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