ESSFM 2014 - Papers (Asset Pricing)
Monday 14 July
08.30 - 09.30 The Price of Political Uncertainty: Theory and Evidence from the Option Market
*Pietro Veronesi (University of Chicago and CEPR) with Bryan Kelly (University of Chicago) and Luboš Pástor (University of Chicago and CEPR)
09.30 - 10.30 Nominal Rigidities and Asset Pricing
*Michael Weber (University of Chicago)
11.00 - 12.00 Asset Prices and Portfolio Choice with Learning from Experience
*Christian Heyerdahl-Larsen (London Business School) with Paul Ehling (BI Norwegian School of Management) and Alessandro Graniero (London Business School)
Tuesday 15 July
Focus session - Active Asset Management
08.50 - 09.40 Scale and Skill in Active Management
*Luboš Pástor (University of Chicago and CEPR) with Robert Stambaugh (University of Pennsylvania) and Luke Taylor (University of Pennsylvania)
09.40 - 10.30 Learning by Doing: The Value of Experience and the Origins of Skill for Mutual Fund Managers
*Alberto Manconi (Tilburg University) with Elisabeth Kempf (Tilburg University) and Oliver Spalt (Tilburg University)
11.00 - 11.50 Investor Sophistication and Capital Income Inequality
*Marcin Kacperczyk (Imperial College, London) with Jaromir Nosal (Columbia University) and Luminita Stevens (University of Maryland)
Wednesday 16 July
08.30 - 09.30 Asset Pricing and Risk-Sharing in a Complete Market: An Experimental Investigation
*Bruno Biais (Toulouse School of Economics and CEPR) with Thomas Mariotti (Toulouse School of Economics and CEPR), Sophie Moinas (Toulouse School of Economics) and Sébastien Pouget (Toulouse School of Economics)
09.30 - 10.30 Smooth Trading with Overconfidence and Market Power
*Anna Obizhaeva (University of Maryland) with Albert S. Kyle (University of Maryland) and Yajun Wang (University of Maryland)
11.00 - 12.00 Network Risk and Key Players: A Structural Analysis of Interbank Liquidity
*Kathy Yuan (London School of Economics and CEPR) with Edward Denbee (Bank of England), Christian Julliard (London School of Economics and CEPR) and Ye Li (Columbia University)
Thursday 17 July
Focus session - New Models of Risk
08.45 - 09.40 Risk and Asset Composition
*Leonid Kogan (MIT) with Erik Loualiche (MIT) and Dimitris Papanikolaou (Northwestern University)
09.40 - 10.35 Firm Volatility in Granular Networks
*Bryan Kelly (University of Chicago) with Hanno Lustig (UCLA) and Stijn Van Nieuwerburgh (New York University and CEPR)
11.05 - 12.00 Sticky Leverage
*Lukas Schmid (Duke University) with Joao Gomes (University of Pennsylvania) and Urban Jermann (University of Pennsylvania)
Friday 18 July
*Max Croce (The University of North Carolina) with Riccardo Colacito (The University of North Carolina), Philip Howard (University of North Carolina) and Steven Wei Ho (Tsinghua University)
09.30 - 10.30 The Term Structure of Currency Carry Trade Risk Premia
*Adrien Verdelhan (MIT) with Hanno Lustig (UCLA) and Andreas Stathopoulos (University of Southern California)
11.00 - 12.00 The Credit Spread Puzzle - Myth or Reality?
*Peter Feldhütter (London Business School) with Stephen Schaefer (London Business School)