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 Financial Market Risk Premiums:
 Time Variation and Macroeconomic Links

July 21-22, 2005   Federal Reserve Board, Washington, D.C.

Program and Participants

 Thursday, July 21
8:45-9:20 Breakfast and Coffee
9:20-9:30 Welcoming Remarks
9:30-10:20 Long-Run Risks and Equity Returns

Ravi Bansal (presenter), Duke University
Robert Dittmar, University of Michigan
Dana Kiku, Duke University

Discussant: Jessica Wachter, University of Pennsylvania
10:20-10:55 Coffee Break
10:55-11:45 The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
Authors: Martin Lettau (presenter), New York University
Sydney Ludvigson, New York University
Jessica Wachter, University of Pennsylvania
Discussant: Sean Campbell, Federal Reserve Board
11:45-12:35 Growth or Glamour? Fundamentals and Systemic Risk in Stock Returns
Authors: John Campbell (presenter), Harvard University
Christopher Polk, Northwestern University
Tuomo Vuolteenaho, Arrowstreet Capital

Greg Duffee, University of California at Berkeley

12:45-1:30 Lunch
1:30-2:00 Lunchtime Address by Governor Kohn
2:00-2:50 Expected Returns, Yield Spreads, and Asset Pricing Tests
Authors: Lu Zhang (presenter), University of Rochester
Murillo Campello, University of Illinois at Urbana-Champaign
Long Chen, Michigan State University
Discussant: John Ammer, Federal Reserve Board
2:50-3:10 Coffee Break
3:10-4:00 Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence
Authors: Frank Diebold (presenter), University of Pennsylvania
Sean Campbell, Federal Reserve Board
Discussant: Sydney Ludvigson, New York University
4:05-4:55 From the Horse’s Mouth: Gauging Conditional Expected Stock Returns from Investor Surveys
Authors: Gene Amromin (presenter), Federal Reserve Board
Steven Sharpe, Federal Reserve Board
Discussant Tyler Shumway, University of Michigan
6:00-8:00 Conference Dinner


Friday, July 22, 2005
8:00-8:30 Breakfast and Coffee
8:30-9:20 Downside Risk
Authors: Andrew Ang (presenter), Columbia University
Joseph Chen, University of Southern California
Yuhang Xing, Rice University
Discussant: Robert Dittmar, University of Michigan
9:20-10:10 Heterogeneous Beliefs, Trading Risk, and the Equity Premium
Authors: Alexander David (presenter), Washington University in St. Louis
Discussant: Harold Zhang, University of North Carolina
10:10-10:40 Coffee Break
10:40-11:30 Stock Returns and Volatility: Pricing the Long-Run and Short-Run Components of Market Risk
Authors: Joshua Rosenberg (presenter), Federal Reserve Bank of New York
Tobias Adrian, Federal Reserve Bank of New York
Discussant: Gurdip Bakshi, University of Maryland
11:30-12:20 Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities
Authors: Hao Zhou (presenter), Federal Reserve Board
Tim Bollerslev, Duke University
Michael Gibson, Federal Reserve Board
Discussant: Hui Guo, Federal Reserve Bank of St. Louis
12:30-1:15 Lunch and Conference Adjourns