Discussion Slides

2024

2023

2022

  • Discussion of "Which Investors Matter for Equity Valuations and Expected Returns?," by Ralph S.J. Koijen, Robert J. Richmond, and Motohiro Yogo. 2022 Five-Star Conference, 18 November 2022.
  • Discussion of "What is Missing in Asset-Pricing Factor Models?" by Massimo Dello Preite, Raman Uppal, Paolo Zaffaroni, and Irina Zviadadze. CEPR Advanced Forum for Financial Economics, 12 April 2022.

2021

  • Discussion of "Pricing currency risks" by Mikhail Chernov, Magnus Dahlquist, and Lars Lochstoer. 2021 WFA Meeting, 17 June 2021.
  • Discussion of "Market Efficiency in the Age of Big Data" by Ian Martin and Stehan Nagel. AI and Big Data in Finance Research Forum, 25 February 2021.
  • Discussion of "New and Old Sorts: Implications for Asset Pricing" by Fahiz Baba Yara, Martijn Boons and Andrea Tamoni. 2021 AFA Meeting, 3 January 2021.

2020

  • Discussion of "Expectations of Fundamentals and Stock Market Puzzles" by Pedro Bordalo, Nicola Gennaioli, Rafael La Porta, and Andrei Shleifer. Spring 2020 NBER Behavioral Finance Online Meeting, 15 May 2020.
  • Discussion of "A Unified Model of Distress Risk Puzzles" by Zhiyao Chen, Dirk Hackbarth and Ilya A. Strebulaev. 2019 AFA Meetings, 4 January 2020.

2019

  • Discussion of "Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?" by Martin Lettau, Sydney C. Ludvigson and Paulo Manoel. Fall 2019 NBER Asset Pricing Meeting, 8 November 2019.
  • Discussion of "Fake News: Evidence from Financial Markets," by Shimon Kogan, Tobias Moskowitz and Marina Niessner. 2019 NBER Summer Institute Asset Pricing Meeting, 12 July 2019.
  • Discussion of "Understanding the Cross-section of Global Equity Valuations and Expected Returns," by Ralph S.J. Koijen, Robert J. Richmond, and Motohiro Yogo. 2019 Adam Smith Conference, 21 March 2019.
  • Discussion of "Hedging Risk Factors," by Bernard Herskovic, Alan Moreira, and Tyler Muir. 2019 AFA Meetings, 6 January 2019.
  • Discussion of "Turning Alphas into Betas: Arbitrage and the Cross-Section of Risk," by Thummim Cho. 2019 AFA Meetings, 4 January 2019.

2018

  • Discussion of "Shrinking the Cross Section," by Serhiy Kozak, Stefan Nagel and Shrihari Santosh. 2018 Chicago Conference on New Methods for the Cross-Section of Returns, 29 September 2018.
  • Discussion of "Global Market Inefficiencies," by Söhnke M. Bartram and Mark Grinblatt. 2018 Red Rock Conference, 13 September 2018.
  • Discussion of "What do fund flows reveal about asset pricing models and investor sophistication?," by Narasimhan Jegadeesh and Chandra Sekhar Mangipudi. 2018 SFS Cavalcade, 23 May 2018.
  • Discussion of "Asset Prices with Fading Memory," by Stefan Nagel and Zhengyang Xu 2018 Fordham Rising Stars Conference, 11 May 2018.
  • Discussion of "Characteristics Are Covariances: A Unified Model of Risk and Return," by Bryan Kelly, Seth Pruitt and Yinan Su. 2018 Utah Winter Finance Conference, 8 February 2018.
  • Discussion of "Competition and Momentum Profits," by Gerard Hoberg, Nitin Kumar, and N. Prabhala. 2018 AFA Meetings, 5 January 2018.

2017

  • Discussion of "Wisdom of the Employee Crowd: Employer Reviews and Stock Returns," by T. Clifton Green, Ruoyan Huang, Quan Wen and Dexin Zhou. 2017 Miami Behavioral Finance Conference, 17 December 2017.
  • Discussion of: "Dissecting Characteristics Nonparametrically," by Joachim Freyberger, Andreas Neuhierl and Michael Weber. 2017 Texas Finance Festival, 22 April, 2017.
  • Discussion of: "Size Matters, if You Control Your Junk," by Cliff Asness, Andrea Frazzini, Ronen Israel, Tobias Moskowitz, and Lasse H. Pedersen. 2017 AFA Meetings, 7 January, 2017.

2016

  • Discussion of "Lazy Prices," by Lauren Cohen, Chris Malloy and Quoc Nguyen. 2016 Red Rock Conference, 8 September, 2016.
  • Discussion of: "Double Adjusted Mutual Fund Performance," by Jeffrey Busse, Lei Jiang and Yuehua Tang. 2016 AFA Meetings, 5 January, 2016.

2015

  • Discussion of "Decision-Making under the Gambler's Fallacy," by Daniel Chen, Toby Moskowitz and Kelly Shue. 2015 Red Rock Conference, 11 September, 2015.
  • Discussion of "An Extrapolative Model of House Price Dynamics," by Edward L. Glaeser and Charles G. Nathanson. NBER Summer Institute Real Estate Group Meeting, 22 July, 2015.
  • Discussion of "The Granular Nature of Large Institutional Investors," by Itzak Ben-David, Francesco Franzoni, Rabih Moussawi and John Sedunov. NBER Summer Institute -- Risk of Financial Institutions Group Meeting, 8 July, 2015.
  • Discussion of "Financial Markets where Traders Neglect the Informational Content of Prices" by Erik Eyster, Matthew Rabin, and Dimitry Vayanos. NBER BF Meeting, 11 April, 2015.
  • Discussion of "The Mystery of Currency Betas" by Steven J. Riddiough. 2015 AFA Meetings, 5 January, 2015.
  • Discussion of: "Interpreting Factor Models," by Serhiy Kozak, Stefan Nagel and Shrihari Santosh. 2015 AFA Meetings, 4 January, 2015.

2014

  • Discussion of: "Waves in Ship Prices and Investment," by Robin Greenwood and Samuel Hanson. 2014 AFA Meetings, 5 January, 2014.
  • Discussion of "Dissecting Factors" by Joseph Gerakos and Juhani Linnainmaa. 2014 AFA Meetings, 4 January, 2014.

2013

  • Discussion of "Quality Minus Junk" by Cliff Asness, Andrea Frazzini, and Lasse Pedersen. NBER Asset Pricing Program Meeting, November 8, 2013.
  • Discussion of "Confounded Factors" by Joseph Gerakos and Juhani Linnainmaa. NBER -- Asset Pricing Summer Institute, July 11, 2013.
  • Discussion of: "Horizon Pricing," by Avraham Kamara, Robert A. Korajczyk, Xiaoxia Lou and Ronnie Sadka. 2013 AFA Meetings, 5 January, 2013.
  • Discussion of: "Time Varying Market Efficiency," by Ferhat Akbas, Will J. Armstrong, Sorin Sorescu and Avanidhar Subrahmanyam. 2013 AFA Meetings, 4 January, 2013.

2012

  • Discussion of: "Speculative Betas," by Harrison Hong and David Sraer. NBER Behavioral Finance Working Group -- Fall Meeting, 3 November, 2012.
  • Discussion of: "Carrry," by Ralph Koijen, Toby Moskowitz, Lasse Pedersen, and Evert Vrugt. LSE-Paul Woolley Center Annual Conference, 8 June, 2012.
  • Discussion of: "Financial Intermediaries and the Cross-Section of Asset Returns," by Tobias Adrian, Erkko Etula and Tyler Muir. 2012 AFA Meetings 6 January, 2012.

2011

  • Discussion of: "An Empirical Decomposition of Risk and Liquidity in Nominal and Inflation-Indexed Government Bonds," by Carolin Pflueger and Luis Viciera. NBER Summer Institute Capital Markets and the Economy Workshop 18 July, 2011
  • Discussion of: "The Short of It: Investor Sentiment and Anomalies," Rob Stambaugh, Jianfeng Yu, and Yu Yuan, NBER Behavioral Finance Meeting, April 30, 2011.
  • Discussion of "Risk Taking and Implicit Guarantees Inside Financial Firms," by Marcin Kacperczyk and Philipp Schnabl. The Texas Finance Festival, April 16, 2011.
  • Discussion of "Heterogeneous Gain Learning and the Dynamics of Asset Prices," by Blake LeBaron. Conference on Heterogeneous Expectations and Economic Stability, Columbia University, Feb 11, 2011.

2010

  • Discussion of "The Behavior of Intoxicated Investors: The role of institutional investors in propagating the financial crisis of 2007-2008," by Alberto Manconi, Massimo Massa and Ayako Yasuda. NBER Market Institutions and Financial Market Risk Conference, June 17, 2010.
  • Discussion of "Securitized Banking and the Run on Repo" by Gary Gorton and Andrew Metric. Moody's/NYU Credit Conference, May 13, 2010.

2008

  • Discussion of "Value and Momentum Everywhere" by Cliff Asness, Toby Moskowitz and Lasse Pedersen. NBER -- Asset Pricing Summer Institute, July 11, 2008.
  • Discussion of "What Happened To The Quants In August 2007?" by Amir E. Khandani and Andrew W. Lo. NBER -- Risks of Financial Institutions Group Meeting, April 24, 2008.
  • Discussion of "Helping Individuals Manage Risk," by Robert J. Shiller. 2008 BeFi Conference, March 27, 2008.
  • Discussion of "Commonality in Misvaluation, Equity Financing, and the Cross Section of Stock Returns," by David Hirshleifer and Danling Jiang. 2008 AFA Meetings, January 4, 2008

2007

  • Discussion of "Risks for the Long Run: Estimation and Inference," by Ravi Bansal, Dana Kiku and Amir Yaron, 2007 Neemers Prize Conference, October 25, 2007.
  • Discussion of "A Tale of Two Anomalies: The Implications of Investor Attention for Price and Earnings Momentum," by Kewei Hou, Lin Peng and Wei Xiong. American Finance Association Meetings, January 6, 2007.
  • Discussion of "Default Risk Premia and Asset Returns," by Antje Berndt, Aziz A. Lookman, and Iulian Obreja. American Finance Association Meetings, January 5, 2007.

2006

  • Discussion of "Benchmarking Money Manager Performance: Issues and Evidence," by Louis Chan, Dimmock and Josef Lakonishok. Kellogg Hedge Fund Conference August 15, 2006.
  • Discussion of "In Search of Distress Risk" (Garlappi, Shu and Yan) and "Default Risk, Shareholder Advantage, and Stock Returns" (Campbell, Hilscher and Szilagyi). NYU/Moody's Credit Conference May 9, 2006.

2005

  • Discussion of "Gone Fishin: Seasonality and Speculative Trading in Asset Prices," by Harrison Hong and Jialin Yu. NBER University Research Conference May 13, 2005.
  • Discussion of "Strategic Release of Information on Friday: Evidence from Earnings Announcements," by Stefano DellaVigna and Joshua Pollet. 2005 AFA Meetings. January 6, 2005.

2004

  • Discussion of "Disagreement, Tastes and Asset Prices," by Eugene Fama and Kenneth French. NBER Behavioral Finance Program Meeting October 16, 2004.
  • Discussion of "Voluntary Debt Reductions," by T. Dangl and Josef Zechner.. 2004 Summer UBC Finance Conference August 6, 2004.
  • Discussion of "Institutional Investors and the Comovement of Equity Prices," by Christo Prinsky and Qinghai Wang. 2004 Texas Finance Festival April 24, 2004.
  • Discussion of "Do Investors Overvalue Firms With Bloated Balance Sheets?," by David Hirshleifer, Kewei Hou, Siew Hong Teoh, and Yinglei Zhang. NBER Behavioral Finance Program Meeting April 10, 2004.
  • Discussion of "Hot Markets, Investor Sentiment, and IPO Pricing," by Alexander Ljungqvist, Vik Nanda, and Rajdeep Singh, 2004 AFA Meetings. 1/4/04.
  • Discussion of "Is Value Riskier Than Growth?", by Ralitsa Petkova and Lu Zhang, 2004 AFA Meetings. 1/3/04.

2003

2002

2001

2000