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Professor Robert Engle to participate in debate at LSE on Generating return on capital in a 'fama-efficient' world

Nobel prize winner Professor Robert Engle, New York University, will discuss Generating Return on Capital in a 'Fama-Efficient' World with Fabrizio Gallo and Robert Ferstenberg from Morgan Stanley in a public event at LSE on Tuesday 30 January.

The equity investment management business has undergone dramatic change in recent years as a result of regulation that has induced competition between market centre and provided equal access to financial information for all market participants. Consequently, global equity markets are becoming 'Fama-efficient' in the sense that it is increasingly difficult for any single investor to outperform the overall market for an extended period of time.

Within that context, the speakers will first provide an overview of the evolving competitive landscape of this business at a strategic level. They will then describe a specific initiative undertaken to improve the efficiency of their customer order execution business by applying econometric methods to the process of pricing, hedging and liquidating risk. The presentation concludes with a brief overview of models developed to analyse the risk-return trade-off in executing large orders and how this influences portfolio formation.

  • Robert Engle is professor of finance at New York University and was awarded the Nobel Prize for Economics in 2003.
  • Fabrizio Gallo is global head of trading, Institutional Equities Division, Morgan Stanley.
  • Robert Ferstenberg is managing director, Institutional Equities Division, Morgan Stanley.

Generating Return on Capital in a "Fama-Efficient" World is on Tuesday 30 January 2007 at 6.30-8pm in the Old Theatre, Old Building, LSE, Houghton Street, London WC2A. This event is free and open to all with no ticket required. Entry is on a first come, first served basis.

Ends

To reserve a press seat, please contact Jessica Winterstein, LSE Press Office, on 020 7955 7060 or email j.winterstein@lse.ac.uk| 

22 January 2007

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