"Discount Rates: Understanding Today's Financial Markets"
Professor Cochrane will give a talk based on his recent article “Discount Rates” in the Journal of Finance.
Cochrane explains: “Discount-rate variation is currently the central organizing question of asset-pricing research. Previously, we thought returns were unpredictable, and variation in asset values corresponded to changes in expected cashflows. Now it seems all valuation changes correspond to discount-rate variation. We thought that the cross-section of expected returns was described by the capital asset pricing model. Today, the alpha-beta distinction is falling apart in a menagerie of ‘exotic betas.’ The financial crisis really was about a big rise in risk premiums – discount rates. Recognizing discount-rate variation dramatically changes finance applications, including portfolio theory, accounting, capital structure, compensation, and macroeconomics.”
For further reading, click here.
7:00pm Registration and cocktails
8:15pm Q & A session
8:30pm Networking and cocktails continue
9:30pm Event concludes
Chicago Booth Alumni Office, Asia
Berlinda Gooi, +65 6238.2114
John H. Cochrane is the AQR Capital Management Distinguished Service Professor of Finance at the University of Chicago Booth School of Business. His recent finance publications include the book Asset Pricing, and articles on dynamics in stock and bond markets, the volatility of exchange rates, the term structure of interest rates, the returns to venture capital, liquidity premiums in stock prices, the relation between stock prices and business cycles, and option pricing when investors can't perfectly hedge. His monetary economics publications include articles on the relationship between deficits and inflation, the effects of monetary policy, and on the fiscal theory of the price level. He has also written articles on macroeonomics, health insurance, time-series econometrics and other topics. He was a coauthor of The Squam Lake Report.
Cochrane is a Research Associate of the National Bureau of Economic Research and past director of its asset pricing program, and an Adjunct Scholar of the CATO institute. He is a past President and Fellow of the American Finance Association, and a Fellow of the Econometric Society. He has been an Editor of the Journal of Political Economy, and associate editor of several journals including the Journal of Monetary Economics, Journal of Business, and Journal of Economic Dynamics and Control. Recent awards include the TIAA-CREF Institute Paul A. Samuelson Award for his book Asset Pricing, the Chookaszian Endowed Risk Management Prize, and the Faculty Excellend Award for MBA teaching.
Cochrane currently teaches the MBA class "Advanced Investments" and a variety of PhD classes in Asset Pricing and Monetary Economics.
Cochrane earned a Bachelor’s degree in Physics at MIT, and earned his Ph.D. in Economics at the University of California at Berkeley. He was at the Economics Department of the University of Chicago before joining the Booth School in 1994, and visited UCLA Anderson School of Management in 2000-2001. In addition to research and teaching, Cochrane is a competition sailplane pilot and windsurfer. He lives in Chicago with his wife Elizabeth Fama and children Sally, Eric, Gene and Lydia.
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