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Jacobs Levy Center at the Wharton School
Приєднався 28 тра 2014
The Wharton School's Jacobs Levy Equity Management Center for Quantitative Financial Research is dedicated to the advancement of quantitative finance through the creation and dissemination of innovative knowledge.
The Return of Return Dominance: Decomposing the Cross-section of Prices
The Wharton School's Jacobs Levy Center hosted a webinar featuring Sean Myers, assistant professor of finance at Wharton.
Professor Myers presented his paper The Return of Return Dominance: Decomposing the Cross-section of Prices, which tackles the fundamental question - why do stock prices differ so much between companies? Jonathan Lewellen of Dartmouth gave a discussion of the paper.
The paper won the 2023 Jacobs Levy Center Research Paper Prize for Best Paper.
Professor Myers presented his paper The Return of Return Dominance: Decomposing the Cross-section of Prices, which tackles the fundamental question - why do stock prices differ so much between companies? Jonathan Lewellen of Dartmouth gave a discussion of the paper.
The paper won the 2023 Jacobs Levy Center Research Paper Prize for Best Paper.
Переглядів: 295
Відео
(Almost) 200 Years of News-Based Economic Sentiment Webinar
Переглядів 337Рік тому
Wharton Finance Professor Jules van Binsbergen presents his paper, (Almost) 200 Years of News-Based Economic Sentiment, which uses the full text of 200 million pages of 13,000 U.S. local newspapers and state-of-the-art machine learning methods to construct a novel 170-year-long time series measure of economic sentiment. This webinar was hosted by Wharton's Jacobs Levy Equity Management Center f...
The Virtue of Complexity in Return Prediction
Переглядів 7 тис.Рік тому
Bryan Kelly of Yale School of Management and AQR Capital Management presents his paper, "The Virtue of Complexity in Return Prediction" followed by discussion by Ron Kaniel of Simon Business School, University of Rochester at the Jacobs Levy Center's 2022 Frontiers in Quantitative Finance Conference. Led by Professors Chris Geczy, PhD, C'90 and Craig MacKinlay, PhD and established through the v...
Panel Discussion: The Past, Present, and Future of Momentum
Переглядів 506Рік тому
Chris Geczy of the Wharton School moderates a panel on momentum investing with Mark Carhart of Kepos Capital, Kent Daniel of Columbia Business School, and Tobias Moskowitz of Yale School of Management and AQR Capital Management at the Jacobs Levy Center's 2022 Frontiers in Quantitative Finance Conference. Led by Professors Chris Geczy, PhD, C'90 and Craig MacKinlay, PhD and established through ...
2019-2022 Jacobs Levy Center Research Paper Prize Presentation
Переглядів 75Рік тому
Jacobs Levy Center academic directors Chris Geczy and Craig MacKinlay and Wharton alumni Bruce Jacobs and Ken Levy recognize the 2019-2022 winners of the Jacobs Levy Center Research Paper Prizes at the Jacobs Levy Center's 2022 Frontiers in Quantitative Finance Conference. The Jacobs Levy Center Research Paper Prizes are chosen from recent additions to the Center’s paper series on SSRN. www.ssr...
New Perspectives on "Stocks for the Long Run"
Переглядів 1,1 тис.Рік тому
Jeremy Siegel, Russell E. Palmer Professor Emeritus of Finance at Wharton, and Wharton alumnus Jeremy Schwartz of WisdomTree Asset Management discuss current market and economic conditions and the 6th edition of the book "Stocks for the Long Run" at the Jacobs Levy Center's 2022 Frontiers in Quantitative Finance Conference. Led by Professors Chris Geczy, PhD, C'90 and Craig MacKinlay, PhD and e...
2022 Conference Welcome
Переглядів 78Рік тому
Jacobs Levy Center academic directors Chris Geczy and Craig MacKinlay, Wharton Dean Erika James, and Wharton alumnus and Jacobs Levy Center advisory board chair Bruce Jacobs welcome attendees to the 2022 Frontiers in Quantitative Finance Conference. Led by Professors Chris Geczy, PhD, C'90 and Craig MacKinlay, PhD and established through the vision and generosity of Bruce Jacobs, PhD, G'79, GRW...
2021 Wharton-Jacobs Levy Prize: Narasimhan Jegadeesh and Sheridan Titman
Переглядів 491Рік тому
The 2021 Wharton-Jacobs Levy Prize for Quantitative Financial Innovation is presented to Narasimhan Jegadeesh and Sheridan Titman for their groundbreaking research on momentum investing. The Prize, endowed with a $2 million gift, is awarded biennially. It recognizes outstanding quantitative research that has contributed to a particular innovation in the practice of finance. Led by Professors Ch...
Do Common Factors Really Explain the Cross-Section of Stock Returns?
Переглядів 762Рік тому
Alejandro Lopez-Lira of Warrington College of Business at the University of Florida presents his paper, "Do Common Factors Really Explain the Cross-Section of Stock Returns?" followed by discussion by Guofu Zhou of Olin Business School at Washington University in St. Louis at the Jacobs Levy Center's 2022 Frontiers in Quantitative Finance Conference. Led by Professors Chris Geczy, PhD, C'90 and...
What Drives Momentum and Reversal? Evidence from Day and Night Signals
Переглядів 642Рік тому
Vincent Bogousslavsky of Boston College Carroll School of Management presents his paper, "What Drives Momentum and Reversal? Evidence from Day and Night Signals" followed by discussion by Sophia Zhengzi Li of Rutgers Business School at the Jacobs Levy Center's 2022 Frontiers in Quantitative Finance Conference. Led by Professors Chris Geczy, PhD, C'90 and Craig MacKinlay, PhD and established thr...
2022 Frontiers in Quantitative Finance Conference Highlights
Переглядів 374Рік тому
Highlights from the 2022 Frontiers in Quantitative Finance Conference hosted by the Wharton School's Jacobs Levy Center. Led by Professors Chris Geczy, PhD, C'90 and Craig MacKinlay, PhD and established through the vision and generosity of Bruce Jacobs, PhD, G'79, GRW'86 and Ken Levy, WG'76, G'82, the Jacobs Levy Equity Management Center for Quantitative Financial Research at the Wharton School...
Getting to the Core Webinar
Переглядів 5022 роки тому
Nikolai Roussanov of Wharton presents his paper "Getting to the Core: Inflation Risks Within and Across Asset Classes," with discussion by Michael Weber of the University of Chicago Booth School of Business, followed by audience Q&A. Hosted by Chris Geczy, Academic Director of the Jacobs Levy Center.
CLO Performance Webinar
Переглядів 3,3 тис.3 роки тому
Michael Roberts of Wharton presents his working paper "CLO Performance," with discussion by John Griffin of the McCombs School of Business at the University of Texas at Austin, followed by audience Q&A. Hosted by Chris Geczy, Academic Director of the Jacobs Levy Center.
2019 Conference Highlights
Переглядів 2174 роки тому
Highlights from the Jacobs Levy Center's 2019 Frontiers in Quantitative Finance Conference held September 27, 2019 at the New York Marriott Marquis.
A Production-based Economic Explanation for the Gross Profitability Premium
Переглядів 4184 роки тому
Presenter: Leonid Kogan, MIT Sloan School of Management Discussant: Jessica Wachter, The Wharton School
2018 Jacobs Levy Center Research Paper Prize Presentation
Переглядів 1084 роки тому
2018 Jacobs Levy Center Research Paper Prize Presentation
2019 Wharton-Jacobs Levy Prize: Ray Ball and Philip Brown
Переглядів 5894 роки тому
2019 Wharton-Jacobs Levy Prize: Ray Ball and Philip Brown
Panel Discussion: Accounting Informativeness: 50 Years Since Ball and Brown
Переглядів 7494 роки тому
Panel Discussion: Accounting Informativeness: 50 Years Since Ball and Brown
Panel Discussion: Impact of Financial Crises: Past, Present, and Future
Переглядів 3135 років тому
Panel Discussion: Impact of Financial Crises: Past, Present, and Future
Keynote Presentation: Are Stocks Too High? A Historical Perspective
Переглядів 11 тис.5 років тому
Keynote Presentation: Are Stocks Too High? A Historical Perspective
Dynamic Interpretation of Emerging Risks in the Financial Sector
Переглядів 3055 років тому
Dynamic Interpretation of Emerging Risks in the Financial Sector
ETF Short Interest and Failures-to-Deliver: Naked Short Selling or Operational Shorting?
Переглядів 98 тис.5 років тому
ETF Short Interest and Failures-to-Deliver: Naked Short Selling or Operational Shorting?
2017 Jacobs Levy Center Research Paper Prize Presentation
Переглядів 585 років тому
2017 Jacobs Levy Center Research Paper Prize Presentation