Conference

The Jacobs Levy Equity Management Center
for Quantitative Financial Research Conference

Friday, April 25, 2014

Jon M. Huntsman Hall, 3730 Walnut Street, Philadelphia, PA

Agenda

8:00 a.m.

Registration and Continental Breakfast

8:45 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 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
Ryan D. Israelsen, Kelley School of Business, Indiana University Bloomington 
 
Discussant: James J. Angel, McDonough School of Business, Georgetown University

10:30 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.

Keynote and Lunch

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

Keynote: Jeremy Siegel, The Wharton School, University of Pennsylvania

 

1:45 p.m.

The Remarkable Multidimensionality in the Cross-Section of Expected
U .S. Stock Returns

Presenter: Jeremiah Green, Smeal College of Business, Pennsylvania State University
Discussant: Jakub Jurek, Department of Economics, Princeton University

3:15 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

 

 

Contact: Jacobs-levy-center@wharton.upenn.edu