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Session 7: Asset Pricing Theory and Computation

August 18-20, 2019 | Landau Economics Bldg, 579 Serra Mall, Rm 134, Stanford

This session focuses on recent advances in the theory of asset pricing and the use of computational techniques such as machine learning. Possible topics include but are not limited to the following: learning and ambiguity in asset pricing models, investor heterogeneity, new preference structures for pricing models, or using machine learning to understand the cross-section of returns. 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.

Organizers: Kenneth Judd (Hoover Institution, Stanford), Walter Pohl (Norwegian School of Economics, Bergen), Karl Schmedders (IMD Lausanne and University of Zurich) and Ole Wilms (Tilburg University)

In this Session

Aug 18 | 8:30 am to 9:00 am

Check-in | Breakfast

Aug 18 | 9:00 am to 9:45 am

What’s vol REALLY got to do with it

Presented by: Friedrich Lorenz (University of Munster)
Co-Author(s): Karl Schmedders (IMD Lausanne) and Malte Schumacher (University of Zurich)
Aug 18 | 9:45 am to 10:00 am

Break

Aug 18 | 10:00 am to 10:45 am

Estimating the Anomaly Baserate

Presented by: Alex Chinco (University of Illinois)
Co-Author(s): Michael Weber (University of Chicago) and Andreas Neuhierl (University of Notre Dame)
Aug 18 | 10:45 am to 11:00 am

Break

Aug 18 | 11:00 am to 11:45 am

Valuing Private Equity Investments Strip by Strip

Presented by: Arpit Gupta (NYU Stern)
Co-Author(s): Stijn Van Nieuwerburgh (Columbia Business School)
Aug 18 | 11:45 am to 1:00 pm

Lunch Discussion

Aug 18 | 1:00 pm to 1:45 pm

Variance Risk Premium Components and International Stock Return Predictability

Presented by: Nancy Xu (Boston College)
Co-Author(s): Juan M. Londono (Federal Reserve Board)
Aug 18 | 1:45 pm to 2:00 pm

Break

Aug 18 | 2:00 pm to 2:45 pm

Delegation Uncertainty

Presented by: Ye Li (Ohio State University)
Co-Author(s): Chen Wang (Yale School of Management)
Aug 18 | 2:45 pm to 3:00 pm

Break

Aug 18 | 3:00 pm to 3:45 pm

Can the Machine Pick Stock Market Winners?

Presented by: Walter Pohl (Norwegian School of Economics)
Aug 19 | 8:30 am to 9:00 am

Check-in | Breakfast

Aug 19 | 9:00 am to 9:45 am

Flighty Liquidity

Presented by: Nina Boyarchenko (Federal Reserve Bank of New York)
Co-Author(s): Domenico Giannone (Federal Reserve Bank of New York) and Or Shachar (Federal Reserve Bank of New York)
Aug 19 | 9:45 am to 10:00 am

Break

Aug 19 | 10:00 am to 10:45 am

A Macroeconomic Model of Equities and Real, Nominal, and Defaultable Debt

Presented by: Eric Swanson (University of California, Irvine)
Aug 19 | 10:45 am to 11:00 am

Break

Aug 19 | 11:00 am to 11:45 am

Economic Uncertainty and Investor Attention

Presented by: Daniel Andrei (McGill University)
Co-Author(s): Henry Friedman (UCLA) and N. Bugra Ozel (UT Dallas)
Aug 19 | 11:45 am to 1:00 pm

Lunch Discussion

Aug 19 | 1:00 pm to 1:45 pm

How Alternative Are Private Markets?

Presented by: Elise Gourier (ESSEC Business School)
Co-Author(s): William Goetzmann (Yale School of Management) and Ludovic Phalippou (University of Oxford)
Aug 19 | 1:45 pm to 2:00 pm

Break

Aug 19 | 2:00 pm to 2:45 pm

An Equilibrium Model with Buy and Hold Investors

Presented by: Tao Wu (Illinois Institute of Technology)
Aug 19 | 2:45 pm to 3:00 pm

Break

Aug 19 | 3:00 pm to 3:45 pm

Size Premium Waves

Presented by: Howard Kung (London Business School)
Co-Author(s): Bernard Herskovic (UCLA Anderson) and Thilo Kind (London Business School)
Aug 20 | 8:30 am to 9:00 am

Check-in | Breakfast

Aug 20 | 9:00 am to 9:45 am

Because all Moments Matter: Maximum Likelihood Estimation of Long-Run Risk Models

Presented by: Ole Wilms (Tilburg University)
Co-Author(s): Gregor Reich (University of Zurich)
Aug 20 | 9:45 am to 10:00 am

Break

Aug 20 | 10:00 am to 10:45 am

Endogenous Price War Risks

Presented by: Winston Dou (University of Pennsylvania)
Co-Author(s): Yan Li (HKUST) and Wei Wu (Texas A&M University)
Aug 20 | 10:45 am to 11:00 am

Break

Aug 20 | 11:00 am to 11:45 am

Market Power in the United States and its Impact on Income and Wealth Distribution

Presented by: Mordecai Kurz (Stanford University)
Aug 20 | 11:45 am to 1:00 pm

Lunch Discussion

Aug 20 | 1:00 pm to 1:45 pm

A Profile Likelihood Ratio Based Test of Return Predictability

Presented by: Robert Erbe (University of Zurich)
Co-Author(s): Gregor Reich (University of Zurich)
Aug 20 | 1:45 pm to 2:00 pm

Break

Aug 20 | 2:00 pm to 2:45 pm

Forecasting in Big Data Environments: an Adaptable and Automated Shrinkage Estimation of Neural Networks (AAShNet)

Presented by: Ali Habibnia (Virginia Tech)
Co-Author(s): Esfandiar Maasoumi (Emory University)
Aug 20 | 2:45 pm to 3:00 pm

Break

Aug 20 | 3:00 pm to 3:45 pm

Regularising the Factor Zoo with OWL: A Correlation-Robust Machine Learning Approach

Presented by: Chuanping Sun, Queen Mary University