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主讲人：
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Yifeng Zhu |
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主讲人简介：
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Dr. Zhu is now working as Associate Professor in Finance with Tenure at School of Finance, Central University of Finance and Economics. His research fields are asset pricing and applied econometrics. Dr. Zhu has published multiple well-known finance journals such as Journal of Financial and Quantitative Analysis and Journal of Empirical Finance as the sole corresponding author. He received his bachelor’s degree in Applied Mathematics from Tongji University and two master degrees in Math and Statistics from Shanghai Jiao Tong University and Georgetown University. He graduated from Emory University with PhD degree in Economics. |
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主持人：
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Xuan Leng |
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简介：
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In this paper, we utilize the ridge regression to develop a novel set of characteristics-based factors, referred to as "ridge factors". We demonstrate that the usage of the ridge factors enables the creation of a Bayesian average SDF, which can tackle with model uncertainty in accordance with the theory of asset pricing: shrinking the relative contribution of low variance principal portfolios. Then, through the application the RP-PCA method proposed by Lettau and Pelger (2020a,b), we show that the ridge factor principal portfolios can exhibit greater sparsity compared to the IPCA while maintaining the equivalent empirical prediction accuracy. Furthermore, our Bayesian average SDF yields higher Sharpe ratio for the tangency portfolio compared to other models including IPCA. Additionally, the characteristic selection can be carried out judiciously through the Bayesian approach, leading to reliable results. |
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时间：
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2024-04-10 (Wednesday) 16:40-18:00 |
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地点：
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Room N302, Economics Building |
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期数：
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高级计量经济学与统计学系列讲座2024年春季学期第二讲（总167讲） |
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主办单位：
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厦门大学经济学院、王亚南经济研究院、邹至庄经济研究院 |
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承办单位：
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厦门大学经济学院、王亚南经济研究院、邹至庄经济研究院 |
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类型：
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系列讲座 |
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联系人信息：
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许老师，电话：0592-2182991，邮箱：ysxu@xmu.edu.cn |
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语言：
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English |
