAU and SYDNEY LUDVIGSON, New York University and NBER
	Investor Information Long Run Risk, and the Duration of Risky Cash-Flows
	Discussant: LARS HANSEN, University of Chicago and NBER
4:30 pm	Adjourn
6/20/06