Friday, August 19, 2011, 2:00-3:45 pm; Asset Pricing Empirical
Cross-Section of Returns I - C1

Session Chair: Jules H. van Binsbergen, Northwestern University

• Idiosyncratic Return Volatility in the Cross-Section of Stocks PDF
  Namho Kang¹, Peter Kondor², Ronnie Sadka¹
  Boston College¹; Central European University²
  • Discussant: Kees Bouman, Erasmus University

• Profitability Shocks and the Size Effect in the Cross-Section of Expected Stock Returns PDF
  Mathijs Van Dijk, Kewei Hou
  Erasmus University; The Ohio State University
  • Discussant: Dongmei Li, University of California - San Diego

• Term Structure of Credit Default Swap Spreads and Cross-Section of Stock Returns PDF
  Bing Han, Yi Zhou
  University of Texas - Austin; University of Oklahoma
  • Discussant: Pavol Povala, University of Lugano