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