Finance Seminar with Nikolai Roussanov, The Wharton School, University of Pennsylvania

The Department of Finance is proud to announce the upcoming seminar with Nikolai Roussanov, The Wharton School, University of Pennsylvania.

Nikolai Roussanov will present: Common Risk Factors in the Returns on Stocks, Bonds (and Options), Redux

Abstract:
Are there risk factors that are pervasive across major classes: stocks, corporate bonds, and options? We employ a novel econometric procedure that relies on asset characteristics to estimate a conditional latent factor model. A common risk factor structure prominently emerges across asset classes. Several common factors explain a substantial amount of time-series variation of individual asset returns across all three asset classes, and have sizable Sharpe ratios. Several of our factors are highly correlated with some of asset-class-specific factors as well as macroeconomic and financial variables. However, a small set of common factors does not fully capture the cross-section of average returns. A mean-variance efficient portfolio that utilizes asset characteristics achieves a high Sharpe ratio as different asset classes hedge each other's exposures to the common factors.

Location:
Solbjerg Plads 3
2000 Frederiksberg
Room: SPs03