Welcome Remarks
Christopher Geczy, Adjunct Professor of Finance and Academic Director, Jacobs Levy Center, The Wharton School
Craig MacKinlay, Joseph P. Wargrove Professor of Finance and Academic Director, Jacobs Levy Center, The Wharton School
Erika James, Dean, The Wharton School
Bruce Jacobs, Principal and Co-Founder, Jacobs Levy Equity Management; Chair of the Advisory Board, Jacobs Levy Center
Jacobs Remarks
What Drives Momentum and Reversal? Evidence from Day and Night Signals
Presenter:
Vincent Bogousslavsky, Assistant Professor of Finance, Boston College Carroll School of Management
Discussant:
Sophia Zhengzi Li, Assistant Professor of Finance, Rutgers Business School
Paper | Bogousslavsky Presentation | Li Presentation
Presentation of the Jacobs Levy Center Research Paper Prizes
Christopher Geczy, Adjunct Professor of Finance and Academic Director, Jacobs Levy Center, The Wharton School
Craig MacKinlay, Joseph P. Wargrove Professor of Finance and Academic Director, Jacobs Levy Center, 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
Jacobs and Levy Remarks
Do Common Factors Really Explain the Cross-Section of Stock Returns?
Presenter:
Alejandro Lopez-Lira, Assistant Professor of Finance, Warrington College of Business, University of Florida
Discussant:
Guofu Zhou, Frederick Bierman and James E. Spears Professor of Finance, Olin Business School, Washington University in St. Louis
Paper | Lopez-Lira Presentation | Zhou Presentation
Panel Discussion: The Past, Present, and Future of Momentum
Mark Carhart, Chief Investment Officer, Kepos Capital
Kent Daniel, Jean-Marie Eveillard/First Eagle Investment Management Professor of Business and Senior Vice Dean of Faculty Affairs, Columbia Business School
Tobias Moskowitz, Dean Takahashi ’80 B.A., ’83 M.P.P.M. Professor of Finance, Yale School of Management and Principal, AQR Capital Management
Moderator:
Christopher Geczy, Adjunct Professor of Finance and Academic Director, Jacobs Levy Center, The Wharton School
New Perspectives on Stocks for the Long Run
Jeremy Siegel, Russell E. Palmer Professor Emeritus of Finance, The Wharton School of the University of Pennsylvania
In conversation with
Jeremy Schwartz, Executive Vice President and Global Head of Research, WisdomTree Asset Management
The Virtue of Complexity in Return Prediction
Presenter:
Bryan Kelly, Professor of Finance, Yale School of Management and Head of Machine Learning, AQR Capital Management
Discussant:
Ron Kaniel, Jay S. and Jeanne P. Benet Professor of Finance, Simon Business School, University of Rochester
Paper | Kelly Presentation | Kaniel Presentation
Presentation of the 2021 Wharton-Jacobs Levy Prize for Quantitative Financial Innovation For Research on Momentum Investing
Officiants:
Christopher Geczy, Adjunct Professor of Finance and Academic Director, Jacobs Levy Center, The Wharton School
Craig MacKinlay, Joseph P. Wargrove Professor of Finance and Academic Director, Jacobs Levy Center, The Wharton School
Bruce Jacobs, Principal and Co-Founder, Jacobs Levy Equity Management; Chair of the Advisory Board, Jacobs Levy Center; Chair of the Wharton-Jacobs Levy Prize Selection Committee
Ken Levy, Principal and Co-Founder, Jacobs Levy Equity Management
Special Presentation:
Narasimhan Jegadeesh, Dean’s Distinguished Chair in Finance, Goizueta Business School, Emory University
Sheridan Titman, Walter W. McAllister Centennial Chair in Financial Services, McCombs School of Business, University of Texas at Austin
More on the Prize | Jacobs and Levy Remarks | Jegadeesh Presentation | Titman Presentation
Closing Remarks
Christopher Geczy, Adjunct Professor of Finance and Academic Director, Jacobs Levy Center, The Wharton School