Cite Conference
New Quantitative Models of Financial Markets
July 30–Aug. 1, 2012
Organizers
- Lars Peter Hansen, University of Chicago
- Ralph Koijen, University of Chicago Booth School of Business
- Ian Martin, Stanford University
- Monika Piazzesi, Stanford University
- Martin Schneider, Stanford University
The Chicago Initiative in Theory and Empirics (CITE) conference will bring together both recent empirical and theoretical work in macro-finance, which spans asset pricing, corporate finance, and macroeconomics.
This conference is the counterpart to Stanford's Initiative in Theoretical Economics.
Schedule
Monday, July 30
| 8:30–9:00 am | Continental Breakfast |
| 9:00–10:00 am | Intermediary Leverage Cycles and Financial Stability Nina Boyarchenko, New York Federal Reserve Bank |
| 10:15–11:15 am | Measuring the “Dark Matter” in Asset Pricing Models Hui Chen, MIT |
| 11:30 am–12:30 pm | Risk Choice Under High-Water Marks Itamar Drechlser, New York University |
| 12:30–1:30 pm | Lunch |
| 1:30–2:30 pm | No News is News: Do Markets Underreact to Nothing? Stefano Giglio, University of Chicago |
| 2:45–3:45 pm | Examining Macroeconomic Models through the Lens of Asset Pricing Jaroslav Borovicka, University of Chicago |
| 4:00–5:00 pm | Forward and Spot Exchange Rates in a Multi-Currency World Tarek Hassan, University of Chicago |
Tuesday, July 31
| 8:30–9:00 am | Continental Breakfast |
| 9:00–10:00 am | Market Expectations in the Cross Section of Present Values Bryan Kelly, University of Chicago |
| 10:15–11:15 am | Technological Innovation: Winners and Losers Dimitris Papanikolau, Northwestern University |
| 11:30 am–12:30 pm | Parameter Learning in General Equilibrium: the Asset Pricing Implications Lars Lochstoer, Columbia University |
| 12:30–1:30 pm | Lunch |
| 1:30–2:30 pm | What is the Expected Return on the Market? Ian Martin, Stanford University |
| 2:45–3:45 pm | The Social Value of Information Aggregation Thomas Mertens, New York University |
Wednesday, August 1
| 8:30–9:00 am | Continental Breakfast |
| 9:00–10:00 am | Financial Intermediation Cycles and Asset Prices Ralph Koijen, University of Chicago Jules Vanbinsbergen, Northwestern University |
| 10:15–11:15 am | Business Cycles and Asset Prices: The Role of Volatility Shocks under Ambiguity Aversion Martin Schneider, Stanford University |
| 11:30 am–12:30 pm | The Risk Premium Channel of Monetary Policy Alexi Savov, New York University |
| 12:30–1:30 pm | Lunch |
| 1:30–2:30 pm | A Welfare Criterion for Models with Distorted Beliefs Alp Simsek, Harvard University |