Program meeting on asset pricing.

PositionNational Bureau of Economic Research conference

The NBER's Program on Asset Pricing met on November 7 in Philadelphia. A. Craig MacKinlay of the Wharton School organized the program, at which these papers were discussed:

Torben Andersen, Northwestern University, and Timothy Bollerslev, NBEr and University of Virginia, "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts" (NBER Working Paper No. 6023)

Discussant: Francis X. Diebold, NBER and University of Pennsylvania

Michael Brennan and Avanidhar Subrahmanyam, University of California, Los Angeles, and Tarun Chordia, Vanderbilt University, "A Re-Examination of Security Return Anomalies"

Discussant: Josef Lakonishok, NBER and University of Illinois

George M. Constantinides, NBER and University of Chicago; John Donaldson, Columbia University; and Fajnish Mehra, University of California, Santa Barbara, "Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle"

Discussant: Domenico Cuoco, University of Pennsylvania

Sanford J. Grossman, NBER and University of Pennsylvania, and Zhougquan Zhou, QFS, "Incomplete Equitization and the Foreign Exchange Risk Premium"

Discussant: David Backus, NBER and New York University

Bernard Dumas, NBER and HEC School of Management; Campbell R. Harvey, NBER and Duke University; and Pierre Ruiz, HEC School of Management, "Are Common Swings in International Stock Returns Justified by Subsequent Changes in National Output?"

Discussant: Robert J. Hodrick, NBER and Columbia University

Stefano Athanasoulis, Iowa State University, and Robert J. Shiller, NBER and Yale University, "The Significance of the Market Portfolio" (NBER Technical Paper No. 209)

Discussant: Jesus Santo, University of Chicago

Volatility permeates modern financial theories and decisionmaking processes. As such, accurate measures and good forecasts of future volatility are critical for the implementation and evaluation of asset and derivative pricing theories, as well as for trading and hedging strategies. In response to this, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility at the daily and lower frequencies. Most of these studies find highly significant in-sample parameter estimates and pronounced intertemporal persistence of volatility. Meanwhile, when judged by standard forecast evaluation criteria, standard volatility models seemingly provide poor forecasts. Andersen and Bollerslev demonstrate that, contrary to this contention, in empirically...

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