This information is related to my old Reading Group at PUC-Rio (discontinued)

All graduate students are welcome to participate. The only condition is to present at least one paper per semester. In the first half of the year, students are free to choose which paper to present under my supervision. If you are not sure what to present, I will pick one for you (most likely a recent paper from someone in the academic job market in top schools). In the second half, I will pick the papers. I will choose papers that I would have discussed in my Asset Pricing course if I had the time to do it. I will change papers every year.

2018.2 and 2019.2
  1. Law, Song and Yaron, 2018, Fearing the Fed: How Wall Street Reads Main Street. 
  2. Piazzesi and Schneider, 2018, Payments, Credit and Asset Prices.
  3. Bian, He, Shue and Zhou, 2018, Leverage-Induced Fire Sales and Stock Market Crashes.
  4. Hartzmark and Solomon, 2018, Reconsidering Returns.
  5. Maggio, Franzoni, Kermani and Sommavilla, 2018, The Relevance of Broker Networks for Information Diffusion in the Stock Market.
  6. Cohen, Malloy and Nguyen, 2015,  Lazy Prices.
  7. Lettau and Pelger,  2018, Estimating Latent Asset-Pricing Factors. 
  8. Jiang, Krishnamurthy and Lustig, 2018, Foreign Safe Asset Demand and the Dollar Exchange Rate.
  9. Pflueger, Siriwardane and Sunderam, 2018, A Measure of Risk Appetite for the Macroeconomy.
  10. Fedyk, 2018, Front Page News: The Effect of News Positioning on Financial Markets.
  11. Brown and Huang, 2018, All the President’s Friends: Political Access and Firm Value.
  12. David, Schmid and Zeke, 2018, Risk-Adjusted Capital Allocation and Misallocation.
  13. Li and Liu, 2018, Optimal Dynamic Momentum Strategies.
  14. Ouimet and Tate, 2018, Attention for the Inattentive: Positive Effects of Negative Financial Shocks. 
  15. Barillas, Kan, Robotti and Shaken, 2017, Model Comparison with Sharpe Ratios.
  16. Avramov,  Chordia, Jostova and Philipov,  2018,  Bonds, Stocks, and Sources of Mispricing.
  17. Arnott, Clements, Kalesnik and Linnainmaa, 2018,  Factor momentum.
  18. Giglio and Xiu,  2017, Inference on Risk Premia in the Presence of Omitted Factors.
  19. Michaely, Rossi and Weber, 2018, The Information Content of Dividends: Safer Profits, Not Higher Profits.
  20. Andries, Eisenbach and Schmalz, 2018, Horizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty. 
  21. Harvey and Liu,  2018, False (and Missed) Discoveries in Financial Economics.
  22. Hou, Xue and Zhang, 2018, Replicating Anomalies. 
  23. Kendall, 2018,  Herding and Contrarianism: A Matter of Preference?
  24. Kogan, Jun Li and Zhang, 2018, A Unified Economic Explanation for Profitability Premium and Value Premium.
  25. Coles, Heath and Ringgenberg, 2018, On Index Investing. 
  26. Dimmock, Kouwenberg, Mitchell, and Peijnenburg, 2018, Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field. 
  27. Eisdorfer,  Sadka and Zhdanov, 2018,  Maturity Driven Mispricing of Options.
  28. Eyster, Rabin andVayanos, Financial Markets where Traders Neglect the Informational Content of Prices.
  29. Hong, Harrison and Jeremy C Stein, 1999, A unified theory of underreaction, momentum trading, and overreaction in asset markets, The Journal of Finance 54, 2143–2184
  30. Shleifer, Andrei, 1986, Do demand curves for stocks slope down?, The Journal of Finance 41, 579–590 Market segmentation, slow movement of capital, and limits to arbitrage.
  31. McLean, R David and Jeffrey Pontiff, 2016, Does academic research destroy stock return predictability?, The Journal of Finance 71, 5–32
  32. He, Zhiguo and Arvind Krishnamurthy, 2013, Intermediary asset pricing, The American Economic Review 103, 732–770
  33. Brunnermeier, Markus K and Stefan Nagel, 2008, Do wealth fluctuations generate time varying risk aversion? micro-evidence on individuals’ asset allocation, The American Economic Review 713–736
  34. Malmendier, Ulrike and Stefan Nagel, 2011, Depression babies: Do macroeconomic experiences affect risk taking?, Quarterly Journal of Economics 126

2017.2 and 2018.1
  1. Savov, Alexi, 2011, Asset pricing with garbage, The Journal of Finance 66, 177–201
  2. Piazzesi, Monika, Martin Schneider, and Selale Tuzel, 2007, Housing, consumption and asset pricing, Journal of Financial Economics 83, 531–569
  3. Fama, Eugene F and Kenneth R French, 1988a, Dividend yields and expected stock returns, Journal of Financial Economics 22, 3–25
  4. Drechsler, Itamar and Amir Yaron, 2011, What’s vol got to do with it, Review of Financial Studies 24, 1
  5. Johannes, Michael, Arthur Korteweg, and Nicholas Polson, 2014, Sequential learning, predictive regressions, and optimal portfolio returns, Journal of Finance 3, 161–174
  6. Lewellen, Jonathan, and Jay Shanken, 2002, Learning, Asset-Pricing Tests and Market Efficiency, Journal of Finance 57, 1113–1145
  7. Campbell, John Y and Samuel B Thompson, 2008, Predicting excess stock returns out of sample: Can anything beat the historical average?, Review of Financial Studies 21, 1509– 1531
  8. Boudoukh, Jacob, Roni Michaely, Matthew Richardson, and Michael R Roberts, 2007, On the importance of measuring payout yield: Implications for empirical asset pricing, The Journal of Finance 62, 877–915
  9. Ludvigson, Sydney C and Serena Ng, 2009, Macro factors in bond risk premia, The Review of Financial Studies 5027–5067
  10. Cieslak, Anna and Pavol Povala, 2015, Expected returns in treasury bonds, Review of Financial Studies
  11. Fama, Eugene F, 1984, Forward and spot exchange rates, Journal of Monetary Economics 14, 319–338
  12. Hansen, Lars Peter and Robert J Hodrick, 1980, Forward exchange rates as optimal predictors of future spot rates: An econometric analysis, The Journal of Political Economy 829–853
  13. Dai, Qiang and Kenneth J Singleton, 2000, Specification analysis of affine term structure models, The Journal of Finance 55, 1943–1978
  14. Duffee, Gregory R, 2011, Information in (and not in) the term structure, Review of Financial Studies 24, 2895–2934
  15. Dai, Qiang and Kenneth J Singleton, 2002, Expectation puzzles, time-varying risk premia, and affine models of the term structure, Journal of Financial Economics 63, 415–441
  16. Joslin, Scott, Marcel Priebsch, and Kenneth J Singleton, 2014, Risk premiums in dynamic term structure models with unspanned macro risks, The Journal of Finance 69, 1197–1233
  17. Jagannathan, Ravi and Zhenyu Wang, 1996, The conditional capm and the cross-section of expected returns, The Journal of Finance 51, 3–53
  18. Lettau, Martin, Matteo Maggiori, and Michael Weber, 2014, Conditional risk premia in currency markets and other asset classes, Journal of Financial Economics
  19. Bernard, Victor L and Jacob K Thomas, 1989, Post-earnings-announcement drift: delayed price response or risk premium?, Journal of Accounting Research 1–36
  20. Kogan, Leonid and Dimitris Papanikolaou, 2013, Firm characteristics and stock returns: The role of investment-specific shocks, Review of Financial Studies 26, 2718–2759
  21. Andersen, Torben G, Tim Bollerslev, Francis X Diebold, and Heiko Ebens, 2001, The distribution of realized stock return volatility, Journal of Financial Economics 61, 43–76
  22. Andersen, Torben G, Tim Bollerslev, Francis X Diebold, and Paul Labys, 2003, Modeling and forecasting realized volatility, Econometrica 71, 579–625
  23. Hansen, Peter R and Asger Lunde, 2006, Realized variance and market microstructure noise, Journal of Business & Economic Statistics 24, 127–161
  24. Ghysels, Eric, Pedro Santa-Clara, and Rossen Valkanov, 2005, There is a risk-return trade-off after all, Journal of Financial Economics 76, 509–548
  25. French, Kenneth R, G William Schwert, and Robert F Stambaugh, 1987, Expected stock returns and volatility, Journal of Financial Economics 19, 3–29
  26. Broadie, Mark, Mikhail Chernov, and Michael Johannes, 2009, Understanding index option returns, Review of Financial Studies 22, 4493–4529
  27. Goyal, Amit and Alessio Saretto, 2009, Cross-section of option returns and volatility, Journal of Financial Economics 94, 310–326
  28. Zhang, Xiaoyan, Rui Zhao, and Yuhang Xing, 2010, What does the individual option volatility smirk tell us about future equity returns?, Journal of Financial and Quantitative Analysis 45, 641–662
  29. Cremers, Martijn and David Weinbaum, 2010, Deviations from put-call parity and stock return predictability, Journal of Financial and Quantitative Analysis 45, 335–367
  30. Coval, Joshua and Erik Stafford, 2007, Asset fire sales (and purchases) in equity markets, Journal of Financial Economics 86, 479–512
  31. Garleanu, Nicolae, Lasse Heje Pedersen, and Allen M Poteshman, 2009, Demand-based option pricing, Review of Financial Studies 22, 4259–4299
  32. Adrian, Tobias and Hyun Song Shin, 2010, Liquidity and leverage, Journal of Financial Intermediation 19, 418–437
  33. Nagel, Stefan, 2012, Evaporating liquidity, Review of Financial Studies 25, 2005–2039
  34. Brunnermeier, Markus K and Stefan Nagel, 2004, Hedge funds and the technology bubble, The Journal of Finance 59, 2013–2040
  35. Amihud, Yakov and Haim Mendelson, 1986, Asset pricing and the bid-ask spread, Journal of Financial Economics 17, 223–249
  36. Amihud, Yakov, 2002, Illiquidity and stock returns: cross-section and time-series effects, Journal of Financial Markets 5, 31–56 Liquidity risk and expected returns
  37. Pastor, Lubos and Robert R Stambaugh, 2003, Liquidity risk and expected stock returns, Journal of Political Economy 111
  38. Chordia, Tarun, Richard Roll, and Avanidhar Subrahmanyam, 2001, Market liquidity and trading activity, The Journal of Finance 56, 501–530
  39. Viral V. Acharya, Lasse Heje Pedersen, Asset pricing with liquidity risk, Journal of Financial Economics, Volume 77, Issue 2, 2005, Pages 375-410, ISSN 0304-405X, http://dx.doi.org/10.1016/j.jfineco.2004.06.007.
  40. Odean, Terrance, 1998, Are investors reluctant to realize their losses?, The Journal of Finance 53, 1775–1798
  41. Odean, Terrance, 1999, Do investors trade too much?, The American Economic Review 89, 1279–1298
  42. Barber, Brad M and Terrance Odean, 2001, Boys will be boys: Gender, overconfidence, and common stock investment, Quarterly Journal of Economics 261–292.

2017.1
  1. Ian Martin (2016), What is the expected return on a stock?
  2. Olesya Grishchenko et al (2015), Term Structure of interest rates with short-run and long-run risks
  3. Christoffersen, Fournier e Jacobs (2013),  The factor structure in equity options
  4. Chen, Kuman and Zhang (2016) , Searching for Gambles: Investor Attention, Gambling Sentiment, and Stock Market Outcomes
  5. Lenel (2017), Safe assets, collateralized lending and monetary policy
  6. Du, Tepper and Verdelhan (2016), Deviations from Covered Interest Rate Parity
  7. Philippe Mueller, Andrea Vedolin  and Hao Zhou (2011), Short-run Bond Risk Premia
  8. Ian Martin and Lukas Kremers (2017), The Quanto Theory of Exchange Rates
  9. Martijn Cremers, Ankur Pareek and Sautner (2016), Stock Duration, Analyst Recommendations, and Overvaluation
  10. Luo (2010). Rational Inattention, long run consumption risk, and portfolio choice
  11. Andrea Frazzini et al (2013), Quality minus junk
  12. Paulo Maio (2013), Another Look at the Stock Return Response to Monetary Policy Actions
  13. Anisha Ghosh and George Contantinides (2016) , What information drives asset prices
  14. Peralta e Zareei (2016), A Network Approach to Portfolio Selection
  15. Cremers et al. (2016), Indexing and active fund management: International evidence
  16. Greenwood, Shleifer, You (2016), Bubbles for fama
  17. Barillas and Nimark (2016), Speculation and the Term Structure of Interest Rates
  18. John Y. Campbell, Carolin Pflueger, and Luis M. Viceira (2015), Monetary Policy Drivers of Bond and Equity Risks
  19. Thummim Cho (2017) Turning Alphas into Betas: Arbitrage and Endogenous Risk
  20. Adrian, Tobias, Erkko Etula, and Tyler Muir, 2014, Financial intermediaries and the cross section of asset returns, The Journal of Finance 69, 2557–2596
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