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SUMMARY:A Dynamic Model of Characteristic-Based Return Predictability
DTSTART:20170324T103000
DTEND:20170324T120000
DTSTAMP:20260407T103233Z
UID:3d8b293f3710dda3745b07e90d910e34c54c4013960209a46b0151bb
CATEGORIES:Conferences - Seminars
DESCRIPTION:Aydogan ALTI (University of Texas)\nWe present a model where t
 he “climate of disruptive innovation\,” which determines the arrival r
 ate of new projects and the exit rate of existing businesses\, is a source
  of systematic risk that influences the returns of portfolios sorted on va
 lue\, profitability\, and asset growth. These characteristic-sorted portfo
 lios generate abnormal returns along finite sample paths too frequently\, 
 relative to the rational benchmark\, when investors exhibit biases in proc
 essing information about the disruption climate. In simulations of the cal
 ibrated model we quantify the ex-ante likelihood of observing the historic
 al evidence on characteristic-based return predictability.
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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