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Characteristics-Based Factors

Speaker: Jianfeng Yu The PBC School of Finance,Tsinghua University
Time: 2019-03-08 14:00-2019-03-08 15:00
Venue: FIT 1-222


Recent studies have proposed a large set of new powerful characteristics-based factors in the stock market. This study examines the pricing of these factors using portfolios that are formed by directly sorting stocks based on their exposure to these factors. These beta-sorted portfolios have very large ex post factor beta spreads. However, the return spreads between high- and low-beta firms are typically tiny and insignificant (on average, 0.01% per month). The differences between factor adjusted returns and characteristics-adjusted returns for these beta-sorted portfolios are both economically and statistically significant at about 0.41% per month. More important, we show that factor-adjusted returns and characteristics-adjusted returns can be significantly different for a large number of anomalies and mutual funds. Our results thus urge cautions regarding the common practice of using factor models such as adjusting for investment style, performance evaluation, and performance attribution.



Short Bio:

余剑峰教授目前是清华大学五道口金融学院建树金融学讲席教授,清华大学国家金融科技研究院副院长,清华大学国家金融研究院资产管理研究中心主任,加入五道口之前他是明尼苏达大学卡尔森管理学院Piper Jaffray讲席教授。他从2011年起是美国联邦储蓄银行(达拉斯)的研究员。他主要从事行为金融和宏观金融的理论和实证研究。他的研究成果已经发表在学术刊物,例如,美国经济评论,金融期刊、金融经济期刊、货币经济期刊、管理科学和动态经济评论。余教授获得中国科技大学概率统计学学士,耶鲁大学统计学硕士和宾夕法尼亚大学沃顿商学院的金融学博士。他的研究成果曾获得多项奖项,其中包括 Smith-Breeden一等奖。