Philadelphia, PA, September 1, 2017—The Wharton-Jacobs Levy Prize for Quantitative Financial Innovation will be awarded to the late Stephen A. Ross at a conference hosted by the Wharton School of the University of Pennsylvania’s Jacobs Levy Equity Management Center for Quantitative Financial Research. The event will take place September 15, 2017 in New York.
The Prize will recognize Ross for his work in the area of multi-factor asset pricing introduced in his 1976 Journal of Economic Theory paper “The Arbitrage Theory of Capital Asset Pricing.” Widely known as APT, the theory provides a framework for measuring the impact of various market, macroeconomic and security-specific factors on an asset’s return. It continues to be used in the field of investment management today.
At the time the paper was published, Ross was a member of the faculty of Penn’s Economics Department and held a secondary appointment with Wharton’s Finance Department. He later taught at the Yale School of Management and was most recently the Franco Modigliani Professor of Financial Economics at the MIT Sloan School of Management.
“Steve Ross was a groundbreaking theorist,” said Geoffrey Garrett, Dean of the Wharton School. “It is an honor to celebrate his contributions to the field of investment management, specifically his pivotal work on APT, with this year’s Wharton-Jacobs Levy Prize.”
Ross, who died March 3, 2017 at age 73, published more than 100 scholarly articles and co-authored the textbook Corporate Finance, which is broadly used in business schools. He also was the co-founder of several firms, including Roll & Ross Asset Management with Richard Roll, who will speak at the conference along with Garrett.
“Steve was in my estimation assuredly one of the best and perhaps the very best financial economist of his generation,” said Roll. “He was the originator of truly important ideas in asset pricing, agency theory, option pricing and interest rate dynamics.”
A committee of academics and financial practitioners selected Ross to receive the Wharton-Jacobs Levy Prize, an $80,000 award. The Prize is endowed with a $2 million gift from Bruce I. Jacobs G’79, GrW’86, PAR’10 and Kenneth N. Levy WG’76, G’82, Principals and Co-Founders of Jacobs Levy Equity Management. It is given biennially to recognize excellence in quantitative research that has contributed to a particular innovation in the practice of finance.
“Steve’s work on APT had a profound impact on the practice of finance, and is widely used to this day,” said Jacobs, who served as Chair of the selection committee. “His many other influential theories and models are integral components of today’s financial world.”
In addition to a ceremony to award the Prize, the conference program will feature several paper presentations and a panel discussion. A day-long event, it will be held at the New York Marriott Marquis.
“This conference will celebrate multiple factor models in academia and practice,” said Christopher Geczy, Academic Director of the Jacobs Levy Center. “The prevalence of these models is a testament to the lasting impact of Steve Ross’ work.”
The conference sponsors include Institutional Investor Journals, Jacobs Levy Equity Management, State Street Global Exchange, and Wharton Research Data Services (WRDS). For an agenda and to register, visit: https://jacobslevycenter.wharton.upenn.edu/2017conference/.
About the Jacobs Levy Center
The Jacobs Levy Equity Management Center for Quantitative Financial Research is dedicated to the advancement of quantitative finance, at the intersection of theory and practice, through the creation and dissemination of innovative knowledge. The Jacobs Levy Center aims to enhance understanding of financial markets through the application of quantitative and statistical techniques and methods to such fields as asset management and security pricing, including the analysis of stocks, bonds and other instruments.
About the Wharton School
Founded in 1881 as the first collegiate business school, the Wharton School of the University of Pennsylvania is recognized globally for intellectual leadership and ongoing innovation across every major discipline of business education. With a broad global community and one of the most published business school faculties, Wharton creates economic and social value around the world. The School has 5,000 undergraduate, MBA, executive MBA, and doctoral students; more than 9,000 participants in executive education programs annually and a powerful alumni network of 96,000 graduates.