Международный институт экономики и финансов

Научный семинар МИЭФ, Светлана Брызгалова (ЛШЭ)

22 декабря в 16.40 в ауд. 3211  (ул. Шаболовка, 26) прошел научный семинар МИЭФ
Докладчик: Светлана Брызгалова (ЛШЭ)
Тема доклада: "Spurious Factors in Linear Asset Pricing Models"

Тезисы доклада: When a risk factor has (close to) zero covariance with asset returns, risk premia in the linear asset pricing models are no longer strongly identified. In this case, the usual inference methods become unreliable due to the lack of consistency, asymptotic normality and irregular confidence bounds; they tend to generate spuriously high significance levels and measures of fit for specifications that include such a factor. I develop a new shrinkage-based framework for the estimation of the price of risk that: a) provides simultaneous model diagnostics and parameter estimates; b) automatically removes the effect of spurious factors; c) restores consistency and asymptotic normality of the parameter estimates, as well as the accuracy of standard measures of fit; d) performs well in both small and large samples. Using this novel framework to revisit a large set of established empirical results, I provide new insights on the pricing ability of various factors proposed in the literature. In particular, I identify a set of robust factors (e.g. Fama-French ones, but not only), and those that suffer from severe identification problems that render the standard assessment of their pricing performance unreliable (e.g. durable consumption growth, some currency factors and human capital proxies).

Предстоящие семинары МИЭФ

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