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`Session 11: Asset Pricing Theory and Computation

Week of August 27 - 30, 2018

Organized by:

  • Kenneth Judd, Hoover Institution, Stanford University
  • Walter Pohl, Norwegian School of Economics, Bergen
  • Karl Schmedders, University of Zurich
  • Ole Wilms, Tilburg University

This session focuses on recent advances in equilibrium asset pricing models. Possible topics include but are not limited to the following: learning and ambiguity in asset pricing models, investor heterogeneity, the term structure of risks or new preference structures for pricing models. As the analysis of such models often requires the use of computational methods, we encourage submissions that develop and make use of new numerical techniques.

This session is being held in Room 105 of the Lou Henry Hoover Building, across Serra street from the Economics Department.

In this Session

Aug 27 |
9:00 am to 9:45 am

Dividend Dynamics, Learning, and Stock Index Returns

Presented by: Binying Liu, Hong Kong University of Science and Technology
Co-Author(s): Ravi Jagannathan, Northwestern University
Aug 27 |
10:00 am to 10:45 am

Asset Pricing with Return Extrapolation

Presented by: Lawrence Jin, California Institute of Technology
Co-Author(s): Pengfui Sui, California Institute of Technology
Aug 27 |
11:00 am to 11:45 am

Restrictions on Asset-Price Movements Under Rational Expectations: Theory and Evidence

Presented by: Eben Lazarus, Harvard University
Co-Author(s): Ned Augenblick, University of California, Berkeley
Aug 27 |
1:00 pm to 1:45 pm

An Intermediation-Based Model of Exchange Rates

Presented by: Semyon Malamud, EPFL
Co-Author(s): Andreas Schrimpf, Bank for International Settlements
Aug 27 |
2:00 pm to 2:45 pm

Optimists, Pessimists, and the Stock Market: The Role of Preferences and Market (In)Completeness

Presented by: Patrick Konermann, BI Norwegian Business School
Co-Author(s): Christian Schlag, Goethe University Frankfurt; Nicole Branger, University of Muenster
Aug 27 |
3:00 pm to 3:45 pm

Pockets of Predictability

Presented by: Lawrence Schmidt, MIT
Co-Author(s): Leland Farmer, University of Virginia; Allan Timmermann, University of California, San Diego
Aug 28 |
9:00 am to 9:45 am

Asset Pricing with Persistence Risk

Presented by: Daniel Andrei, McGill University
Co-Author(s): Michael Hasler, University of Toronto; Alexandre Jeanneret, HEC Montreal
Aug 28 |
10:00 am to 10:45 am

The Importance of Timing Attitudes in Consumption-Based Asset Pricing Models

Presented by: Martin Andreasen, Aarhus University
Co-Author(s): Kasper Joergensen, Aarhus University
Aug 28 |
11:00 am to 11:45 am

Downside Risks and the Price of Variance Uncertainty

Presented by: Malte Schumacher, University of Zurich
Co-Author(s): Friedrich Lorenz, University of Muenster
Aug 28 |
1:00 pm to 1:45 pm

Risk Aversion and the Response of the Macroeconomy to Uncertainty Shocks

Presented by: Alex Hsu, Georgia Institute of Technology
Co-Author(s): Lorenzo Bretscher, London School of Economics; Andrea Tamoni, London School of Economics
Aug 28 |
2:00 pm to 2:45 pm

The Term Structure and Time-Series Variation of the Pricing Kernel

Presented by: Joren Koeter, Tilburg University
Co-Author(s): Joost Driessen, Tilburg University; Ole Wilms, Tilburg University
Aug 28 |
3:00 pm to 3:45 pm

Asset Pricing When Intermediaries Have Market Power - Financial Oligopoly and Oligopsony

Presented by: Lukas Schmid, Duke University
Co-Author(s): Alesssandro Tenzin Villa, Duke University
Aug 28 |
4:00 pm to 4:45 pm

Tokenomics: Dynamic Adoption and Valuation

Presented by: Ye Li, Ohio State University
Co-Author(s): Lin William Cong, University of Chicago; Neng Wang, Columbia Business School
Aug 29 |
9:00 am to 9:45 am

Where is Macroeconomics Going in the Computational Era?

Presented by: Ken Judd, Hoover Institution
Aug 29 |
10:00 am to 10:45 am

Numerical Approximations of Level Sets for Statistical Inference and Robust Counter-Factuals

Presented by: Gregor Reich, University of Zurich
Co-Author(s): Ken Judd, Hoover Institution
Aug 29 |
11:00 am to 11:45 am

Concerns for Long-Run Risks and Natural Resource Policy

Presented by: Justin Johnson Kakeu, Morehouse College
Aug 29 |
1:00 pm to 1:45 pm

Dissecting Characteristics Nonparametrically

Presented by: Andreas Neuhierl, University of Notre Dame
Co-Author(s): Joachim Freyberger, University of Wisconsin-Madison; Michael Weber, University of Chicago
Aug 29 |
2:00 pm to 2:45 pm

Kernel Trick for the Cross Section

Presented by: Serhiy Kozak, University of Michigan
Aug 29 |
3:00 pm to 3:45 pm

Estimating Latent Asset-Pricing Factors

Presented by: Martin Lettau, University of California, Berkeley
Co-Author(s): Markus Pelger, Stanford University
Aug 29 |
4:00 pm to 4:45 pm

On the Effects of Restricting Short-Term Investment

Presented by: Ian Drew-Becker, Northwestern University
Co-Author(s): Nicolas Crouzet, Northwestern University; Charles Nathanson, Northwestern University
Aug 30 |
9:00 am to 9:45 am

Index and Smart Beta When Investors are Ambiguity Averse

Presented by: Chong Huang, University of California, Irvine
Co-Author(s): David Hirshleifer, University of California, Irvine; Siew Hong Teoh, University of California, Irvine
Aug 30 |
10:00 am to 10:45 am

Ambiguity, Nominal Bond Yields, and Real Bond Yields

Presented by: Guihai Zhao, Bank of Canada
Aug 30 |
11:00 am to 11:45 am

Valuation Risk Revalued

Presented by: Nate Throckmorton, William and Mary
Co-Author(s): Oliver de Groot, European Central Bank; Alexander Richter, Federal Reserve Bank of Dallas
Aug 30 |
1:00 pm to 1:45 pm

Bailouts and Speculative Trade in Markets for Aggregate Disaster Risk Insurance

Presented by: Hanno Lustig, Stanford University
Co-Author(s): Martin Schneider, Stanford University; Monika Piazzesi, Stanford University
Aug 30 |
2:00 pm to 2:45 pm

Relative Existence and Recursive Utility

Presented by: Walter Pohl, Norweigian School of Economics, Bergen
Co-Author(s): Karl Schmedders, University of Zurich; Ole Wilms, Tilburg University