Program

Friday, June 5, 2015

08:00‐08:30 Registration and welcome

Session 1. Chair: Irina Zviadadze (SSE/SHoF)

08:30 ‐ 09:15 Funding Liquidity, Market Liquidity and the Cross‐Section of Stock Returns

René Garcia (EDHEC)
Discussant: Dagfinn Rime (BI)

09:15‐10:00 Excess Volatility: Beyond Discount Rates

Bryan Kelly (Chicago Booth)
Discussant: Diane Pierret (HEC Lausanne)

10:00 ‐ 10:30 Coffee break

Session 2. Chair: Benjamin Holcblat (BI)

10:30 ‐ 11:15 Trading Fees and Slow‐Moving Capital

Bernard Dumas (INSEAD)
Discussant: Roberto Steri (Lausanne)

11:15 ‐ 12:00 Through the Looking Glass: Indirect Inference via Simple Equilibria

Laurent Calvet (HEC Paris)
Discussant: Irina Zviadadze (SSE/SHoF)

12:00 ‐ 13:30 Lunch

Session 3. Chair: Roméo Tédongap (SSE/SHoF)

13:30 ‐ 14:15 A Robust Approach to Risk Aversion

François Le Grand (EMLyon/ETH Zürich)
Discussant: Stanley Zin (NYU Stern)

14:15 ‐ 15:00 Misspecified Recovery

Jaroslav Borovička (NYU)
Discussant: François Le Grand (EMLyon/ETH Zürich)

15:00 ‐ 15:30 Coffee break

Session 4. Chair: Chunyu (Ben) Yang (BI)

15:30 ‐ 16:15 Risk and Ambiguity in Asset‐Pricing Models

Stanley Zin (NYU Stern)
Discussant: Hening Liu (U. of Manchester)

16:15 ‐ 17:00 Volatility Downside Risk

Ádám Faragó (U. of Gothenburg)
Discussant: Bryan Kelly (Chicago Booth)

18:30 Departure from the lobby of Radisson Blu Hotel Nydalen. For those going on their own, please be at the restaurant at 19:00.

08:45‐09:00 Coffee

Session 5. Chair: Håkon Tretvoll (BI)

09:00 ‐ 09:45 The Volatility of International Capital Flows

Adrien Verdelhan (MIT Sloan)
Discussant: Federico Gavazzoni (INSEAD)

09:45 ‐ 10:30 Fertility, Longevity and Capital Flows

Stéphane Guibaud (SciencesPo)
Discussant: Espen Henriksen (UC Davis)

10:30‐11:00 Coffee break

Session 6. Chair: Bernard Dumas (INSEAD)

11:00 ‐ 11:45 Identifying Taylor Rules in Macro‐Finance Models

David Backus (NYU Stern)
Discussant: Tommy Sveen (BI)

11:45 ‐ 12:30 Term Structures of Asset Prices and Returns

Mikhail Chernov (UCLA Anderson)
Discussant: Christian Heyerdahl‐Larsen (LBS)

12:30 –14:00 Lunch