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Asset Pricing.

NBER's Program on Asset Pricing met in California on November 13, 2009. NBER Research Associates Leonid Kogan and Jiang Wang, both of MIT, organized the meeting. These papers were discussed:

* Darrell Duffie, Stanford University and NBER, and Bruno Strulovici, Northwestern University, "Capital Mobility and Asset Pricing"

* Krista Schwarz, University of Pennsylvania, "Mind the Gap: Disentangling Credit and Liquidity in Risk Spreads"

* Viral V. Acharya, New York University and NBER; Douglas Gale, New York University; and Tanju Yorulmazer, Federal Reserve Bank of New York, "Rollover Risk and Market Freezes"

* Gerard Hoberg, University of Maryland, and Ivo Welch, Brown University and NBER, "Better Factor Portfolios and Pricing Book-to-Market Characteristics with the Fama-French Factor Model"

* Igor Makarov and Guillaume Plantin, London School of Business, "Equilibrium Subprime Lending"

* Stefan Nagel and Kenneth J. Singleton, Stanford University and NBER, "Estimation and Evaluation of Conditional Asset Pricing Models"

Summaries of these papers may be found at:
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Title Annotation:Program and Working Group Meetings
Publication:NBER Reporter
Date:Dec 22, 2009
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