Conference 2014

The Jacobs Levy Equity Management Center for Quantitative Financial Research was pleased to host more than 100 academics and industry practitioners at its second conference on April 25, 2014.

The day opened with welcome remarks from Christopher Geczy, Academic Director of the Jacobs Levy Center, and Bruce Jacobs, Chair of the Jacobs Levy Center Advisory Board and Principal and Co-Founder, Jacobs Levy Equity Management. There were five presentations, including a keynote on the Schiller CAPE Ratio by the Wharton School’s Jeremy Siegel.

At the end of the day, Professor Geczy thanked all those who attended and the program closed with a cocktail reception. The event was held on the eighth floor of the Wharton School’s Jon M. Huntsman Hall in Philadelphia.

View conference photos
Watch the conference montage and presentation videos

Presentations

Welcome
Christopher Geczy, Academic Director, Jacobs Levy Center; Academic Director, Wharton Wealth Management Initiative; Adjunct Professor of Finance
Welcome Remarks

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

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
Paper | Presentation | Video

Do ETFs Increase Volatility?
Presenter: Rabih Moussawi, The Wharton School, University of Pennsylvania
Discussant: Nikolai Roussanov, The Wharton School, University of Pennsylvania
Paper | Presentation | Video

Keynote Presentation
Introduction: Bruce Jacobs, Chair of the Advisory Board, Jacobs Levy Center; Principal and Co-Founder, Jacobs Levy Equity Management  and Kenneth Levy, Principal and Co-Founder, Jacobs Levy Equity Management
Presenter: Jeremy Siegel, The Wharton School, University of Pennsylvania
Video

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
Paper | Presentation | Video

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
Paper | Presentation | Video

Closing
Christopher Geczy, Academic Director, Jacobs Levy Center; Academic Director, Wharton Wealth Management Initiative; Adjunct Professor of Finance
Closing Remarks