Friday, September 15, 2017
Welcome Remarks
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; Chair of the Advisory Board, Jacobs Levy Center
2017 Jacobs Levy Center Conference Welcome Remarks – Christopher Geczy
2017 Jacobs Levy Center Conference Welcome Remarks – Bruce Jacobs
A Global Macroeconomic Risk Model for Value, Momentum, and Other Asset Classes
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
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
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
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; Chair of the Advisory Board, Jacobs Levy Center
Ken Levy, Principal and Co-Founder, Jacobs Levy Equity Management
2017 Wharton-Jacobs Levy Prize Remarks – Christopher Geczy
2017 Wharton-Jacobs Levy Prize Remarks – Bruce Jacobs and Ken Levy
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