Seminar Series

2022 - 2023

 Speaker: Raman Uppal (EDHEC).

Title: “What is Missing in Asset-Pricing Factor Models?”

joint with Massimo Dello-Preite (Imperial College), Paolo Zaffaroni (Imperial College) and Irina Zviadadze (HEC Paris).

Date: Thursday, April 13th at 12h30 (Paris Time).

Abstract: Our objective is to price the cross section of asset returns. Despite considering hundreds of systematic risk factors ("factor zoo"), factor models still have a sizable pricing error. A limitation of these models is that returns compensate only for systematic risk. We allow compensation also for unsystematic risk while imposing no arbitrage. The resulting stochastic discount factor (SDF) dominates traditional factor models in pricing assets. Empirically, about 70% variation in this SDF is explained by its unsystematic risk component, which is correlated with strategies reflecting market frictions and behavioral biases. Our findings provide an avenue for resolving the factor zoo. 

Here is, a link to the speaker’s and the FEELab website:

https://sites.google.com/view/ramanuppalprof

https://sites.google.com/view/feelabtbs/

You are cordially invited to participate in the following seminar of the FEELab, which will take place in Room 322, Lascrosses building. Note that is is not the usual room.

For more information, please contact: Pierre Mella-Barral p.mella-barral@tbs-education.fr