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Consortium on Factor Investing

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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 Six new and as yet unpublished, research papers were presented and discussed.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. 

View the workshop programme

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

Factor investing

A study on machine learning methods for bond return predictability wins the Invesco Factor Investing Prize at the Financial Management Association (FMA) Consortium on Factor Investing hosted by the Centre for Endowment Asset Management.

Read the event feature

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