Carlson School of Management

2013 Spring Minnesota Macro-Asset Pricing Conference

May 10-11, 2013
Hanson Hall 1-103

The University of Minnesota's Carlson School of Management Finance Department is pleased to present its annual Macro-Asset Pricing Conference, May 10-11, 2013.

Conference Schedule:

FRIDAY, May 10:

12:00 - 12:45: Lunch

12:45 - 1:30:

Ravi Bansal - The Fuqua School of Business, Duke University -

PAPER: Volatility, the Macroeconomy and Asset Prices

Co-Authored with: Dana Kiku (Wharton School), Ivan Shaliastovich (Wharton School), Amir Yaron (Wharton School)

Discussant: Frederico Belo, Carlson School of Management, University of Minnesota


Joao Gomes - The Wharton School, University of Pennsylvania -

PAPER: Equilibrium Credit Spreads and the Macroeconomy

Co-Authored with Lucas Schmid, The Fuqua School of Business, Duke University

Discussant: Motohiro Yogo, Federal Reserve Bank of Minneapolis


Urban Jermann - The Wharton School - University of Pennsylvania

PAPER: Inrest Rate Swaps and Corporate Default

Co-Authored with Vivian Z. Yue, Federal Reserve Board

Discussant: Xiaoji Lin, Fisher College of Business, Ohio State University

3:00-3:15: BREAK


Bob Goldstein - Carlson School of Management, University of Minnesota -

PAPER: Endogenous Dividend Dynamics and the Term Structure of Dividend Strips

Co-Authored with Frederico Belo (University of Minnesota) and Pierre Collin-Dufresne (Columbia University)

Discussant: Francisco Palomino, Ross School of Business, University of Michigan


Max Croce - Kenan-Flagler Business School, University of North Carolina -

PAPER: Production-Based Term Structure of Equity Returns

Co-Authored with Hengjie Ai (University of Minnesota), Anthony M. Diercks (University of North Carolina), Kai Li (Sauder School of Business, UBC)

Discussant: Jun Li, Naveen Jindal School of Management, University of Texas, Dallas


9:00-9:30: Breakfast


Nicolae Garleanu - Haas School of Business, University of California, Berkeley-

PAPER: Financial Entanglement:  A Theory of Incomplete Integration, Leverage, Crashes and Contagion

Co-authored with Stavros Panageas (University of Chicago), Jianfeng Yu (University of Minnesota)

Discussant: Saki Bigio, Columbia Business School


Hengjie Ai - Carlson School of Management, University of Minnesota -

PAPER: A Mechanism Design Model of Firm Dynamics: The Case of Limited Commitment

Co-Authored with Dana Kiku (College of Business at Illlinois), Rui Li (University of Massachusetts, Boston)

Discussant: Dmitry Livdan, Haas School of Business, University of California, Berkeley

11:00-11:15: BREAK


Leonid Kogan - Sloan School of Management, MIT

PAPER: Bounding Irrationality in Approximate Equilibria of Heterogenous-Agent Models:  A Duality Approach

Co-Authored with Indrajit Mitra (Sloan School of Business)

Discussant: Santiago Bazdresch (University of Minnesota)


Tarek Hassan - Booth School of Business, University of Chicago -

PAPER: Forward and Spot Exchange Rates in a Multi-Currency World

Co-Authored with Rui C. Mano (University of Chicago)

We decompose the covariance of currency returns with forward premia into a crosscurrency, a between time and currency, and a cross-time component. The surprising result of our decomposition is that the cross-currency and cross-time-components account for almost all systematic variation in expected currency returns, while the between time and
currency component is statistically and economically insignificant. This finding has three surprising implications for models of currency risk premia. First, it shows that the two most famous anomalies in international currency markets, the carry trade and the Forward Premium Puzzle (FPP), are separate phenomena that may require separate explanations.
The carry trade is driven by persistent differences in currency risk premia across countries, while the FPP appears to be driven primarily by time-series variation in all currency risk premia against the US dollar. Second, it shows that both the carry trade and the FPP are puzzles about asymmetries in the risk characteristics of countries. The carry trade results
from persistent differences in the risk characteristics of individual countries; the FPP is best explained by time variation in the average return of all currencies against the US dollar. As a result, existing models in which two symmetric countries interact in financial markets cannot explain either of the two anomalies.

Discussant: Jeremy Graveline (University of Minnesota)


If you wish to attend, or if you have any additional questions, please contact David Coral at (612) 626-7108 or

Hotel reservations can be made through Aloft Hotel: (612) 455-8400 | 900 Washington Ave. S., Minneapolis, MN 55415.

By reservation, Aloft offers a complimentary shuttle service to and from the conference.

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If you have any questions, please contact David Coral at or 612-626-7108.


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