2010 Spring Seminar

Retirement Investing: Analyzing the ‘Roth’ Conversion and Re-Characterization Options
Chester B. Spatt, Pamela B. Dunn Professor of Finance, Director, Center for Financial Markets, Tepper School of Business, Carnegie Mellon University
Paper Slides Addendum


Value and Momentum Everywhere
Clifford S. Asness, Managing and Founding Principal AQR Capital Management


Risk Premia And The Conditional Tails of Stock Returns
Bryan T. Kelly, Finance Department, Stern School of Business,
New York University
Paper Slides


What Drives the Value of Analysts’ Recommendations: Earnings Estimates or Discount Rate Changes?
Roni Michaely, Rudd Family Professor of Management, Professor of Finance,The Johnson School, Cornell University
Paper Slides


Why Diversity is Crucial in Nature and in Markets
Michael J. Mauboussin, Chief Investment Strategist, Legg Mason Capital Management


Are Stocks Really Less Volatile in the Long Run?
Robert F. Stambaugh, Miller Anderson & Sherrerd Professor of Finance, Professor of Finance and Economics, The Wharton School, University of Pennsylvania
Paper Slides


Market Microstructure Invariants
Albert S Kyle and Anny A Obizhaeva, University of Maryland


Portfolio Choice for Resource Based Sovereign Wealth Funds
Bernd Scherer, Professor of Finance, EDHEC Business School, Member-EDHEC Risk Institute


Accrual Reversals, Earnings, and Stock Returns
Richard G. Sloan, L. H. Penny Chair in Accounting, Haas Business School, University of California, Berkeley
Paper Slides


Market Microstructure in the Crosshairs
Lawrence E. Harris, Fred V. Keenan Chair in Finance, Professor of Finance and Business Economics, Marshall School of Business, University of Southern California
Paper 1 Paper 2 Paper 3


Shackling Short Sellers: The Effects of Recent and Proposed Restrictions
Charles Jones, Richard W. Lear, Professor of Finance and Economics, Chair, Finance and Economics Division, Columbia Business School
Paper Slides


Cross Section of Stock Returns, Alphas and Information Ratios
Steven Sapra, Portfolio Manager, Analytic Investors, Inc.
Paper Slides