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October 14, 2020 @ 4:00 pm - 5:00 pm
Title: Statistical Issues in Frontier Cross-Sectional Asset Pricing Research
Presenter: Professor Ivan Shaliastovich
Abstract: The linear asset pricing model, the workhorse of empirical research in finance, prescribes that the average return on any asset should be fully explained by its exposures (covariances) to just a few factors. Over time the quest for relevant factors has led to an explosion of factors and models, and poses significant statistical challenges to interpretation of the evidence. I highlight selected issues featured in the recent research which focus on model and factor selection, “factor zoo,” multiple hypotheses testing, data mining.