Upcoming maintenance: our site will be down for maintenance for up to 4 hours from 22:00 GMT+1 (16:00 CT) on 1 May.
Consortium on Factor Investing
4 Feb 2019
08:15 -16:30
GMT
By invitation only
Jesus College
Jesus Lane
Cambridge
CB5 8BL
United Kingdom
Overview
The 2019 Consortium on Factor Investing took place on 4 February at Jesus College, Cambridge. The workshop was hosted by the Centre for Endowment Asset Management (CEAM) and the Financial Management Association (FMA), in conjunction with Invesco and the Centre for Financial Econometrics, Asset Markets and Macroeconomics Policy (EMP) at Lancaster University.
The Consortium brought together academics and practitioners working in the field of factor investing. Six new and as yet unpublished, research papers were presented and discussed. A keynote was provided by Prof. Ludovic Phalippou. At the end of the workshop an award was made to the best paper, with the winner receiving a financial prize from Invesco.
Consortium Co-Chairs
The Consortium Co-Chairs were as follows:
- David Chambers, Reader in Finance, University of Cambridge and Academic Director, Centre for Endowment Asset Management (CEAM)
- Mark Hutchinson, Professor and Chair of Finance, University College Cork
- Mark Mulcahy, Senior Lecturer, University College Cork
- Pedro Saffi, Reader in Financial Economics, University of Cambridge
Papers presented
The keynote presentation was given by Ludovic Phalippou and during the course of the day the following papers were presented:
Arbitrage Portfolios in Large Panels
Soohun Kim, Robert A. Korajczyk and Andreas Neuhierl*
Discussant: Rong Leng, Deutsche Bank
Bond Risk Premia with Machine Learning
Daniele Bianchi*, Matthias Bűchner and Andrea Tamoni
Discussant: Ansgar Walther, Imperial College
Global Market Inefficiencies
Söhnke M. Bartram* and Mark Grinblatt
Discussant: Adam Reed, University of North Carolina
Real-time Portfolio Choice Implications of Asset Pricing Models
Francisco Barillas* and Jay Shanken
Discussant: Daniele Bianchi, University of Warwick
Turning Alphas into Betas: Arbitrage and the Cross-section of Risk
Thummim Cho*
Discussant: Anastasios Kagkadis, Lancaster University Management School
Understanding Alpha Decay
Julien Pénasse*
Discussant: Cameron Peng, London School of Economics