Als Vortragenden dürfen wir Andreas Neuhierl (Washington University St.Louis) begrüßen.

Er wird sein Paper "International Investing: Diversification and Beyond” (joint with Soohun Kim and Robert Korajczyk) vorstellen.

Abstract: We propose a novel two-country factor-pricing framework that leverages firm characteristics to extract both common and country-specific risk exposures and detect cross-border disparities in compensation.  Implemented via Projected-PCA and Canonical Correlation Analysis, our method is validated on simulated factor economies and a large panel of international stock returns spanning 27 developed and developing markets.  We document substantial temporal deviations in pricing for shared risks and widespread mispricing opportunities—even among G7 countries.  Finally, we show that targeted portfolio strategies—tilted toward identified country-specific factors or designed to hedge and capture common-factor premium gaps—deliver robust, statistically significant profits and markedly improve diversification.  Our results challenge the notion of fully integrated global equity markets and offer actionable portfolio strategies for international investors.

Das Brown Bag Seminar findet am 16.Juli 2025 von 12:00-13:00 Uhr im Raum D3.0.225 statt.