Program
Open conference program, Thursday August 22
08:30 Coffee
09:00-12:30 鈥淪peculative Betas鈥
Harrison Hong, Princeton University
鈥淏etting Against Beta鈥
Lasse Heje Pedersen, New York University
11:00-11:30 Coffee break
鈥淎sset Pricing Theory: Reflections after 50+ Years"
William F. Sharpe, Stanford University
(followed by a discussion moderated by Michael Brennan, UCLA)
12:30-13:30 Lunch
13:30-15:30 鈥滲ank Capital and the Low Risk Anomaly鈥
Malcolm P. Baker, Harvard University
鈥淎rbitrage Asymmetry and the Idiosyncratic Volatility Puzzle鈥
Robert F. Stambaugh, University of Pennsylvania
15:30 Concluding remarks and mingle
Academic conference program, Friday August 23
(The presenting author is marked with an asterisk)
08:30 Coffee
09:00-09:45 Dong Lou, London School of Economics and Christopher Polk*, London School of Economics: 鈥淐omomentum: Inferring Arbitrage Activity from Return Correlations鈥
Discussant: Adrian Buss, INSEAD
09:45-10:30 Kenneth Ahern, University of Southern California: 鈥淣etwork Centrality and the Cross Section of Stock Returns鈥
Discussant: Dong Lou, London School of Economics
10:30-11:00 Coffee
11:00-11:45 Michal Brennan*, UCLA and Yuzhao Zhang, Oklahoma State University: 鈥淐apital Asset Pricing with a Stochastic Horizon鈥
Discussant: Grigory Vilkov, Goethe University Frankfurt
11:45-12:30 Pavel Savor*, Temple University and Mungo Wilson, Oxford University: 鈥淎sset Pricing: A Tale of Two Days鈥
Discussant: Jungsuk Han, 海角社区下载 School of Economics
Lunch
13:30-14:15 Adrian Buss, INSEAD, Bernard Dumas, INSEAD, Raman Uppal*, EDHEC, and Grigory Vilkov, Goethe University Frankfurt: 鈥淐omparing Different Regulatory Measures to Control Stock Market Volatility: A General Equilibrium Analysis鈥
Discussant: Ron Kaniel, University of Rochester
14:15-14:30 Coffee
14:30-15:15 Cliff Asness, AQR Capital Management, Andrea Frazzini*, AQR Capital Management and New York University, and Lasse Heje Pedersen, New York University: 鈥淨uality Minus Junk鈥
Discussant: Per Olsson, Duke University
15:15-16:00 Tobias Moskowitz, University of Chicago: 鈥淏ehavioral vs. Risk-Based Explanations for Asset Pricing Anomalies鈥
Closing of conference