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Statistics Seminar

October 14 @ 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.

Link: https://uwmadison.webex.com/meet/pr923156234


October 14
4:00 pm - 5:00 pm