2009 Fall Seminar

Financial Markets and Investor Behavior

note: Underline indicates available link. Click on link to download paper.

Sunday – October 18

5:00 pm – 7:00 pm RECEPTION AND LITE BUFFET

7:00 PM – 7:15 PM
Words of Welcome
James L. Farrell, Jr., Chairman of The Q Group and Ned Davis Research, Inc.

Monday – October 19

7:30 am – 9:00 am CONTINENTAL BREAKFAST
9:00 am – 10:15 am
Speaker: Robin Greenwood, Associate Professor of Business Administration, Harvard Business School

Inexperienced Investor Paper Slides

10:15 am – 10:45 am COFFEE BREAK
10:45 am – 12:00 pm
Speaker: Darrell Duffie, Dean Witter Distinguished Professor of Finance, Graduate School of Business, Stanford University

The Failure Mechanics Slides

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

4:00 pm – 5:15 pm
Depression Babies: The Effect of Experiencing Macro-economic Shocks on Individual Risk Taking
Speaker: Ulrike M. Malmendier, Associate Professor of Economics, Department of Economics, University of California, Berkeley

Depression Babies Slides

5:15 pm – 5:45 pm COFFEE BREAK
5:45 pm – 7:00 pm
The Dynamics of Leveraged and Inverse ETFs
Speaker: Ananth Madhavan, Managing Director, Barclays Global Investors

Slides

7:00 pm
RECEPTION AND KEYNOTE BANQUET
The “Harry Markowitz Effect” 50 Years Later and Still Counting


Host: Martin L. Leibowitz: Institute Fellow and Managing Director, Morgan Stanley

Tuesday – October 20

7:30 am – 8:45 am CONTINENTAL BREAKFAST

8:45 am – 10:00 am
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated ALPHAs
Speaker: Russ Wermers, Associate Professor of Finance, Robert H. Smith School of Business, University of Maryland at College Park

False Discoveries Slides

10:00 am – 10:30 am COFFEE BREAK

10:30 am – 11:45 am
Portfolio Choice in Retirement: Health Risk and the Demand for Annuities, Housing and Risky Assets
Speaker: Motohiro Yogo, Assistant Professor of Finance, The Wharton School, University of Pennsylvania

Portfolio Choice Slides

11:45 am – 12:15 pm Business Meeting of The Q Group
12:15 pm – 4:00 pm LUNCH AND PERSON-TO-PERSON CONTACTS
4:00 pm – 5:15 pm
Speaker: Leonid Kogan, Nippon Telephone and Telegraph Professor of Management, Sloan School of Management, Massachusetts Institute of Technology

The Demographics Slides

5:15 pm – 5:45 pm COFFEE BREAK

5:45 pm – 7:00 pm
Pension Funds: Performance, Costs and Benchmarks

Speaker: Rob Bauer, Full Professor of Institutional Investors, Maastricht University

Slides

7:00 pm RECEPTION AND BUFFET DINNER

Wednesday – October 21

7:00 am – 8:00 am CONTINENTAL BREAKFAST

8:00 am – 9:15 am
Market Microstructure Invariants
Speaker: Albert S. Kyle, Smith Chair Professor of Finance, and
Anna Obizhaeva, Assistant Professor of Finance,
Robert H. Smith School of Business, University of Maryland at College Park

Slides

9:15 am – 9:45 am COFFEE BREAK
9:45 am – 11:00 am
Risk and Return Characteristics of Venture Capital – Backed Entrepreneurial Companies
Speaker: Arthur G. Korteweg, Assistant Professor of Finance, Graduate School of Business, Stanford University

Risk and Return Slides

11:00 am ADJOURNMENT


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