Saturday, August 20, 2011, 8:30-10:15 am; Asset Pricing Empirical
Cross-Section of Returns II - B1

Session Chair: Kewei Hou, The Ohio State University

  • Financial Intermediaries and the Cross-Section of Asset Returns PDF
    Tobias Adrian1, Erkko Etula1, Tyler Muir2
    Federal Reserve Bank of New York1; Northwestern University2
    • Discussant: Mary Huimei Tian, Federal Reserve Board of Governors
  • Extreme Dependence Structures and the Cross-Section of Expected Stock Returns PDF
    Stefan Ruenzi, Florian Weigert
    University of Mannheim
    • Discussant: Fousseni Chabi-Yo, The Ohio State University
  • Investment-Based Momentum Profits PDF
    Laura Xiaolei Liu1, Lu Zhang2
    Hong Kong University of Science and Technology and Cheung Kong Graduate School of Business1; The Ohio State University2
    • Discussant: Roger Loh, Singapore Management University