Fundamental and non-fundamental asset price dynamics: Where do we stand?

14-15 February 2008

The purpose of this workshop is to bring together papers that explore the state of the art in our understanding of asset price behavior. Topics to be considered include:

stock price and real estate price bubbles;
herding and noise trading in stock markets;
other anomalies in asset prices;
sentiment driven behavior of individual and institutional investors;
asset price dynamics: implications for monetary policy and regulatory frameworks.

Organized by: Martin T. Bohl, Westfälische Wilhelms-University Münster, Germany; Pierre L. Siklos, Wilfrid Laurier University and Viessmann European Research Centre, Waterloo, Canada; and Norges Bank, Norway

Keynote speakers: Michael D. Bordo and Eugene N. White, Rutgers University, USA

Location: The workshop will take place on February 14 – 15, 2008, at the Norges Bank’s conference centre Venastul, near Lillehammer, Norway, site of the 1994 Winter Olympics.

Contact:

Call for papers (pdf, 23 kB)

Program
Wednesday, February 13
18.00 - 19.00	Registration and get-together
19.00	Dinner
Thursday, February 14
Opening Session
9:00 – 9:15	Words of Welcome
Session I Asset Price Bubbles and Real Estate Price Dynamics Chair: Øyvind Eitrheim, Norges Bank
9:15 – 10:00	Rational and Near-Rational Bubbles Without Drift (pdf) PowerPoint slides (pdf) Kevin J. Lansing, Federal Reserve Bank of San Francisco Discussant: Kjersti-Gro Lindquist, Norges Bank PowerPoint slides (pdf)
10:00 – 10:45	Explosive Behavior of the 1990 NASDAQ Bubble: When Did Exuberance Escalate Asset Values? (pdf) PowerPoint slides (pdf) Peter C. B. Phillips, Yangru Wu and Jun Yu, Yale University, Rutgers University and Singapore Management University Discussant: Gernot Doppelhofer, Rheinische Friedrich-Wilhelms-University Bonn
10:45 – 11:15	Coffee Break
11:15 – 12:00	Is There Excess Comovement in the U.S. Real Estate Markets? (pdf) PowerPoint slides (pdf) Jarl Kallberg, Crocker H. Liu and Paolo Pasquariello, Thunderbird School of International Management, Arizona State University and University of Michigan Discussant: Pierre L. Siklos, Wilfrid Laurier University PowerPoint slides (pdf)
12:00 – 13:00	Keynote Speaker: Lessons from The Great American Real Estate Bubble: Florida 1926 PowerPoint slides (pdf) Eugene N. White, Rutgers University
13:00 – 14:00	Lunch
Session II Investors’ Behavior and Stock Price Modelling Chair: Martin T. Bohl, Westfälische Wilhelms-University Münster
14:00 – 14:45	Is Talk Cheap Online: Strategic Interaction in a Stock Trading Chat Room (pdf) Jie Lu and Bruce Mizrach, Rutgers University Discussant: Johannes Skjeltorp, Norges Bank PowerPoint slides (pdf)
14:45 – 15:30	Institutional Investors, Intangible Information and the Book-to-Market Effect (pdf) PowerPoint slides (pdf) Hao Jiang, RSM Erasmus University Discussant: Sigbjørn A. Berg, Norges Bank PowerPoint slides (pdf)
15:30 – 16:00	Coffee Break
16:00 – 16:45	Switching Volatility in Target Stocks during Takeover Bids (pdf) PowerPoint slides (pdf) Sergey Gelman and Bernd Wilfling, Westfälische Wilhelms-University Münster Discussant: Farooq Akram, Norges Bank PowerPoint slides (pdf)
16:45 – 17:30	The Determinants of Stock and Bond Return Comovements (pdf) PowerPoint slides (pdf) Lieven Baele, Geert Bekaert and Koen Inghelbrecht, Tilburg University, Columbia University, Ghent University
19.00	Dinner
Friday, February 15
PhD Session Chair: Farooq Akram, Norges Bank
8:30 – 9:00	Sovereign Spreads and Currency Crises: A Markov-Switching VAR Analysis PowerPoint slides (pdf) Melisso Boschi, University of Essex
9:00 – 9:30	Shocking Markets: European Stock Markets and the ECB’s Monetary Policy Surprises (pdf) PowerPoint slides (pdf) David Sondermann, Westfälische Wilhelms-University Münster
9:30 – 10:00	Evidence of Bubbles in the Singaporean Stock Market (pdf) Subramaniam S. Pillay, University of Nottingham, Malaysia Campus
10:00 – 10:30	The Other January Effect: Nothing More than a Statistical Artifact (pdf) PowerPoint slides (pdf) Christian A. Salm, Westfälische Wilhelms-University Münster
10:30 – 11:00	Coffee Break
Session III More on Asset Price Bubbles Chair: Pierre L. Siklos, Wilfrid Laurier University
11:00 – 11:45	Riding Bubbles (pdf) Nadja Günster, Erik Kole and Ben Jacobsen, Erasmus University Rotterdam, Massey University Discussant: Martin T. Bohl, Westfälische Wilhelms-University Münster PowerPoint slides(pdf)
11:45 – 12:30	Asset Price Bubbles and Monetary Policy: A Multivariate Extension (pdf) Andrew Filardo, Bank for International Settlements Discussant: Øyvind Eitrheim, Norges Bank PowerPoint slides (pdf)
12:30 – 13:30	Distinguished Speaker: Michael D. Bordo, Rutgers University
13:30 – 14:30	Lunch

Session structure:
Regular sessions: 25 minutes presentation, 10 minutes discussant, 10 minutes discussion by audience.
PhD session: 20 minutes presentation and 10 minutes discussion by audience.

The organizers are grateful to the sponsors below for their financial support of this workshop:

Utskrift