Pricing of Climate Risk Insurance: Regulation and Cross-Subsidies

by Sangmin Oh, Ishita Sen, and Ana-Maria Tenekedjieva

E-axes forum 2024

When do cross-sectional asset pricing factors span the stochastic discount factor?

by Serhiy Kozak and Stefan Nagel

SoFiE Seminar, Fall 2022

Insensitive investors

by Constantin Charles, Cary Frydman, and Mete Kilic

NBER Asset Pricing, Fall 2022

Macro Trends and Factor Timing

by Carlo Favero, Alessandro Melone, Andrea Tamoni

CREDIT 2022

Dissecting Green Returns

by Lubos Pastor, Robert Stambaugh, and Lucian Taylor

NBER Asset Pricing, Summer 2022

Expectations and Bank Lending

by Yueran Ma, Teodora Paligorova, and José-Luis Peydró

AEA 2022

Mitigating Disaster Risks in the Age of Climate Change

by Harrison Hong, Neng Wang, and Jinqiang Yang

AFA 2022

Do Common Factors Really Explain the Cross-Section of Stock Returns?

by Alejandro Lopez-Lira and Nick Roussanov

NBER Big Data, 2021

Regulatory Arbitrage and the Rise of Non-Financial Firms’ Shadow Banking Activities

by Zehao Liu, Huoqing Tang, and Chengsi Zhang

Renmin University of China School of Finance Workshop, 2021

Putting the Price in Asset Pricing

by Thummim Cho and Christopher Polk

LSE-BIS conference, 2021

Asset Managers’ Response to Natural Disasters

by Marcin Kacperczyk

IESE Banking Initiative Conference, 2021

Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models

by Svetlana Bryzgalova, Jiantao Huang, and Christian Julliard

AFA 2021

The Pricing and Risk of Dividends by Maturity: Theory and Evidence from the COVID-19 Pandemic

by Niels Gormsen, Ralph Koijen, and Ian Martin

AFA 2021

On the Other Side of Hedge Fund Equity Trades

by Xinyu Cui, Olga Kolokolova, Jiaguo Wang

AFA 2021

Duration-Driven Returns

by Niels Gormsen and Eben Lazarus

NBER Asset Pricing Meeting, Fall 2020

Stock Prices, Lockdowns, and Economic Activity in the Time of Coronavirus

by Steven Davis , Dingqian Liu, and Xuguang Simon Sheng

IMF Jacques Polak Annual Research Conference, Fall 2020

Maturity Increasing Over-reaction and Bond Market Puzzles

by Daniele D'Arienzo

NBER Behavioral Finance Meeting, Spring 2020

Volatility Expectations and Returns

by Lars Lochstoer and Tyler Muir

NBER Behavioral Finance Meeting, Fall 2019

Asset Pricing with Fading Memory 

by Stefan Nagel and Zhengyang Xu 

NBER Summer Institute 2019 (Behavioral/Macro)

In Military We Trust: The Effect of Managers' Military Background on Mutual Fund Flows 

by Alexander Cochardt, Stephan Heller and Vitaly Orlov 

NBER Summer Institute 2019 (Asset Pricing)

The Pollution Premium 

by Po-Hsuan Hsu, Kai Li, and Chi-Yang Tsou 

WSIR 2019

Risk Price Variation: The Missing Half of the Cross-Section of Expected Returns

by Andrew Patton and Brian Weller

ASU Sonoran Winter Finance Conference 2019

Production Networks and Stock Returns: The Role of Vertical Creative Destruction

by Michael Gofman, Gill Segal and Youchang Wu

AFA 2019

Disaster on the Horizon: The Price Effect of Sea Level Rise

by Asaf Bernstein, Matthew Gustafson and Ryan Lewis

Chicago Booth Asset Pricing Conference, 2018

Measuring Horizon-Specific Systematic Risk via Spectral Betas

by Federico Bandi, Shomesh Chaudhuri, Andrew Lo and Andrea Tamoni

New Methods for the Cross Section of Returns (at Chicago Booth), 2018

Dynamic Asset Liability Management under Model Uncertainty

by Ferenc Horvath, Frank de Jong, and Bas Werker

City University of Hong Kong Finance Conference, 2018

Predicting Relative Returns

by Valentin Haddad, Serhiy Kozak and Shri Santosh

AFA 2018

The Cross-Section of Risk and Return

by Kent Daniel, Lira Mota, Simon Rottke and Tano Santos

AFA 2018

Multifactor models and the APT: Evidence from a broad cross-section of stock returns

by Ilan Cooper, Paulo Maio and Dennis Philip

EFMA 2017

An Equilibrium Model of Institutional Demand and Asset Prices

by Ralph Koijen and Motohiro Yogo

AFA 2017

The Cross-Section of Currency Volatility Premia

by Pasquale Della Corte, Roman Kozhan, and Anthony Neuberger

AFA 2017

Climate Risks and Market Efficiency

by Harrison Hong, Frank Weikai Li and Jiangmin Xu

NBER Asset Pricing Meeting, November 2016

Volatility Managed Portfolios

by Alan Moreira and Tyler Muir

Paul Woolley Centre Conference (LSE) 2016

Linking Cross-Sectional and Aggregate Expected Returns

by Serhiy Kozak and Shri Santosh

SFS Cavalcade 2016

Systemic Default and Return Predictability in the Stock and Bond Markets

by Jack Bao, Kewei Hou and Shaojun Zhang

UBC WFC 2016

Nominal Exchange Rate Stationarity and Long-Term Bond Returns

by Hanno Lustig, Andreas Stathopoulos and Adrien Verdelhan

AFA 2016

Fear Trading

by Paul Schneider and Fabio Trojani

AFA 2016

Horizon-specific macroeconomic risks and the cross section of expected returns

by Martijn Boons and Andrea Tamoni

EFA 2015

Efficiency and Distortions in a Production Economy with Heterogeneous Beliefs

by Christian Heyerdahl-Larsen and Johan Walden

WFA 2015

Aggregate Tail Risk and Expected Returns

by David Chapman and Michael Gallmeyer

SFS Cavalcade 2015

Nominal term spread, real rate and consumption growth

by Anna Cieslak and Pavel Povala

MFA 2015

Business-cycle consumption risk and asset prices

by Federico Bandi and Andrea Tamoni

AFA 2015

Credit-induced booms and busts

by Marco Di Maggio and Amir Kermani

Tel Aviv Finance Conference 2014

The Credit Spread Puzzle - Myth or Reality?

by Peter Feldhütter and Stephen Schaefer

CEPR Asset Pricing Conference (Gerzensee) 2014

Preferred Habitats and Safe-Haven Effects: Evidence from the London Housing Market

by Cristian Badarinza and Tarun Ramadorai

Paul Woolley Centre Conference (LSE) 2014

Ambiguity Aversion and Household Portfolio Choice: Empirical Evidence

by Stephen Dimmock, Roy Kouwenberg, Olivia Mitchell and Kim Peijnenburg

Mitsui Finance Symposium (at U Michigan) 2014

Macroeconomic Variables and the Term Structure: Long-Run and Short-Run Dynamics

by Hitesh Doshi, Kris Jacobs and Rui Liu

USC Fixed Income Conference 2014

Estimates of the Size and Source of Price Declines Due to Nearby Foreclosures

by Elliot Anenberg and Ed Kung

HULM 2013 (at FRB Atlanta)

Treasury Liquidity, Funding Liquidity and Asset Returns

by Ruslan Goyenko

Oxford Asset Pricing Retreat 2013

The Asset Pricing Implications of Government Economic Policy Uncertainty

by Jonathan Brogaard and Andrew Detzel

McGill Global Asset Management Conference 2013

The pricing effects of ambiguous private information

by Scott Condie and Jayant Ganguli

MFA 2013

Foreclosure Externalities: Some New Evidence

by Kristopher Gerardi, Eric Rosenblatt, Paul Willen and Vincent Yao

HULM 2012 (at FRB Boston)

An Agent Based Model of the Household Sector

by Doyne Farmer and John Geanakoplos

AFA 2012

Term Structure of Credit Default Swap Spreads and Cross-Section of Stock Returns

by Bing Han and Yi Zhou

AFA 2012

CDS as Insurance: Leaky Lifeboats in Stormy Seas

by Eric Stephens and James Thompson

WFA 2011