David will present his paper: Volatility and the Pricing Kernel (co-authored with Tobias Sichert) Abstract Negative stock market returns are significantly more painful to investors when they occur in periods of low volatility. To establish this fact, we show that a drop in volatility makes the pricing kernel steeper and average put option returns […]

Constantine will present his paper: Data and Welfare in Credit Markets with Mark Jansen, Fabian Nagel, Anthony Lee Zhang Abstract: We show how to measure the welfare effects arising from increased data availability. When lenders have more data on prospective borrower costs, they can charge prices that are more aligned […]