By |Published On: April 18th, 2014|Categories: Uncategorized|

The Jacobs Levy Equity Management Center is hosting a conference on cutting edge Quantitative Financial Research.

The academic director of the center is Chris Geczy, author of the longest backtest in the world, so you know the content will be rock solid.

I’ll definitely be attending (and discussing a paper) at the event.

If your in Philadelphia, serious about research, and looking to hear about new ideas–this is the event for you.

BTW, Feel free to introduce yourself during the event.

Here is a link to the event:
http://www.wharton.upenn.edu/jacobslevycenter/conference/979.cfm

Here is the agenda (notice how they saved the best…looking…for last):

AGENDA
8:00 – 8:45 a.m.
Registration and Continental Breakfast
8:45 – 9:00 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

9:00 – 10:15 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

10:30 – 11:45 a.m.
Do ETFs Increase Volatility?

Presenter: Rabih Moussawi 
The Wharton School
University of Pennsylvania

Discussant: Nikolai Roussanov 
The Wharton School
University of Pennsylvania

11:45 a.m. – 1:30 p.m.
Lunch and Keynote
1:45 – 3:00 p.m.
The Remarkable Multidimensionality in the Cross-Section of Expected U.S. Stock Returns

John R. M. Hand 
Kenan-Flagler Business School
University of North Carolina

Jeremiah Green
Smeal College of Business
Pennsylvania State University

X. Frank Zhang
Yale School of Management
Yale University

Discussant: TBD

3:15 – 4:30 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

4:30 p.m.
Cocktail Reception

About the Author: Wesley Gray, PhD

Wesley Gray, PhD
After serving as a Captain in the United States Marine Corps, Dr. Gray earned an MBA and a PhD in finance from the University of Chicago where he studied under Nobel Prize Winner Eugene Fama. Next, Wes took an academic job in his wife’s hometown of Philadelphia and worked as a finance professor at Drexel University. Dr. Gray’s interest in bridging the research gap between academia and industry led him to found Alpha Architect, an asset management firm dedicated to an impact mission of empowering investors through education. He is a contributor to multiple industry publications and regularly speaks to professional investor groups across the country. Wes has published multiple academic papers and four books, including Embedded (Naval Institute Press, 2009), Quantitative Value (Wiley, 2012), DIY Financial Advisor (Wiley, 2015), and Quantitative Momentum (Wiley, 2016). Dr. Gray currently resides in Palmas Del Mar Puerto Rico with his wife and three children. He recently finished the Leadville 100 ultramarathon race and promises to make better life decisions in the future.

Important Disclosures

For informational and educational purposes only and should not be construed as specific investment, accounting, legal, or tax advice. Certain information is deemed to be reliable, but its accuracy and completeness cannot be guaranteed. Third party information may become outdated or otherwise superseded without notice.  Neither the Securities and Exchange Commission (SEC) nor any other federal or state agency has approved, determined the accuracy, or confirmed the adequacy of this article.

The views and opinions expressed herein are those of the author and do not necessarily reflect the views of Alpha Architect, its affiliates or its employees. Our full disclosures are available here. Definitions of common statistics used in our analysis are available here (towards the bottom).

Join thousands of other readers and subscribe to our blog.