Program

Open conference program, Thursday August 22

 

08:30             Coffee

09:00-12:30    “Speculative Betas”

                      Harrison Hong, Princeton University

 

                      “Betting Against Beta”

                      Lasse Heje Pedersen, New York University

11:00-11:30    Coffee break

                      “Asset 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    ”Bank Capital and the Low Risk Anomaly”

                      Malcolm P. Baker, Harvard University

 

                      “Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle”

                      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: “Comomentum: Inferring Arbitrage Activity from Return Correlations”

                        Discussant:  Adrian Buss, INSEAD 

09:45-10:30      Kenneth Ahern, University of Southern California: “Network Centrality and the Cross Section of Stock Returns”

                        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: “Capital Asset Pricing with a Stochastic Horizon”

                        Discussant:  Grigory Vilkov, Goethe University Frankfurt

 

11:45-12:30      Pavel Savor*, Temple University and Mungo Wilson, Oxford University: “Asset Pricing: A Tale of Two Days”

                        Discussant: Jungsuk Han, Stockholm School of Economics

                        Lunch

13:30-14:15      Adrian Buss, INSEAD, Bernard Dumas, INSEAD, Raman Uppal*, EDHEC, and Grigory Vilkov, Goethe University Frankfurt: “Comparing Different Regulatory Measures to Control Stock Market Volatility: A General Equilibrium Analysis”

                        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: “Quality Minus Junk”

                        Discussant:  Per Olsson, Duke University

15:15-16:00 Tobias Moskowitz, University of Chicago: “Behavioral vs. Risk-Based Explanations for Asset Pricing Anomalies”

Closing of conference