数字经济与政策智能工信部重点实验室

数字经济与政策智能工业和信息化部重点实验室

Digital Economy and Policy Intelligentization Key Laboratory of Ministry of Industry and Information Technology

【经工讲堂2024年第2期】圣地亚哥州立大学马亮助理教授：The Factor Multiverse:The Role of Interest Rates in Factor Return Measurement

报告简介：

We study the equity factor zoo using an alternative excess return definition, which measures factor performance in excess of a dura-tion-matched government bond portfolio and quantifies the realized return premium for investing in a stream of risky cash flows relative to a fixed cash flow counterfactual. We document different average excess returns than those previously reported. Among commonly used factors, the value, investment, and profitability premia become larger, while the market and size premia become smaller. Further, the effect varies with rising versus declining interest rate environments. Finally, we evaluate the sensitivity of factor discovery to the excess return definition.

报告人简介：

马亮博士是圣地亚哥州立大学 Fowler 商学院金融系的助理教授。他曾任南卡罗莱纳大学Moore 商学院金融系的助理教授。他在美国威斯康星大学麦迪逊分校获得金融学和生物物理学的博士学位，在北京大学获得理学学士学位。他的研究兴趣包括资产定价，行为金融学，和公司金融。他曾在 Journal of Finance，Review of Asset Pricing Studies, Journal of Money, Credit and Banking,Financial Management 等杂志发表论文。