2019 Consortium on Factor Investing

Monday, 4 February 2019
Jesus College Cambridge
Cambridge, United Kingdom

Supported by Cambridge Judge Business School's Centre for Endowment Asset Management (CEAM), the Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy (EMP) at Lancaster UniversityInvesco and FMA, the Consortium is designed for European finance faculty who are currently working on research in factor investing and related topics. Priority will be given to researchers who have received their doctorates within the last five years.

The consortium will be focused, with 5-6 high quality papers, discussants, and a limited number of other researchers. The program will also include a presentation by a keynote speaker. Distinguished members of the finance profession, and practitioners will provide feedback to presenters and discuss issues in factor investing as well as aspects of academic publishing and career development.

Register Here

Consortium Program

08:15 – 09:00 

Welcome & Introductions
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

09:00 – 09:45 

Arbitrage Portfolios in Large Panels 
Soohun Kim, Robert A. Korajczyk and Andreas Neuhierl*
Discussant: Rong Leng, Deutsche Bank

09:45 – 10:30 

Bond Risk Premia with Machine Learning 
Daniele Bianchi*, Matthias Bűchner and Andrea Tamoni
Discussant: Ansgar Walther, Imperial College

10:30 – 11:00 

Break with Coffee and Tea

11:00 – 11:45 

Global Market Inefficiencies
Söhnke M. Bartram* and Mark Grinblatt
Discussant: Adam Reed, University of North Carolina

11:45 – 12:30 

Real-time Portfolio Choice Implications of Asset Pricing Models
Francisco Barillas* and Jay Shanken
Discussant: To be confirmed

12:30 – 13:30 

Lunch (Bawden Room)

13:30 – 14:30 

Keynote Presentation

Ludovic PhalippouLudovic
Professor of Financial Economics
Saïd Business School, University of Oxford

Ludovic is the author of the bestseller 'Private Equity Laid Bare', and he is a tenured faculty member of Saïd Business School, University of Oxford. He specialises in the areas of private equity that are of interest to investors in that asset class, such as fee tracking, interest alignment, and return benchmarking.

14:30 – 14:45

Break with Coffee and Tea

14:45 – 15:30

Turning Alphas into Betas: Arbitrage and the Cross-section of Risk 
Thummim Cho*
Discussant: Anastasios Kagkadis, Lancaster University Management School

15:30 – 16:15 

Understanding Alpha Decay 
Julien Pénasse*
Discussant: Cameron Peng, London School of Economics

16:15 – 16:30   

Closing Remarks

18:45

Dinner for Presenters and Discussants, Best Paper Prize Announcement (invite only) 

*Presenting author.

Consortium Co-Chairs

  • 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

Consortium Goals

  • Present high quality new and unpublished research
  • Bring together younger scholars working in factor investing and related topics and help them benefit from engaging with each other and gaining exposure to more senior faculty

Registration

To register for the conference click here.

Travel and Directions

For travel directions to Jesus College please click here. Please note that there is no onsite parking available, and parking in the city centre is very limited. Attendees are advised to take public transport where possible. Those for whom travel by car is the only option, and who only plan to spend the day in Cambridge, we advise that you use Cambridge Park & Ride. Prices apply and are available here. All Park & Ride buses stop at the city centre central bus station which is a 5 minute walk from Jesus College. Park & Ride users should be sure to check the time that the last bus leaves the city centre (times are shown on the page for each Park & Ride bus route). We are happy to share contact details of local taxi companies for anyone heading back to the Park and Ride sites after the last bus. For those planning to stay overnight in Cambridge some Park & Ride sites do allow parking overnight. Payment must be made online and further details can be found here.

 

The Consortium will take place in the Webb Library at West Court. From Jesus Lane take the entrance into West Court, walk through the foyer and across the Courtyard to staircase 2. Follow the stairs up one floor and then take the door on your left at the end of the Hallway. If coming from First Court walk past the Lodge towards West Court, and enter via stair 2.

 

If you have specific accessibility requirements further information can be found here.

 

Accommodation

If you require accommodation the following hotels are located a short distance from the conference venue.

The Varsity Hotel & Spa 

Hilton Cambridge City Centre 

University Arms Hotel 

Hotel du Vin 

 

For further information on Cambridge visit the Cambridge Tourist Information Centre.

 

Application and Selection Process

Click here to view the Call for PapersThe submission deadline has passed. Decision notices have been sent. Applications to present current research will be selected on a competitive basis, with priority given to European finance faculty who have been awarded their doctorate within the last five years. Criteria will include the nature of the research problem, implications of the proposed research, the quality of the research design, and the expected contribution of the research to the literature. Click here to view previous years' programs.

Accepted presenters will be exempted from paying the registration fee and will be invited to a conference networking dinner. One night’s accommodation will be covered for presenters.

Best Paper Prize

Paper authors will be eligible for the Invesco Factor Investing Prize (£1000), which will be awarded at the conference dinner. Additionally, authors of the best paper prize will be invited to present their paper on special sessions at the 2019 FMA European Conference in Glasgow, Scotland (12 - 14 June 2019). 

Formal Participant Letters & Invitations

For participants seeking a formal invitation from FMA for either institution support or visa requirements, please contact Dawn Appleby at +1.813.974.2084 or [email protected]. Participants must be registered for the conference in order to receive a requested letter. 

#FMAInvesting2019 - Follow the Conversation

During the conference, use the hashtag #FMAInvesting2019 to follow the conversation on Twitter (@finmgmtassoc) and Facebook (www.facebook.com/FMA.org).

Thank You Sponsors



 

 

Best Paper Prize Sponsor

 

 

Past Consortium Programs

  • View the program for the 2018 Consortium on Trading Strategies and Institutional Investing
  • View the program from the 2017 Consortium on Institutional Investing and Hedge Funds
  • View the program from the 2015 Consortium on Activist Investors, Corporate Governance and Hedge Funds
  • View the program from the 2014 Consortium on Research in Hedge Funds, Trading Strategies & Related Topics

Thank You to Our Program Committee

  • Nick Baltas, Goldman Sachs & Visiting Academic at Imperial College Business School
  • Sohnke M Bartram, University of Warwick
  • Filip Bekjarovski, Tilburg University
  • Jesse Blocher, Vanderbilt University
  • Jonathan Brogaard, University of Utah
  • Ching-Chang CC Wang, Southern Taiwan University of Science and Technology
  • Yong Chen, Texas A&M University
  • Si Cheng, Chinese University of Hong Kong
  • Darwin Choi, Chinese University of Hong Kong
  • Liya Chu, East China University of Science and Technology
  • James Clunie, Jupiter Asset Management
  • Mathijs Cosemans, Erasmus University Rotterdam
  • Gregory Eaton, Oklahoma State University
  • Chanaka Edirisinghe, Rensselaer Polytechnic Institute
  • Guanhao Feng, City University of Hong Kong
  • Ben Christopher Gabor, Swansea University
  • Nataliya Gerasimova, NHH Norwegian School of Economics
  • Amit Goyal, University of Lausanne
  • Moqi Groen-Xu, London School of Economics
  • Yazhou He, University of Oxford
  • Huichou Huang, Jupiter Asset Management, City University of Hong Kong
  • Russell Jame, University of Kentucky
  • Petri Jylha, Aalto University
  • Oguzhan Karakas, Cambridge Judge Business School
  • Thomas Keusch, INSEAD
  • Marie Lambert, University of Liege, HEC Liege
  • Adam Y.C. Lei, Midwestern State University
  • Tao Li, University of Florida
  • Matthijs Lof, Aalto University
  • Dong Lou, London School of Economics
  • Christian Lundblad, University of North Carolina, Chapel Hill
  • Andrew Arch Lynch, University of Mississippi
  • Guido Max Mantovani, Ca' Foscari University of Venice & International University of Monaco
  • M. Imtiaz Mazumder, St Ambrose University
  • Grzegorz Michalski, Wroclaw University of Economics
  • Amit Mittal, Indian Institute of Management Lucknow
  • John O'Brien, University College Cork
  • Seongkyu (Gilbert) Park, Hong Kong Polytechnic University
  • David Rakowski, University of Texas Arlington
  • Oliver James Randall, Emory University
  • Adam V Reed, UNC Chapel Hill
  • Julia Elizabeth Reynolds, Universita della Svizzera Italiana
  • Russell Allyn Rhoads, Oklahoma State University; Loyola-Chicago; TABB Group
  • Geraldine Anne Ryan, University College Cork
  • Daniel Schmidt, HEC Paris
  • Jan Schnitzler, VU University Amsterdam
  • Thomas Sheedy, Invesco
  • Denitsa Stefanova, University of Luxembourg
  • Jason Sturgess, Queen Mary University of London
  • Hui-Ju Tsai, Washington College
  • Sunil Wahal, Arizona State University
  • Ying Y Wang, SUNY at Albany
  • Gulnara Zaynutdinova, West Virginia University
  • Yeqin Zeng, Durham University Business School