Vendredi 6 juin / Friday, June 6, 2003
CIRANO
2020, rue University, 25e étage/floor
Sous la direction de / Organized by
René Garcia, Nour Meddahi (Université de Montréal, CIREQ, CIRANO)
9h00-10h30 : Session I. Président/Chair : Bryan Campbell (Concordia University, CIREQ, CIRANO)
Angelo Melino (University of Toronto), Alan X. Yang (Algorithmics Incorporated)
State Dependent Preferences Can Explain the Equity Premium Puzzle
Michel Normandin (HEC Montréal, CIRPÉE), Pascal St-Amour (HEC Montréal, CIRPÉE, CIRANO)
Total Wealth, Consumption and Portfolio Shares : Evidence and Theory
10h30-11h00 : Pause café / Coffee Break
11h00-12h30 : Session II. Président/Chair : John Galbraith (McGill University, CIREQ, CIRANO)
Ravi Bansal (Duke University), Obert Dittmar, Christian Lundblad (Indiana University)
Interpreting Risk Premia Accross Size, Value and Industry Portfolios
Kris Jacobs (McGill University, CIRANO, CIREQ), Kevin Q. Wang (University of Toronto)
Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns
12h30-13h30 : Lunch
13h30-15h00 : Session III. Président/Chair : Rui Castro (Université de Montréal, CIREQ)
Fernando Alvarez (University of Chicago), Urban Jermann (University of Pennsylvania)
Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth
René Garcia, Éric Renault, Andrei Semenov (Université de Montréal, CIREQ, CIRANO)
A Consumption CAPM with a Reference Level
15h00-15h30 : Pause café / Coffee Break
15h30-17h00 : Session IV. Président/Chair : Emanuela Cardia (Université de Montréal, CIREQ)
Martin Lettau, Sydney Ludvigson, Jessica Wachter (New York University)
The Declining Equity Premium : What Role Does Macroeconomic Risk Play?
Lior Menzly (USC), Pietro Veronesi, Jesus Santos (University of Chicago)
Understanding Predictability
