Thursday, December 13th
8:45 - 9:00am Opening Remarks

Marco Bonomo (EPGE-FGV), Renato Fragelli (EPGE-FGV) and Frank Diebold (University of Pennsylvania)
9:00 - 10:00am Invited Speaker: Ravi Bansal (The Fuqua School at Duke University)
"Volatility, Long-Run Risks, and Asset prices"
10:00 - 10:30am Coffee Break
10:30 - 11:15am Ricardo Colacito (University of North Carolina at Chapel Hill)
"Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory"

Co-Authors: Eric Ghysels and Jinghan Meng (University of North Carolina at Chapel Hill)

Discussant: Roméo Tédongap (Stockholm School of Economics)
11:15 - 12:00pm Peter Bossaerts, California Institute of Technology (Caltech)
"Experiments with the Lucas Asset Pricing Model"

Co-Authors: Elena Asparouhova (U. Utah), Nilanjan Roy (Caltech) and Willian Zame (UCLA)

Discussant: Luis Braido (EPGE-FGV)
12:00 - 2:00pm Lunch
2:00 - 2:45pm João Issler (EPGE-FGV)
"A Stochastic Discount Factor Approach to Asset Pricing Using Panel Data Asymptotics"

Co-Author: Fabio Araujo (Princeton University)

Discussant: René Garcia (EDHEC Business School)
2:45 - 3:30pm Andras Fulop (ESSEC Business School)
"Multiperiod Corporate Default Prediction with Partially-Conditioned Forward Intensity"

Co-Author: Jin-Chuan Duan (National University of Singapore)

Discussant: Marcel Rindisbacher (Boston University)
3:30 - 4:00pm Coffee Break
4:00 - 4:45pm Yuliy Sannikov (Princeton University)
"The I Theory of Money"

Co-Author: Markus Brunnermeier (Princeton University)

Discussant: Marco Bonomo (EPGE-FGV)
4:45 - 5:45pm Invited Speaker: Lubos Pastor (Chicago Booth School of Business)
"Are Stocks for the Long Run?"

Friday, December 14th
9:00 - 10:00am Invited Speaker: Frank Diebold (University of Pennsylvania)
"A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Applic. to U.S. Equities"
10:00 - 10:30am Coffee Break
10:30 - 11:15am Imen Ghattassi (Banque de France)
"Time-Aggregation Effects on Estimating Asset Pricing Models"

Co-Author: Nour Meddahi (Toulouse School of Economics)

Discussant: René Garcia (EDHEC Business School)
11:15 - 12:00pm Kris Jacobs (University of Houston)
"Understanding Equity Option Prices"

Co-Author: Peter Christoffersen and Mathieu Fournier (University of Toronto)

Discussant: Jose Fajardo (EBAPE-FGV)
12:00 - 2:00pm Lunch
2:00 - 2:45pm Nicolae Gârleanu (UC Berkeley)
"Young, Old, Conservative and Bold: The Implications of Heterogeneity of Finite Lives for Asset Pricing"

Co-Author: Stavros Panageas (Chicago Booth School of Business)

Discussant: Tiago Berriel (EPGE-FGV)
2:45 - 3:30pm Timothy Christensen (Yale University)
"Nonparametric Stochastic Discount Factor Decomposition and Pricing of Long-Term Derivative Securities"

Discussant: Caio Almeida (EPGE-FGV)
3:30 - 4:00pm Coffee Break
4:00 - 4:45pm Valentin Haddad (Princeton University)
"Concentrated Ownership and Equilibrium Asset Prices"

Discussant: Carlos Eugênio da Costa (EPGE-FGV)
4:45 - 5:45pm Invited Speaker: Darrell Duffie (Graduate School of Business-Stanford University)
"Information Percolation in Segmented Markets"
5: 45 - 6:15pm Coffee, Final Remarks and Goodbye

Caio Almeida (EPGE-FGV) and René Garcia (EDHEC Business School)


Copyright © Fundação Getulio Vargas – 2012