Asset Pricing Theory Seminar - Fall 2009

Profs. Anthony Lynch and Stijn Van Nieuwerburgh

This website shows the in-class presentations of the main papers

The class is on Mondays from 4-7pm. The syllabus is here.

Sept 14: Organizational meeting (1 hour)

Sept 21. The temporal composition of risk

• Alvarez and Jermann (2005) [pres_09_1_1]
• Koijen, Lustig, and Van Nieuwerburgh (2009) [pres_09_1_2]
•  Hansen, Heaton, and Lee (2008) [pres_09_1_3]

Sept 28: No class due to holiday

Oct 5. Return predictability and the present-value model

• van Binsbergen and Koijen (2009) [pres_09_2_1]
• Pastor and Stambaugh (2009) [pres_09_2_2]
• Kirby [pres_09_2_3]

Oct 12. The Long-Run Risk Model

• Bansal and Yaron (2004) [pres_09_3_1]
• Bansal, Kiku, and Yaron (2007) [pres_09_3_2]
• Beeler and Campbell (2009) [pres_09_3_3]

Oct 19. The Habit Model

• Menzly, Santos, and Veronesi (2004) [pres_09_4_1]
• Lynch and Randall (2009) [pres_09_4_2]
• Bansal, Kiku, and Yaron (2009) [pres_09_4_3]

Oct 26. Production-Based Asset Pricing

• Zhang (2005) [pres_09_5_1]
• Papanikolaou (2007) [pres_09_5_2]
• Bazdrech, Belo, and Lin (2009) [pres_09_5_3]

Nov 2. Asset Pricing in General Equilibrium Models

• Gomes, Kogan, and Zhang (2003) [pres_09_6_1]
• Kaltenbrunner and Lochstoer (2008) [pres_09_6_2]
• Favilukis, Ludvigson, and Van Nieuwerburgh (2009) [pres_09_6_3]

Nov 9. Disaster Risk Models

• Gabaix (2009) [pres_09_7_1]
• Gourio (2009) [pres_09_7_2]
• Gosh and Julliard (2008) [pres_09_7_3]

Nov 16. Incomplete Markets Models and Undiversifiable Labor Income Risk

• Constantinides and Duffie (1996)  [pres_09_8_1]
• Krueger and Lustig (2009) [pres_09_8_2]
• Storesletten, Telmer, and Yaron (2002) [pres_09_8_3]

Nov 23. Limited Participation and Limited Commitment

• Guvenen (2005) [pres_09_9_1]
• Chien, Cole, and Lustig (2009) [pres_09_9_2]
• Lustig and Van Nieuwerburgh (2005) [pres_09_9_3]

Nov 30. Dynamic Portfolio Choice

• Campbell and Viceira (1999) [pres_09_10_1]
• Lynch and Tan (2009) [pres_09_10_2]
• Xia (2001) [pres_09_10_3]

Dec 7. Liquidity Risk and Transaction Costs Models

• Vayanos (1998) [pres_09_11_1]
• Brunnermeier and Pedersen (2009) [pres_09_11_2]
• Lynch and Tan (2009) [pres_09_11_3]

Dec 14. Limits to Arbitrage

• Schleifer and Vishny (1997) [pres_09_12_1]
• He and Krishnamurty (2008) [pres_09_12_2]
• Garleanu and Pedersen (2009)  [pres_09_12_3]