Virtual, July 6-8, 2022

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Capital Markets

Time:Friday, July 8, 2022 10:15 - 12:00Location:Stream 2Session Chair:Yuhang Xing, Rice University Zoom:

An Intertemporal Risk Factor Model

Fousseni Chabi-Yo; Isenberg School of Management

Andrei Goncalves; University of North Carolina at Chapel Hill

Johnathan Loudis; University of Notre Dame

  Presenter: Andrei Goncalves, University of North Carolina at Chapel Hill

  Discussant: Raymond Kan, University of Toronto

Main Street's Pain, Wall Street's Gain

Nancy Xu; Boston College

Yang You; The University of Hong Kong

  Presenter: Nancy Xu, Boston College

  Discussant: Jinfei Sheng, University of California, Irvine

Why Naive 1/N Diversification Is Not So Naive, and How to Beat It?

Ming Yuan; Columbia University

Guofu Zhou; Washington University in St. Louis

  Presenter: Guofu Zhou, Washington University in St. Louis

  Discussant: Christopher Reilly, Boston College

Volatility and the Pricing Kernel

Tobias Sichert; Stockholm School of Economics

David Schreindorfer; Arizona State University

  Presenter: Tobias Sichert, Stockholm School of Economics

  Discussant: Ian Dew-Becker, Northwestern University

Put Away