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
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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
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Stefan Ruenzi, Florian Weigert
University of Mannheim
- Discussant: Fousseni Chabi-Yo, The Ohio State University
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Investment-Based Momentum Profits
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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
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