Friday, September 15, 2017
Welcome
Christopher Geczy, Academic Director, Jacobs Levy Center, The Wharton School
Geoffrey Garrett, Dean, The Wharton School
Bruce Jacobs, Principal and Co-Founder, Jacobs Levy Equity Management
A Global Macroeconomic Risk Model for Momentum and Value
Presenter: Andreea Mitrache, Assistant Professor of Finance, Toulouse Business School
Discussant: Nikolai Roussanov, Moise Y. Safra Associate Professor of Finance, The Wharton School
Paper
Mitrache Presentation
Roussanov Presentation
Panel Discussion: The State of the Art in Factor Models: From Theory to Implementation
John Ameriks, Principal, Head of Quantitative Equity Group, Vanguard
Giorgio De Santis, Director of Research, Kepos Capital
Wai Lee, Managing Director, Neuberger Berman
Jeffrey Saret, Senior Vice President, Two Sigma Investments
Moderator: Christopher Geczy, Academic Director, Jacobs Levy Center, The Wharton School
The Promises and Pitfalls of Factor Timing
Presenter: Jennifer Bender, Director of Research, State Street Global Advisors
Discussant: Josephine Smith, Director, BlackRock
Paper
Bender Presentation
Smith Presentation
A lunch buffet will be served before this presentation.
The History of the Cross Section of Stock Returns
Presenter: Michael Roberts, William H. Lawrence Professor, The Wharton School
Discussant: Phil Davies, Senior Quantitative Research Analyst, Jacobs Levy Equity Management
Paper
Roberts Presentation
Davies Presentation
Wharton-Jacobs Levy Prize Ceremony to Recognize Stephen Ross
Officiants:
Christopher Geczy, Academic Director, Jacobs Levy Center, The Wharton School
Michael Gibbons, Deputy Dean, The Wharton School
Bruce Jacobs, Principal and Co-Founder, Jacobs Levy Equity Management
Ken Levy, Principal and Co-Founder, Jacobs Levy Equity Management
Remarks:
David Musto, Ronald O. Perelman Professor in Finance, The Wharton School
Richard Roll, Linde Institute Professor of Finance, California Institute of Technology
Read more on the 2017 Wharton-Jacobs Levy Prize
Closing Remarks
Christopher Geczy, Academic Director, Jacobs Levy Center, The Wharton School