题　目：Low-Frequency Risk Factors and Their Fundamental Drivers

嘉　宾：Sicong Li(李思聪) Ph.D. candidate London Business School

主持人：凃俊 教授 上海交通大学安泰经济与管理学院

时　间：2024年1月15日（周一）09:30-11:00

地　点：上海交通大学 徐汇校区安泰楼A507室 

内容简介:

There is a “zoo” of factors that capture systematic risk premia and a large number of economic variables that explain their time variation, which poses a doubly high-dimensional challenge to understanding how economic fundamentals relate to the time-varying dynamics of risk premia. I propose a method to regularize this problem by identifying low-frequency risk factors, whose risk premia are driven by latent low-frequency state variables. Empirically, one below-business-cycle-frequency factor and one business-cycle-frequency factor, whose variation concentrates on cycles longer than eight years and between 1.5 and eight years, explain the expected returns of individual stocks and characteristic-managed portfolios. The below-business-cycle-frequency factor has a high Sharpe ratio, and stocks whose current size is small compared to their long-term average load on it. Moreover, selected macroeconomic and financial variables have statistically and economically significant out-of-sample predictive power for the returns of the two low-frequency factors.

演讲人简介：

Sicong Li is currently a final-year Ph.D. candidate at London Business School, advised by Svetlana Bryzgalova and Victor DeMiguel. His research interest lies at the intersection of empirical asset pricing, applied financial econometrics, and machine learning. He is particularly interested in evaluating and improving the performance of asset-pricing factor models, and studying how asset prices/returns relate to economic fundamentals.

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