Programme Area

Asset Pricing

Years active: October 2022

The Asset Pricing programme brings together researchers interested in all areas of asset pricing and related strands of research.

CEPR has a long history of promoting research in financial economics. The Financial Economics programme has recently split in two; Asset Pricing (AP) and Banking and Corporate Finance (BCF), to provide more targeted conferences and interactions.

The key areas covered by the Asset Pricing programme are:-

Capital markets, macro-finance, international finance, portfolio choice and individual investor decisions
Asset management, information, and liquidity in asset markets
Asset market frictions
Limits to arbitrage and behavioural finance
Machine learning and AI in asset markets

While aiming to maintain the two strands of Financial Economics separate to the extent possible, CEPR recognises that some researchers are active in areas relevant for AP and BCF programmes. For this reason, Fellows and Affiliates in the AP programme will also receive calls for papers and other communications by the BCF programme, for a time.

Annual Symposia

AP Symposium

The new AP Symposium will take place annually in Paris. The Symposium is similar in spirit to the NBER Summer Institute, and it promotes high-quality research and facilitates interactions between Fellows and Affiliates in the AP Programme and researchers worldwide. Please keep an eye out for the first call for papers.

ESSFM – Asset Pricing Week

Fellows and Affiliates in the AP programme will meet annually at the European Summer Symposium in Financial Markets (ESSFM). Hosted by the Studienzentrum Gerzensee since 1991, ESSFM includes daily seminars in which participants present their work, as well as less formal seminars scheduled at the beginning of the Symposium. ESSFM is held over two weeks, one of which concentrates on asset pricing.

A substantial amount of time is reserved for independent work and collaborative research, which provides participants with a unique opportunity to interact and discuss each other's research. In addition, every Symposium features 'focus sessions', concentrating on the latest developments at the frontier within a specific area of research.

Programme Directors

Anna Pavlova

Professor of Finance London Business School

Research Fellows

Tobias Adrian

Financial Counsellor and Director of the Monetary and Capital Markets Department International Monetary Fund

Rui Albuquerque

Professor of Finance in the Carroll School of Management Boston College; Blog Editor for the Portuguese Economy Research Report

Steffen Andersen

Head of Research in the Economics and Monetary Policy Department Danmarks Nationalbank

Ana Babus

Associate Professor of Economics Washington University In St. Louis

Söhnke Bartram

Professor of Finance University Of Warwick

Suleyman Basak

Professor of Finance London Business School

Geert Bekaert

Professor of Business in the Finance Division Columbia Business School

Frederico Belo

Professor of Finance European Institute of Business Administration (INSEAD)

Harjoat Singh Bhamra

Associate Professor of Finance Imperial College London, Business School

Bruno Biais

Professor Hec Paris; Distinguished Visiting Professor in Finance Hec Paris; Associate Researcher Toulouse School Of Economics

Nina Boyarchenko

Head of Macrofinance Studies Federal Reserve Bank Of New York

Markus Brunnermeier

Edwards S. Sanford Professor of Economics and Director of the Bendheim Center for Finance Princeton University

Laurent E. Calvet

Professor of Finance SKEMA Business School

RPN Steering Committee, Household Finance / Fellow, Asset Pricing

Giovanni Cespa

Professor of Finance Bayes Business School

Georgy Chabakauri

Associate Professor of Finance London School Of Economics And Political Science

Anusha Chari

Professor of Economics and Finance at the Department of Economics and Kenan-Flagler Business School University of North Carolina at Chapel Hill

Mikhail Chernov

Professor of Finance and Warren C. Cordner Chair in Money and Financial Markets University Of California, Los Angeles

Marco Cipriani

Head of Money and Payments Studies Federal Reserve Bank Of New York

João F. Cocco

Professor of Finance London Business School

RPN Member, European Financial Architecture / RPN Steering Committee, Household Finance / Fellow, Asset Pricing

Jean-Edouard Colliard

Associate Professor of Finance HEC Paris School of Management

Pierre Collin-Dufresne

Professor of Finance and Senior Research Chair Swiss Finance Institute

Carole Comerton-Forde

Professor of Finance University Of Melbourne

Mariano Croce

Professor of Finance Bocconi University; Research Fellow Bocconi University, IGIER

Magnus Dahlquist

Peter Wallenberg Professor of Finance Stockholm School Of Economics

Hans Degryse

Professor of Finance in the Department of Accountancy, Finance and Insurance Ku Leuven

Anne-Laure Delatte

Research Fellow French National Centre for Scientific Research (CNRS)

RPN Member, European Economic Policy / Fellow, Asset Pricing

Pasquale Della Corte

Professor of Finance Imperial College London, Business School

Bernard Dumas

The Insead Chaired Professor of Finance, Emeritus European Institute of Business Administration (INSEAD); Axa Professor in Socio-economic Risks University Of Turin

Andrew Ellul

Professor of Finance and Fred T. Greene Chair in Finance, Kelley School of Business Indiana University

Vyacheslav Fos

Professor of Finance Boston College

Thierry Foucault

HEC Foundation Chaired Professor of Finance HEC Paris School of Management

Francesco Franzoni

Senior Chair Swiss Finance Institute; Professor of Finance Università Della Svizzera Italiana

Xavier Gabaix

Pershing Square Professor of Economics and Finance Harvard University

Eric Ghysels

Edward M. Bernstein Distinguished Professor of Economics and Professor of Finance Kenan-Flagler Business School University of North Carolina at Chapel Hill

Mariassunta Giannetti

Katarina Martinson Professor of Finance Stockholm School Of Economics

RPN Member, European Financial Architecture / Fellow, Asset Pricing / Fellow, Banking and Corporate Finance

Stefano Giglio

Professor of Finance in the School of Management Yale University

Christian Gollier

Managing Director Toulouse School Of Economics

Francisco Gomes

Professor of Finance London Business School

RPN Steering Committee, Household Finance / Fellow, Asset Pricing

Antonio Guarino

Professor of Economics University College London

Veronica Guerrieri

Ronald E. Tarrson Professor of Economics and Williard Graham Faculty Scholar, Booth School of Business University Of Chicago

Michael Haliassos

Director of CEPR RPN on Household Finance Centre for Economic Policy Research; Professor and Chair for Macroeconomics and Finance Goethe University Frankfurt

Tarek Hassan

Professor of Economics Boston University

Harald Hau

Senior Chair Swiss Finance Institute; Professor of Economics and Finance University Of Geneva

Christian Hellwig

Professor of Economics Toulouse School Of Economics

Marie Hoerova

Senior Adviser in the Directorate General Research European Central Bank

Julien Hugonnier

Full Professor of Finance Swiss Federal Institute of Technology Lausanne (EPFL)

Tullio Jappelli

Research Fellow Center for Studies in Economics and Finance; Director of CSEF and Professor of Economics University Of Naples Federico Ii

Marcin Kacperczyk

Professor of Finance Imperial College London

RPN Member, European Financial Architecture / Fellow, Banking and Corporate Finance / Fellow, Asset Pricing / Fellow, Climate Change and the Environment

Bige Kahraman

Associate Professor of Finance at Saïd Business School and a Fellow of Kellogg College University Of Oxford

Eugene Kandel

Emil Spyer Professor of Economics and Finance, Member of the Center for the Study of Rationality Hebrew University Of Jerusalem

Ron Kaniel

Jay S. and Jeanne P. Benet Professor of Finance, Simon School of Business University Of Rochester

Matti Keloharju

Aalto Distinguished Professor Aalto University School of Business; Affiliated Researcher Research Institute of Industrial Economics (IFN)

RPN Steering Committee, Household Finance / Fellow, Banking and Corporate Finance / Fellow, Asset Pricing

Andrei Kirilenko

Founding Director of the Cambridge Centre for Finance, Technology & Regulation; Director of the Doctoral Programme at Judge Business School University Of Cambridge

Kees Koedijk

Professor of Finance Utrecht University; Professor of Finance and Head of the Department of Ethics, Governance and Society Vrije Universiteit Amsterdam

Ralph Koijen

AQR Capital Management Distinguished Service Professor of Finance and Fama Faculty Fellow for Booth School of Business University Of Chicago

Péter Kondor

Professor of Finance London School Of Economics And Political Science

George Korniotis

Professor of Finance at the Miami Herbert Business School University Of Miami

Robert Kosowski

Head of the Department of Finance and Professor of Finance Imperial College London, Business School

David Lando

Professor and Director of the Center For Financial Frictions Copenhagen Business School

Martin Lettau

Kruttschnitt Family Chair in Financial Institutions at the Haas School of Business University of California, Berkeley

Dmitry Livdan

Associate Professor of Finance University of California, Berkeley

Dong Lou

Professor of Finance London School Of Economics And Political Science

Sydney Ludvigson

Julius Silver, Roslyn S. Silver, and Enid Silver Winslow Professor of Economics New York University

Annamaria Lusardi

Senior Fellow at the Stanford Institute for Economic Policy Research, Professor of Finance (by courtesy) at the Stanford Graduate School of Business, and Director of the Financial Freedom Initiative Stanford University

Hanno Lustig

Senior Fellow, Stanford Institute for Economic Policy Research; The Mizuho Financial Group Professor of Finance Stanford University

Matteo Maggiori

Moghadam Family Professor of Finance in the Graduate School of Business Stanford University

Kaveh Majlesi

Part-time Professor of Economics Lund University; Professor of Economics Monash University

RPN Member, Household Finance / Fellow, Asset Pricing

Semyon Malamud

Associate Professor Swiss Federal Institute of Technology Lausanne (EPFL); Senior Chair Swiss Finance Institute

Thomas Mariotti

CNRS Research Director Toulouse School Of Economics

Ian Martin

Professor of Finance London School Of Economics And Political Science

Massimo Massa

Rothschild Chaired Professor of Banking and Professor of Finance, Co-Director of the Hoffmann Research Fund European Institute of Business Administration (INSEAD)

Antonio Mele

Professor of Finance Swiss Finance Institute; Professor of Finance Università Della Svizzera Italiana

Albert J. Menkveld

Professor of Finance Vrije Universiteit Amsterdam

Alexander Michaelides

Professor of Finance Imperial College London, Business School

Fellow, Monetary Economics and Fluctuations / RPN Steering Committee, Household Finance / Fellow, Asset Pricing

Stefan Nagel

Fama Family Professor of Finance, Booth School of Business University Of Chicago

Giovanna Nicodano

CCA Founding Fellow Collegio Carlo Alberto; Professor of Financial Economics University Of Turin

Marco Pagano

Professor of Finance University Of Naples Federico Ii

Michaela Pagel

Associate Professor of Finance in the Olin Business School Washington University In St. Louis

Luboš Pástor

Charles P. McQuaid Distinguished Service Professor of Finance and Robert King Steel Faculty Fellow, Chicago Booth School of Business University Of Chicago

Anna Pavlova

Professor of Finance London Business School

Lasse Heje Pedersen

Professor of Finance Copenhagen Business School; Distinguished Visiting Research Professor at the Stern School of Business New York University

Kim Peijnenburg

Professor in Finance EDHEC Business School

Loriana Pelizzon

Full Professor of Economics Ca' Foscari University Of Venice; Full Professor and Chair of Law and Finance Goethe University Frankfurt; Department Director of "Financial Markets" and Coordinator of Gender Equality Leibniz Institute For Financial Research (SAFE)

Joël Peress

Claude Jansen Chair in Business Administration European Institute of Business Administration (INSEAD)

Carolin Pflueger

Faculty Research Associate National Bureau Of Economic Research (NBER); Associate Professor in the Harris School of Public Policy University Of Chicago

Monika Piazzesi

Joan Kenney Professor of Economics Stanford University

Tarun Ramadorai

Professor of Financial Economics Imperial College London, Business School

RPN Steering Committee, Household Finance / Fellow, Asset Pricing / Fellow, Banking and Corporate Finance

Hélène Rey

Vice President Centre for Economic Policy Research; Lord Bagri Professor of Economics London Business School

Fellow, International Macroeconomics and Finance / RPN Member, European Economic Policy / Fellow, Asset Pricing / Fellow, Banking and Corporate Finance / CEPR Vice President / Fellow, Climate Change and the Environment

Ailsa Röell

Professor of International and Public Affairs Columbia University

Tano Santos

Robert Heilbrunn Professor of Asset Management and Finance and Academic Director of the Heilbrunn Center for Graham & Dodd Investing Columbia University

Lukas Schmid

Professor of Finance and Business Economics in the Marshall School of Business University Of Southern California

Martin Schneider

Professor of Economics Stanford University

Antoinette Schoar

Stewart C. Myers-Horn Family Professor of Finance and Entrepreneurship Massachusetts Institute of Technology (MIT)

Norman Schürhoff

Swiss Finance Institute Chair and Professor of Finance HEC Lausanne

Enrique Sentana

Professor of Economics Center for Monetary and Financial Studies (CEMFI)

Hyun Song Shin

Co-Lead of the Monetary and Economic Department and Senior Management Member of the Executive Committee Bank For International Settlements

RPN Member, Central Bank Communication / RPN Member, Fintech and Digital Currencies / RPN Member, European Financial Architecture / Fellow, Asset Pricing / Fellow, Banking and Corporate Finance

Andrei Simonov

Frederick S. Addy Distinguished Chair in Finance and Chairperson of Finance Department Michigan State University

Paolo Sodini

Professor of Finance Stockholm School Of Economics; Fellow Swedish House Of Finance

RPN Steering Committee, Household Finance / Fellow, Asset Pricing

Alireza Tahbaz-Salehi

Professor of Managerial Economics and Decision Sciences Kellogg School Of Management, Northwestern University

Allan Timmermann

Dr. Harry M. Markowitz Endowed Chair in Finance and Investing and Distinguished Professor of Economics and Finance University of California, San Diego

Harald Uhlig

Bruce Allen and Barbara Ritzenthaler Professor of Economics University Of Chicago

Raman Uppal

Professor of Finance EDHEC Business School

Jules van Binsbergen

Nippon Life Professor in Finance at the Wharton School University Of Pennsylvania

Stijn Van Nieuwerburgh

Earle W. Kazis and Benjamin Schore Professor of Real Estate and Professor of Finance at the Graduate School of Business Columbia University

Dimitri Vayanos

Professor of Finance and Director of the Paul Woolley Centre for the Study of Capital Market Dysfunctionality London School Of Economics And Political Science; Research Associate National Bureau Of Economic Research (NBER)

Laura Veldkamp

Leon G. Cooperman Professor of Finance & Economics Columbia University

Michela Verardo

Associate Professor of Finance London School Of Economics And Political Science

Pietro Veronesi

Chicago Board of Trade Professor of Finance, Deputy Dean for Faculty and Faculty Director for Diversity and Inclusion University Of Chicago

Roine Vestman

Professor of Economics Stockholm University

Annette Vissing-Jørgensen

Senior Advisor Federal Reserve Board Of Governors

Xavier Vives

Professor of Economics and Finance, Abertis Chair of Regulation, Competition and Public Policy and Academic Director of the Public-Private Sector Research Center IESE Business School, Barcelona