Séminaires de recherche

An Information-Theoretic Asset Pricing Model

Finance

Intervenant : Christian Julliard
LSE - The London School of Economics

9 mars 2017 - T015 - De 14h00 à 15h15


We show that a non-parametric estimate of the pricing kernel, extracted using an information-theoretic approach, delivers out-of-sample smaller pricing errors and better cross-sectional fit than leading factor models, and identifies the maximum Sharpe ratio portfolio. This information SDF identifies a novel source of risk not captured by Fama-French and momentum factors, revealing an ‘information anomaly’ that generates annualized alphas of about 9%–24%. A tradable information portfolio that mimics this kernel has high out-of-sample Sharpe ratio (about 1 or more), outperforming both the 1/N benchmark and Value and Momentum strategies combined. These results hold for wide cross-sections of test portfolios.

Finance

Intervenant : Matthieu Bouvard
Desautels Faculty of Management

14 juin 2018 - De 14h00 à 15h15


Finance

Intervenant : Mikhail Simutin
Rotman School of Management

7 juin 2018 - De 14h00 à 15h15


Finance

Intervenant : Liyan Yang
Rotman School of Management

31 mai 2018 - De 14h00 à 15h15


Finance

Intervenant : Anton Lines
Columbia Business School

24 mai 2018 - De 14h00 à 15h15


Finance

Intervenant : Ian Martin
LSE

17 mai 2018 - De 14h00 à 15h15



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