财务与金融系学术讲座系列2021年第16讲

主 题：赢家中的赢家：一个风险因子的故事

主讲人: 赵泠箫（金融学助理教授，北京大学汇丰商学院）

协调人: 李晨煦

时 间：2021-12-10 09:00

地 点：Zoom会议室

语 言：中英文

地点： Zoom会议室

https://zoom.us/j/84700538568?pwd=ZVA0MGM0SWpZSGsydXdmc05DODVLZz09 

会议 ID：847 0053 8568

密码：1210

讲座摘要:

Starting from the twelve distinct risk factors from Fama and French (1993, 2015, 2018), Hou, Xue, and Zhang (2015), Stambaugh and Yuan (2017), and Daniel, Hirshleifer, and Sun (2020), we construct and compare all possible asset pricing models by the Bayesian method of Chib, Zeng and Zhao (2020), and find that six risk factors, Mkt, SMB, MOM, ROE, MGMT, and PEAD, perform the best in terms of Bayesian posterior probability. A more extensive model comparison of 8,388,607 models, constructed from the twelve winners plus eleven principal components (PCs) of anomalies unexplained by the winners, shows that the best model consists of {Mkt, RMW, MOM, IA, ROE, MGT, PEAD, FIN} and the non-consecutive {PC1, PC3, PC4, PC5, and PC7}. The pricing performance suggests that these risk factors should be used for computing expected returns and for assessing investment strategies, instead of the risk factors in one of the other four collections.

主讲人简介:

Lingxiao Zhao is now an Assistant Professor of Finance at Peking University HSBC Business School. She got her Ph.D. degree in Economics from Washington University in St. Louis. Her research interests mainly focus on theoretical and empirical asset pricing, Bayesian econometrics, and venture capital. Her recent work on asset pricing model comparison was published in the Journal of Finance.