Conference 2014

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

WELCOME REMARKS | PAPER

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

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

PAPER | PRESENTATION

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

PAPER | PRESENTATION

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

PAPER | PRESENTATION

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

PAPER | PRESENTATION

4:30 p.m. Cocktail Reception

 

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