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Mikhail Simutin, PhD
(en anglais seulement)
The Fama-French factors are ubiquitous in empirical finance. We find that factor returns differ substantially depending on when the data were downloaded. A large portion of these retroactive changes appear to be driven by modifications to the factor construction methodology rather than by revisions to the underlying data. Changes to the factors have large effects in two widely-studied contexts: mutual fund performance and cross-sectional equity pricing. Model evaluation tests suggest that more recent vintages do not perform better. Our findings have significant implications for the integrity of finance research and underscore the importance of understanding the provenance of third-party data.
À propos du conférencier
(en anglais seulement)
Mike Simutin is a Professor of finance and Associate Director of research at the International Centre for Pension Management at the University of Toronto's Rotman School of Management. His research focuses on studying institutional money management and understanding risks that affect asset prices. Mike's research has been published in leading finance journals and has been presented at leading academic and practitioner conferences.
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