Wharton Quant Finance Conference–April 25th

Wharton Quant Finance Conference–April 25th

April 18, 2014 Uncategorized
Print Friendly
(Last Updated On: April 4, 2014)

The Jacobs Levy Equity Management Center is hosting a conference on cutting edge Quantitative Financial Research.

The academic director of the center is Chris Geczy, author of the longest backtest in the world, so you know the content will be rock solid.

I’ll definitely be attending (and discussing a paper) at the event.

If your in Philadelphia, serious about research, and looking to hear about new ideas–this is the event for you.

BTW, Feel free to introduce yourself during the event.

Here is a link to the event:

http://www.wharton.upenn.edu/jacobslevycenter/conference/979.cfm

Here is the agenda (notice how they saved the best…looking…for last):

AGENDA
8:00 – 8:45 a.m.
Registration and Continental Breakfast
8:45 – 9:00 a.m.
Welcome Remarks

Christopher Geczy
Academic Director,
Jacobs Levy Center

Bruce Jacobs
Chair of the Advisory Board,
Jacobs Levy Center;
Principal and Co-Founder,
Jacobs Levy Equity Management

9:00 – 10:15 a.m.
Are Some Clients More Equal than Others?
Evidence of Price Allocation by Delegated Portfolio Managers

Presenter: Azi Ben-Rephael 
Kelley School of Business
Indiana University Bloomington

Discussant: James J. Angel
McDonough School of Business
Georgetown University

10:30 – 11:45 a.m.
Do ETFs Increase Volatility?

Presenter: Rabih Moussawi 
The Wharton School
University of Pennsylvania

Discussant: Nikolai Roussanov 
The Wharton School
University of Pennsylvania

11:45 a.m. – 1:30 p.m.
Lunch and Keynote
1:45 – 3:00 p.m.
The Remarkable Multidimensionality in the Cross-Section of Expected U.S. Stock Returns

John R. M. Hand 
Kenan-Flagler Business School
University of North Carolina

Jeremiah Green
Smeal College of Business
Pennsylvania State University

X. Frank Zhang
Yale School of Management
Yale University

Discussant: TBD

3:15 – 4:30 p.m.
Information Release and the Fit of the
Fama-French Model

Presenter: Christopher Hrdlicka 
Foster School of Business
University of Washington

Discussant: Wesley Gray 
LeBow College of Business
Drexel University

4:30 p.m.
Cocktail Reception

Note: This site provides no information on our value investing ETFs or our momentum investing ETFs. Please refer to this site.


Join thousands of other readers and subscribe to our blog.


Please remember that past performance is not an indicator of future results. Please read our full disclaimer. The views and opinions expressed herein are those of the author and do not necessarily reflect the views of Alpha Architect, its affiliates or its employees. This material has been provided to you solely for information and educational purposes and does not constitute an offer or solicitation of an offer or any advice or recommendation to purchase any securities or other financial instruments and may not be construed as such. The factual information set forth herein has been obtained or derived from sources believed by the author and Alpha Architect to be reliable but it is not necessarily all-inclusive and is not guaranteed as to its accuracy and is not to be regarded as a representation or warranty, express or implied, as to the information’s accuracy or completeness, nor should the attached information serve as the basis of any investment decision. No part of this material may be reproduced in any form, or referred to in any other publication, without express written permission from Alpha Architect.


Definitions of common statistics used in our analysis are available here (towards the bottom)




About the Author

Wesley R. Gray, Ph.D.

After serving as a Captain in the United States Marine Corps, Dr. Gray received a PhD, and was a finance professor at Drexel University. Dr. Gray’s interest in entrepreneurship and behavioral finance led him to found Alpha Architect. Dr. Gray has published three books: EMBEDDED: A Marine Corps Adviser Inside the Iraqi Army, QUANTITATIVE VALUE: A Practitioner’s Guide to Automating Intelligent Investment and Eliminating Behavioral Errors, and DIY FINANCIAL ADVISOR: A Simple Solution to Build and Protect Your Wealth. His numerous published works has been highlighted on CBNC, CNN, NPR, Motley Fool, WSJ Market Watch, CFA Institute, Institutional Investor, and CBS News. Dr. Gray earned an MBA and a PhD in finance from the University of Chicago and graduated magna cum laude with a BS from The Wharton School of the University of Pennsylvania.