讲座题目：Winners from Winners: A Tale of Risk Factors
内容摘要：Taking the union of the risk factors recently proposed by Fama and French (1993, 2015, 2018), Hou, Xue, and Zhang (2015), Stambaugh and Yuan (2017), and Daniel, Hirshleifer, and Sun (2019), a pool we refer to as the “winners”, we ask what collection of winners from winners emerge when each factor is allowed to play the role of a risk factor, or a non-risk factor. Our comparison of 4,095 models shows that a six factor model consisting of Mkt, SMB, MOM, ROE, MGMT, and PEAD as risk factors has the largest Bayesian posterior probability. Moreover, this collection displays superior out-of-sample predictive performance, higher Sharpe ratios, and greater ability in pricing anomalies, than the preceding models. These results suggest that both fundamental and behavioral factors play an important role in explaining the cross-section of expected equity returns.
主讲人简介 ：赵泠箫，本科毕业于武汉大学数理经济与数理金融专业，现为华盛顿大学圣路易斯分校博士候选人。她主要研究兴趣是asset pricing、model comparison、Bayesian econometrics、high-frequency financial econometrics。其研究成果发表于Journal of Finance。