Financial Market Risk Premiums:
Time Variation and Macroeconomic Links
Time Variation and Macroeconomic Links
July 21-22, 2005 Federal Reserve Board, Washington, D.C. Skip to content
|
Financial Market Risk Premiums:
Time Variation and Macroeconomic Links July 21-22, 2005 Federal Reserve Board, Washington, D.C. Skip to content
Program and Participants |
| 8:45-9:20 | Breakfast and Coffee | |
| 9:20-9:30 | Welcoming Remarks | |
| 9:30-10:20 | Long-Run Risks and Equity Returns | |
| Authors: |
Ravi Bansal (presenter), Duke University |
|
| Discussant: | Jessica Wachter, University of Pennsylvania | |
| 10:20-10:55 | Coffee Break | |
| 10:55-11:45 | The Declining Equity Premium: What Role Does Macroeconomic Risk Play? | |
| Authors: | Martin Lettau (presenter), New York University Sydney Ludvigson, New York University Jessica Wachter, University of Pennsylvania |
|
| Discussant: | Sean Campbell, Federal Reserve Board | |
| 11:45-12:35 | Growth or Glamour? Fundamentals and Systemic Risk in Stock Returns | |
| Authors: | John Campbell (presenter), Harvard University Christopher Polk, Northwestern University Tuomo Vuolteenaho, Arrowstreet Capital |
|
| Discussant: | ||
| 12:45-1:30 | Lunch | |
| 1:30-2:00 | Lunchtime Address by Governor Kohn | |
| 2:00-2:50 | Expected Returns, Yield Spreads, and Asset Pricing Tests | |
| Authors: | Lu Zhang (presenter), University of Rochester Murillo Campello, University of Illinois at Urbana-Champaign Long Chen, Michigan State University |
|
| Discussant: | John Ammer, Federal Reserve Board | |
| 2:50-3:10 | Coffee Break | |
| 3:10-4:00 | Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence | |
| Authors: | Frank Diebold (presenter), University of Pennsylvania Sean Campbell, Federal Reserve Board |
|
| Discussant: | Sydney Ludvigson, New York University | |
| 4:05-4:55 | From the Horse’s Mouth: Gauging Conditional Expected Stock Returns from Investor Surveys | |
| Authors: | Gene Amromin (presenter), Federal Reserve Board Steven Sharpe, Federal Reserve Board |
|
| Discussant | Tyler Shumway, University of Michigan | |
| 6:00-8:00 | Conference Dinner | |
| 8:00-8:30 | Breakfast and Coffee | |
| 8:30-9:20 | Downside Risk | |
| Authors: | Andrew Ang (presenter), Columbia University Joseph Chen, University of Southern California Yuhang Xing, Rice University |
|
| Discussant: | Robert Dittmar, University of Michigan | |
| 9:20-10:10 | Heterogeneous Beliefs, Trading Risk, and the Equity Premium | |
| Authors: | Alexander David (presenter), Washington University in St. Louis | |
| Discussant: | Harold Zhang, University of North Carolina | |
| 10:10-10:40 | Coffee Break | |
| 10:40-11:30 | Stock Returns and Volatility: Pricing the Long-Run and Short-Run Components of Market Risk | |
| Authors: | Joshua Rosenberg (presenter), Federal Reserve Bank of New York Tobias Adrian, Federal Reserve Bank of New York |
|
| Discussant: | Gurdip Bakshi, University of Maryland | |
| 11:30-12:20 | Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities | |
| Authors: | Hao Zhou (presenter), Federal Reserve Board Tim Bollerslev, Duke University Michael Gibson, Federal Reserve Board |
|
| Discussant: | Hui Guo, Federal Reserve Bank of St. Louis | |
| 12:30-1:15 | Lunch and Conference Adjourns | |
|
|