Seminars for 2018-2019
Thursday, January 17, 2019 – 11am-noon – Stevanovich Center Library
Senior Financial Economist and Research Advisor, Federal Reserve Bank of Chicago
Core and Crust: Consumer Prices and the Term Structure of Interest Rates
Thursday, January 31, 2019 – 11am-noon – Stevanovich Center Library
Harry G. Guthmann Professor of Finance and Co-Director of the Financial Institutions and Markets Research Center, Kellogg School of Management at Northwestern University
We propose new methodology to estimate arbitrage portfolios by utilizing information contained in firm characteristics for both abnormal returns and factor loadings. The methodology gives maximal weight to risk-based interpretations of characteristic predictive power before any attribution to abnormal returns. We apply the methodology in simulated factor economies and on a large panel of U.S. stock returns from 1965–2014. The methodology works well in simulation and in out-of-sample portfolios of U.S. stocks. Empirically, we find the arbitrage portfolio has (statistically and economically) significant alphas relative to several popular asset pricing models and annualized Sharpe ratios ranging from 0.67 to 1.12. Data-mining-driven alphas imply that performance of the strategy should decline after the discovery of pricing anomalies. However, we find that the abnormal returns on the arbitrage portfolio do not decrease significantly over time.
Thursday, February 7, 2019 – 11am-noon – Stevanovich Center Library
Assistant Professor, Financial and Business Analytics, Columbia University Data Science Institute
Thursday, February 21, 2019 – 11am-noon – Stevanovich Center Library
Zelter Family Professor, Economics, Duke University
Risk Price Variation: The Missing Half of the Cross-Section of Expected Returns
The Law of One Price is a bedrock of asset pricing theory and empirics. Yet real-world frictions can violate the Law by generating unequal compensation across assets for the same risk exposures. We develop new methods for cross-sectional asset pricing with unobserved heterogeneity in compensation for risk. We extend k-means clustering to group assets by risk prices and introduce a formal test for whether differences in risk premia across market segments are too large to occur by chance. Using portfolios of US stocks, international stocks, and assets from multiple classes, we find significant evidence of cross-sectional variation in risk prices for all 135 combinations of test assets, factor models, and time periods. Variation in risk prices is as important as variation in risk exposures for explaining the cross-section of expected returns.
Thursday, April 18, 2019 – 11am-noon – Stevanovich Center Library
Professor of Economics, Center for Monetary and Financial Studies – Research Fellow, Center for Economic Policy Research – Senior Research Associate, London School of Economics, Financial Markets Group
We won’t hold Seminars between May and October 2019. Please consider attending one of our conferences!
Past 2018-19 Seminars
Monday, October 8, 2018 – Eckhart 133, 4:30-5:30pm. This seminar is organized jointly by the Stevanovich Center and the UC Department of Statistics
Towards personalized computer simulation of breast cancer treatment: a multi-scale pharmacokinetic and pharmacodynamic model informed by multi-type patient data
Thursday, October 18, 2018 – 11am-noon – Stevanovich Center Library
Professor of Commerce, Organizations and Entrepreneurship, Professor of Economics, Brown University
Wald Tests When Restrictions Are Locally Singular
Wednesday, October 24, 2018 – 2:30pm-3:30pm – Stevanovich Center Library
Edward Bernstein Distinguished Professor of Economics and Adjunct Professor of Finance, Kenan-Flagler Business School, University of North Carolina at Chapel Hill
Artificial Intelligence Alter Egos
Thursday, November 8, 2018 – 11am to noon – Stevanovich Center Library
Professor in Financial Econometrics, Business School, Imperial College London, UK
Beyond the Bound: Pricing Assets with Misspecified Stochastic Discount Factors
Thursday, November 15, 2018 – 1:20pm to 2:20pm – Booth School of Business (Harper Center, room HC3B) – This seminar is jointly organized by the Booth School of Business and the Stevanovich Center.
Professor of Economics, Indiana University, Bloomington
State Space Models with Endogenous Regime Switching
Thursday, November 29, 2018 – 10am to 11am – Stevanovich Center Library
Michael Barnett, 2018 Stevanovich Fellow
PhD student in the joint program in Financial Economics, University of Chicago
A Run on Oil: Climate Policy, Stranded Assets, and Asset Prices
Thursday, November 29, 2018 – 11 am to noon – Stevanovich Center Library
Dachuan Chen, 2018 Stevanovich Fellow
PhD student in Business Administration, University of Illinois at Chicago.