BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Memento EPFL//
BEGIN:VEVENT
SUMMARY:Shrinking the Term Structure
DTSTART:20260612T110000
DTEND:20260612T121500
DTSTAMP:20260603T074707Z
UID:02e3f94f4cb6141df337f222f8bedacb3252e7e9f6d0322c4bf30848
CATEGORIES:Conferences - Seminars
DESCRIPTION:Markus Pelger - Stanford University\nWe propose a new framewor
 k to explain the factor structure in the full cross section of Treasury bo
 nd returns. Our method unifies non-parametric curve estimation with cross-
 sectional factor modeling. We identify smoothness as a fundamental princip
 le of the term structure of returns. Our approach implies investable facto
 rs\, which correspond to the optimal spanning basis functions in decreasin
 g order of smoothness. Our factors explain the slope and curvature shapes 
 frequently encountered in PCA. In a comprehensive empirical study\, we sho
 w that the first four factors explain the time-series variation and risk p
 remia of the term structure of excess returns. Cash flows are covariances 
 as the exposure of bonds to factors is fully explained by cash flow inform
 ation. We identify a state-dependent complexity premium. The fourth factor
 \, which captures complex shapes of the term structure premium\, substanti
 ally reduces pricing errors and pays off during recessions.
LOCATION:UNIL\, Extranef\, room 126
STATUS:CONFIRMED
END:VEVENT
END:VCALENDAR