题　目：Factors or Fake?

A New Look at Anomalies and the Replication Crisis

嘉　宾：赵泠箫 助理教授 北京大学

主持人：张大可 助理教授 上海交通大学安泰经济与管理学院

时　间：2025年11月19日（周三）13:30-15:00

地　点：上海交通大学 徐汇校区安泰浩然楼306

内容简介:

Based on the insight that declaring an anomaly not spanned presumes knowledge of the true SDF, we reverse conventional testing: discovery now corresponds to returns being spanned by a given factor set. We develop a Bayesian procedure that, for single anomalies and sequentially for pairs, triplets, and larger sets, computes posterior spanning probabilities and selects discoveries while controlling the expected false discovery rate (EFDR) at each stage. Applied to the U.S. dataset of Jensen et al. (2023) comprising 153 anomalies, our method classifies 132 as spanned. The evidence tempers claims of new factors and highlights redundancy and masking in the anomaly zoo.

演讲人简介：

Lingxiao Zhao is an Assistant Professor of Finance at Peking University HSBC Business School. She received her Ph.D. in Economics from Washington University in St. Louis and dual bachelor’s degrees in Mathematics and Finance from Wuhan University. Her research focuses on asset pricing, Bayesian econometrics, and machine learning, and her work has been published in leading journals such as the Journal of Finance and Management Science.

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