Wharton Quant Finance Conference–April 25th

Wharton Quant Finance Conference–April 25th

April 18, 2014 Uncategorized
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(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:


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

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

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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.