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Fifth Cambridge-Princeton Conference

 

This conference, the fifth in the series, brings together faculty from Princeton's Bendheim Center for Finance and the Cambridge Endowment for Research in Finance, thanks to generous support from William H. Janeway '65.

The conference will take place on September 18-19, 2009 at the Bendheim Center for Finance. 

 Friday September 18
 
12:00-1:30 Lunch (Bendheim Center for Finance)
 
1:30-2:30 Session Chair: Bill Janeway
 
Amir Amel-Zadeh (with Geoff Meeks, Judge Business School), “Bank Failure, Market-to-market and the Financial Crisis”
Discussant: Hyun Shin
 
Harrison Hong, (with Ing-Haw Cheng and and José Scheinkman): “Yesterday’s Heroes: Compensation and Creative Risk-Taking”
Discussant: Sule Alan
 
2:30-3:00 Coffee Break
 
3:00-4:00 Session Chair: Chris Rogers
 
Andreas Park (with Hamid Sabourian), “Herding & Contrarian Behaviour in Financial Markets”
Discussant: Wei Xiong
 
Hyun Shin (with J. Danielson and J. Zigrand), “Risk Appetite and Endogenous Risk”
Discussant: John Eatwell
 
7:00 Conference Dinner
 
Saturday, September 19
 
9:30-10:30 Session Chair: Jianqing Fan
 
Elena Medova, “Individual Asset Liability Management”
Discussant: Harrison Hong
 
John Mulvey, “Dynamic Portfolio Theory: The Role of Replication Strategies for Private Equity”
Discussant: Michael Dempster
 
10:30 - 11:00 Coffee Break
 
11:00 - 12:00 Session Chair: John Eatwell
 
Vanessa Smith (with Nikolaos Demiris), “On the Epidemic of Financial Crises”
Discussant: Yacine Ait-Sahalia
 
Yacine Ait-Sahalia (with Julio Cacho-Diaz and Roger Laeven),  “Modelling Financial Contagion with Mutually Exciting Jump Processes”
Discussant: Mardi Dungey
 
12:00-1:30 Lunch
 
1:30-2:30 Session Chair: Hyun Shin
 
Sule Alan, “Do Disaster Expectations Explain Household Portfolios?”
Discussant: Jakub Jurek
 
Markus Brunnermeier (with Martin Oehmke), “Maturity Rat Race”
Discussant: Ana Babus
 
2:30-3:00 Coffee Break
 
3:00-4:00 Session Chair: Markus Brunnermeier
 
Tianhui Michael Li (with L.C.G. Rogers), “A Doubly Bayesian Approach to the Equity Premium Puzzle”
Discussant: Jianqing Fan
 
Ronnie Sircar (with C. Harris and S. Howison), “Games with Exhaustible Resources”
Discussant: Chris Rogers