spring-2015-seminar

Spring 2016 Seminar

Q Group Spring Seminar was held April 17-20 at the Fairmont Washington D.C, Georgetown. With over 10 hours of presentations and commentary, the 2016 spring seminar continued Q’s 50-year tradition of offering high-quality presentations on the latest innovative investment research by both academics and practitioners in a forum that promotes critical dialogue and meaningful interaction. Q Group Seminars are open to members of the organization and invited guests only. For information about membership, click here.

Session Videos
This year the Q Group’s Spring Seminar sessions were videotaped. To view videos of the sessions, please visit this page. Note that this page is password-protected. Please contact Kathleen Stevens at kstevens@q-group.org for more information.

Event and Session Photos
To view photos of the Spring Seminar sessions and receptions, please visit this page.

Participants’ Perspective
Each Q Group Participants’ Perspective puts forward an honest and intelligent impression of what a speaker said that has relevance to the average participant in the audience. The focus of this review is on [1] practical significance to practitioners; [2] appropriateness and rigor of quantitative methods; and [3] novelty of results.

Download the full Spring 2016 Participants’ Perspective here.

Transaction Costs, Trade Throughs and Riskless Principal Trading in Corporate Bond Markets | Larry Harris, Marshall School of Business, USC
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On the Role of Financial Innovation and Quantitative Finance in Financial Stability and Economic Growth: 50 Years of the Past into the Impending Future | Robert C. Merton, MIT Sloan School of Management and Resident Scientist, Dimensional Holdings, Inc. London
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Speaker Presentation

 

Size Matters, If You Control Your Junk | Tobias Moskowitz, University of Chicago, Booth School of Business
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Low Risk Anomalies? | Paul Schneider, University of Lugano and Swiss Finance Institute; Christian Wagner, Copenhagen Business School
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A New Look at Liquidity | Robert Engle, Stern School of Business and Director of Volatility Institute
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Speaker Presentation

 

The Credit Spread Puzzle in the Merton Model—Myth or Reality? |
Peter Feldhutter and Stephen Schaefer, London Business School
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David and Goliath: Who Wins the Game of Quantitative Investing? | John C. Bogle, Founder, Vanguard Group
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Quantifying Behavioral Finance | Robert J. Shiller, Yale University
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Mispricing Factors |
Robert F. Stambaugh, Wharton School, University of Pennsylvania
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Spectral Portfolio Theory | Andrew Lo, MIT Sloan School of Management and Director of the MIT Laboratory for Financial Engineering
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Speaker Presentation

 

Looking to the Future |
Moderator: Martin L. Leibowitz, Managing Director, Morgan Stanley
Panelists: Andrew Lo, Robert C. Merton, Stephen A. Ross, and Jeremy Siegel
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Testing Strategies Based on Multiple Signals | Robert Novy-Marx, Simon Business School, University of Rochester
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Some Notes on Fixed Income | Stephen A. Ross, MIT and Managing Director, Ross, Jeffrey & Antle, LLC Engineering
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