主题： A Comparison of New Factor Models（新因子模型的比较）
主讲人：张橹，俄亥俄州立大学菲舍尔商德州扑克大小
金融学教授
日期：2016年6月29日（周三）
时间：下午2:30-4:00
地点：德州扑克大小
金融德州扑克大小
4号楼101教室
语言：英文
摘要：
This paper compiles an extensive data library with
437 anomaly variables. Controlling for microcaps leads to 161 significant
anomalies with NYSE breakpoints and value-weighted returns and 216 with
all-but-micro breakpoints and equal-weighted returns. Liquidity is largely
insignificant. The q-factor model has the lowest average magnitude of (and the
lowest number of significant) high-minus-low alphas among all the models. The
q-factor model outperforms a competing five-factor model in explaining momentum
and profitability anomalies. Fundamentals, including investment and
profitability, not liquidity, are the key driving forces of the broad cross
section of average stock returns.
主讲人简介:
Lu Zhang holds the
Max M. Fisher College of Business Distinguished Chair in Finance at the Ohio
State University as well as Research Associate at National Bureau of Economics
Research (Asset Pricing program). He received a Ph.D. in Finance from the Wharton
School, University of Pennsylvania in 2002. Before Joining Ohio State in 2010,
he taught at Stephen M. Ross School of Business at University of Michigan and
William E. Simon Graduate School of Business Administration at University of
Rochester. Professor Zhang’s research interests include asset pricing,
corporate finance, labor economics, and capital markets research in accounting.
He has articles published in the Journal
of Finance, Journal of Financial Economics, Review of Financial Studies,
Journal of Accounting Research, and Journal
of Political Economy among others. Professor Zhang is also an Associate
Editor of the Journal of Financial
Economics and Journal of Financial
and Quantitative Analysis.
