PhD Reading Group

Schedule

The reading group meets on Fridays every other week in McColl 3550.

February

  • Friday, 12: Generalized Method of Moments
    1. Casey Dougal presents "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models." Lars Peter Hansen and Kenneth J. Singleton; Econometrica: Journal of the Econometric Society, 1982, 50(5), pp. 1269-86. [Paper] [Slides]
    2. Stephen Goldberger presents "Estimation and Evaluation of Conditional Asset Pricing Models" by Stefan Nagel and Ken Singleton. Journal of Finance, forthcoming. [Paper] [Slides]

  • Friday, 26:
    1. Eric Ghysels presents " Should Macroeconomics Forecasters Use Daily Financial Data and How?". [Paper]
    2. Jinghan Meng presents "Asset Pricing with heterogeneous consumers", by George Costantinides and Darrell Duffie, Journal of Political Economy, 1996, Vol.104(2), pp. 219-240. [Paper] [Slides]
    3. Kentaro Koyama presents "Long-Run Stockholder Consumption Risk and Asset Returns" by Malloy, Moskowitz, and Vissing-Jorgensen, Journal of Finance, 64, 2009, pp. 2427--2479. [Paper] [Slides]

March

  • Friday, 5: Explanations of the Equity Premium Puzzle
    1. Steven Ho: "By force of habit: a consumption-based explanation of aggregate stock market behavior", by John Campbell and John Cochrane, Journal of Political Economy, 1999, vol.107(2), pp. 205-251. [Paper] [Slides]
    2. Serdar Aldatmaz: "Rare Disasters and Asset Markets in the Twentieth Century", by Robert Barro, The Qaurterly Journal of Economics, 2006, Vol. 121, No. 3, Pages 823-866. [Paper] [Slides]
    3. Syung Han: "Risks for the Long Run: a potential resolution of Asset Pricing Puzzles", by Ravi Bansal and Amir Yaron, The Journal of Finance, 2004, Vol. LIX(4), pp.1481-1509. [Paper] [Slides]

  • Friday, 19:
    1. Hua Zhao: Glosten, L.R. and Jagannathan, R. and Runkle, D.E., 1993, On the relation between the expected value and the volatility of the nominal excess return on stocks, Journal of finance, 1779--1801.
    2. Joon Ho Hur: Ghysels, E. and Santa-Clara, P. and Valkanov, R., 2005, There is a risk-return trade-off after all, Journal of Financial Economics, 76, 509--548. [Slides]
    3. HongYu Ru: Chen, X. and Ghysels, E., 2010, News-good or bad-and its impact on volatility predictions over multiple horizons, Review of Financial Studies (forthcoming). [Slides]
  • Wednesday, 24: The International Equity Premium Puzzle (This class meets in 2500 at 5pm)
    1. Kentaro Koyama: "A Habit-Based Explanation of the Exchange Rate Risk Premium", by Adrien Verdehlan, forthcoming in The Journal of Finance. [Paper] [Slides]
    2. Casey Dougal:"Risks for the long-run and the real exchange rate", by Riccardo Colacito and Mariano Croce, working paper, UNC Chapel Hill, 2008. [Paper] [Slides]
    3. Jongsoo Hong: Andersen, T.G. and Bollerslev, T. and Diebold, F.X., 2007, Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility, Review of Economics and Statistics, 89, 701--720.

April

  • Wednesday, 7: The term structure of the interest rate
    1. Stephen Goldberger: "Bond Risk Premia", by John H. Cochrane and Monika Piazzesi, The American Economic Review, Vol. 95, No. 1 (Mar., 2005), pp. 138-160 [Paper]
    2. Jinghan Meng: "A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables", by Andrew Ang and Monika Piazzesi, Journal of Monetary Economics Volume 50, Issue 4, May 2003, Pages 745-787 [Paper]
    3. Steven Ho: "Specification Analysis of Affine Term Structure Models", by Qiang Dai and Kenneth J. Singleton, The Journal of Finance, Vol. 55, No. 5 (Oct., 2000), pp. 1943-1978 [Paper]

  • Friday, 23: Robust Asset Pricing
    1. Joon Ho Hur: "Risk-sensitive real business cycles", by Thomas Tallarini, Journal of Monetary Economics, 45, 2000, pp.507-532. [Paper]
    2. Serdar Aldatmaz: "Fragile Beliefs and the price of uncertainty", by Lars Hansen and Thomas Sargent, working paper, New York University and the University of Chicago, 2009. [Paper]

  • Wednesday, 28: Predictability and Empirical tests of the CAPM
    1. HongYu Ru: "Predictive Systems: Living with Imperfect Predictors”, by Pastor and Stambaugh, 2009, Journal of Finance 64, 1583–1628.
    2. Jongsoo Hong: “Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time- Varying”, by Lettau and Ludvigson, Journal of Political Economy, December 2001, 109(6): 1238-1287
    3. Syung Han: "Bad Beta, Good Beta”, Campbell and Vuolteenaho, American Economic Review 94:1249-1275, December 2004.