***M.Sc. Students, this event can count towards one of the six mandatory Research Seminars Series needed to attend (MHS6991 or MGT6991).***
Hint: these are not the Fama-French 3 factors and they are not even spanned by the Fama-French 5 factors. More importantly, they feature superior out-of-sample pricing performance compared to standard asset pricing models. What is “common” about these factors? We identify the factor space common between individual stocks and sorted portfolios - neither affected by time-varying betas nor by the sorting characteristics.
***Paper is attached to the confirmation and reminder emails.
Join Zoom Meeting
https://uottawa-ca.zoom.us/j/97486998476?pwd=YVUwbmsrdGpkaURldDcyaDZDOTd6Zz09
Meeting ID: 974 8699 8476
Passcode: Kb0VfQ
The main research interests of Eric Ghysels are time series econometrics and finance. His most recent research focuses on