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SUMMARY:What is Missing in Asset-Pricing Factor Models?
DTSTART:20220603T103000
DTEND:20220603T120000
DTSTAMP:20260406T222024Z
UID:8273ba3049a37fdc7c1b8cb0725d970898c2fd0b35f6212af08ae038
CATEGORIES:Conferences - Seminars
DESCRIPTION:Irina Zviadadze\, HEC Paris\nOur objective is to develop a met
 hodology to price the cross section of asset returns. Despite the hundreds
  of systematic risk factors considered in the literature (“factor zoo”
 )\, there is still a sizable pricing error. Our key insight is that the pr
 icing error is compensation not just for omitted systematic risk but also 
 asset-specific risk. We use this insight to construct a stochastic discoun
 t factor (SDF) that prices the cross section of stock returns exactly\, an
 d therefore\, resolves the factor zoo. Empirically\, we demonstrate that m
 ore than half of the variation in this SDF is explained by an aggregate me
 asure of asset-specific risk that reflects market frictions and behavioral
  biases.
LOCATION:UniL Campus\, Room Extra 126
STATUS:CONFIRMED
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