Friday, August 19, 2011, 8:30-10:15 am; Asset Pricing Theoretical
Frictions - C5

Session Chair: Wolf Wagner, University of Tilburg

  • The Equilibrium Dynamics of Liquidity and Illiquid Asset Prices PDF
    Adrian Buss, Bernard Dumas
    Goethe University Frankfurt; INSEAD
    • Discussant: Frederic Malherbe, London Business School
  • Asset Prices and Institutional Investors PDF
    Suleyman Basak, Anna Pavlova
    London Business School
    • Discussant: Lukas Schmid, Duke University

  • Why does Bad News Increase Volatility and Decrease Leverage? PDF
    Ana Fostel, John Geanakoplos
    George Washington University; Yale University
    • Discussant: Florian Heider, European Central Bank