金融与财务学系系列讲座之270期

时    间：2022年9月6日（周二）10:00-11:30

Zoom会议号：862 1312 9563

密    码： 101552

主    题：Risk Estimation and Asset Pricing via Machine Learning

演讲者：周国富  教授   华盛顿大学奥林商学院

摘    要：The first paper finds a new intraday momentum pattern of stock risk premia, which implies a tradable return momentum. The second paper proposes an extension of the widely used Fama-MacBeth regression by allowing stock returns to respond differently to firm characteristics, capturing the violation of Law of one price. Empirically, the value-weighted long-short portfolio has an annualized Sharpe ratio of 0.97, doubling that of the usual homogenous model. The new heterogeneous model is not only easier to understand, but also performs better than existing machine learning models.

简    介：Professor Guofu Zhou is the Frederick Bierman and James E. Spears Professor of Finance at Olin Business School, Washington University in St. Louis, where he joined in 1990 and has worked ever since. His research focuses on empirical asset pricing, big data, machine learning, portfolio optimization, anomalies, technical analysis, behavioral finance, Bayesian inference and Chinese financial markets. He has published papers in leading academic journals including Journal of Finance, Journal of Financial Economics, Review of Financial Studies. Currently, Professor Zhou is an Associated Editor of Journal of Financial and Quantitative Analysis, Journal of Financial Markets, Journal of Empirical Finance and Review of Quantitative Finance and Accounting.

金融与财务学系

2022.8.30