2008 Fall Seminar

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Sunday – October 19

5:00 pm – 7:00 pm RECEPTION AND INFORMAL BUFFET DINNER

7:00 pm – 7:15 pm WORDS OF WELCOME
James L. Farrell, Jr. Chairman of The Q Group and Managing Director,Ned Davis Research

Monday – October 20
Value and Investment Taxation

7:30 am – 9:00 am CONTINENTAL BREAKFAST

9:00 am – 10:15 am
The Origins of Value: The Financial Innovations That Created Modern Capital Markets
Goetzmann – Origins of Value Introduction

Summaries

Speaker: William Goetzmann, Edwin J. Beinecke Professor of Finance and Management Studies, Yale School of Management, Yale University



10:15 am – 10:45 am COFFEE BREAK
10:45 am – 12:00 pm
Investment Taxation and Portfolio Performance

Slides

Speaker: Jeffrey Pontiff, Professor of Finance, Carroll School of Management, Boston College



12:00 pm – 4:00 pm LUNCH AND PERSON -TO-PERSON CONFERENCES

Liquidity and Sources of Alpha

4:00 PM – 5:15 PM
Financial Liquidity and Savings: Evidence from 401(k) Loans

Slides

Speaker: Brigitte Madrian, Aetna Professor of Public Policy and Corporate Management, Kennedy School of Government, Harvard University



5:15 pm – 5:45 pm COFFEE BREAK

5:45 pm – 7:00 PM
Structural Alpha
Leibowitz – The Endowment Model – Theory and Experience (Property of Morgan Stanley, Not for Distribution)

Slides

(Property of Morgan Stanley, Not for Distribution)

Speaker: Martin Leibowitz, Institute Fellow and Morgan Stanley

7:00 pm
RECEPTION AND KEYNOTE BANQUET
McWages


Speaker: Orley C. Ashenfelter, Joseph Douglas Green 1895 Professor of Economics, Princeton University


Tuesday – October 21

Bond Liquidity and Market Microstructure

7:30 am – 8:45 am CONTINENTAL BREAKFAST
8:45 am – 10:00 am
Liquidity and Corporate Bonds

Slides

Speaker: Jiang Wang, MIzuho Financial Group Professor, Sloan School of Management, Massachusetts Institute of Technology

10:00 am – 10:30 am COFFEE BREAK
10:30 am – 11:45 am
Financial Intermediary Leverage and Value-at-Risk

Speaker: Tobias Adrian, Research Officer, Capital Markets Function, Federal Reserve Bank of New York.
New Addition to the Program.
Understanding the Securitization of Sub-prime Mortgage Credit
Speaker: Til Schuermann, Vice President, Financial Intermediation Function, Federal Reserve Bank of New York. Regrettably Unable to Attend.
Bank Liquidity Risk 1
Bank Liquidity Risk 2
Bank Liquidity Risk Slides
7 Frictions in Subprime Mortgage Securitization Slides

11:45 am – 12:15 pm Annual Meeting of The Q Group

12:15 pm – 4:00 pm LUNCHEON AND PERSON-TO-PERSON CONFERENCES
4:00 pm – 5:15 pm

Capital Flows and the Returns to Private Equity
Limited Partner Performance Puzzle
Private Equity Performance
Slides

Speaker: Antoinette Schoar, Associate Professor of Finance and Entrepreneurship, Sloan School of Management, Massachusetts Institute of Technology



5:15 pm – 5:45 pm COFFEE BREAK
5:45 pm – 7:00 pm
Do Retail Trades Move Markets?

Slides

Speaker: Terrance Odean, Willis H Booth Professor of Banking and Finance, Haas School of Business, University of California, Berkeley



7:00 pm RECEPTION AND DINNER

Wednesday – October 22
Risk Preferences and Asset Allocation

7:00 am – 8:00 am CONTINENTAL BREAKFAST

8:00 am – 9:15 am
The Cross Section of Managerial Ability and Risk Preferences

Slides

Speaker: Ralph S. J. Koijen, Assistant Professor of Finance, Graduate School of Business, University of Chicago

9:15 am – 9:45 am COFFEE BREAK

9:45 am – 11:00 am
Rebalancing and Asset Allocation
Optimal Rebalancing and Asset Allocation

Slides

Speaker: Sebastian Page, Senior Managing Director, State Street Associates



11:00 am ADJOURNMENT
THE Q Group NEXT SEMINAR WILL BE HELD ON MARCH 29-APRIL 1, 2009.
SEE YOU AT THE BREAKERS, PALM BEACH, FLORIDA.


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