Friday, August 19, 2011, 10:30-12:15 pm; Asset Pricing Empirical
Bond Pricing I - B1

Session Chair: Jack Bao, The Ohio State University

• An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets PDF 
  Dion Bongaerts¹, Frank de Jong², Joost Driessen²
  Erasmus University¹; Tilburg University²
  • Discussant: Peter Feldhütter, London Business School

• An Empirical Decomposition of Risk and Liquidity in Government Bonds PDF
  Carolin Pflueger, Luis Viceira
  Harvard University
  • Discussant: Josephine Smith, New York University

• Tranching and Pricing in CDO-Transactions PDF
  Günter Franke, Thomas Weber
  University of Konstanz; Axpo Corporation
  • Discussant: Jennifer Dlugosz, Board of Governors of the Federal Reserve