April 17-20, 2016
Fairmont Washington D.C., Georgetown

Spring 2016 Program

50 Years of Q: But Now, Looking Forward

Sunday, April 17
6:00 pm

Reception and Informal Buffet Dinner
Remarks: James H. Scott, Jr.
President, Q Group

Monday, April 18
Morning Session
7:30 am

Continental Breakfast

9:00 am

Transaction Costs, Trade Throughs and Riskless Principal Trading in Corporate Bond Markets
Larry Harris, Fred V. Keenan Chair in Finance, Professor of Finance and Business Economics, Marshall School of Business, USC
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10:45 am

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, School of Management Distinguished Professor of Finance, MIT Sloan School of Management and Resident Scientist, Dimensional Holdings, Inc. London
Speaker Presentation


Lunch Break and One-on-One Time

1:30 pm

Size Matters, If You Control Your Junk
Tobias Moskowitz, Fama Family Professor of Finance, University of Chicago, Booth School of Business
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Special Elective Session:
Jack Treynor Prize Winner Presentation
2:15 pm

Low Risk Anomalies?
Paul Schneider, University of Lugano and Swiss Finance Institute
Christian Wagner, Copenhagen Business School
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Afternoon Session
4:00 pm

A New Look at Liquidity
Robert Engle, Michael Armellino Professor of Management Financial Services, Stern School of Business and Director of Volatility Institute
Speaker Presentation

5:30 pm

The Credit Spread Puzzle in the Merton Model—Myth or Reality?
Peter Feldhutter, London Business School
Stephen Schaefer, London Business School
Download Paper Speaker Presentation

7:00 pm

Reception and Keynote Banquet
David and Goliath: Who Wins the Game of Quantitative Investing?
John C. Bogle, Founder, Vanguard Group
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Tuesday, April 19
7:30 am

Continental Breakfast

9:00 am

Quantifying Behavioral Finance
Robert J. Shiller, Sterling Professor of Economics, Yale University
Download Paper Speaker Presentation

10:45 am

Mispricing Factors
Robert F. Stambaugh, Miller Anderson & Sherrerd Professor of Finance, Wharton School, University of Pennsylvania
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Membership Meeting of the Institute

12:15 pm

Lunch Break and One-on-One Time

4:00 pm

Spectral Portfolio Theory
Andrew Lo, Charles E. and Susan T. Harris Professor, MIT Sloan School of Management and Director of the MIT Laboratory for Financial Engineering
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5:45 pm

Looking to the Future
Moderator: Martin L. Leibowitz, Managing Director, Morgan Stanley
Panelists: Andrew Lo, Robert C. Merton, Stephen A. Ross, and Jeremy Siegel

7:00 pm

International Spy Museum
800 F Street, NW
Drinks and heavy hor d’oeuvres
Shuttle bus transportation beginning at 7pm

Wednesday, April 20
7:00 am

Continental Breakfast

8:00 am

Testing Strategies Based on Multiple Signals
Robert Novy-Marx, Lori and Alan S. Zekelman Professor of Business Administration, Simon Business School, University of Rochester
Download Paper Speaker Presentation

9:30 am

Some Notes on Fixed Income
Stephen A. Ross, Franco Modigliani Professor of Financial Economics, MIT and Managing Director, Ross, Jeffrey & Antle, LLC
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11:00 am


Save the Date: Q Group Fall 2016 Seminar

The Fairmont Scottsdale Princess
Scottsdale, Arizona
October 9-12, 2016

For additional information or questions, please email Kathleen Stevens at [email protected] or call (203) 340-2165 or (203) 644-0206.