Brown Bag Seminar - Raman Uppal

Wir freuen uns, für Dienstag, 14. November 2017, ein Brown Bag Seminar mit Raman Uppal (EDHEC Busi­ness School - Lille) ankün­digen zu können.

Die Veran­stal­tung findet in D3.0.218, von 13:45 bis 15:00 statt.

Er wird sein Paper "A Port­folio Perspec­tive on the Multi­tude of Firm Charac­te­ris­tics” (gemeinsam mit Victor DeMi­guel, Alberto Martín-Utrera, Fran­cisco J.Nogales), vorstellen.

Abstract: We inves­ti­gate which charac­te­ris­tics matter jointly for an investor who cares not only about average returns but also about port­folio risk, tran­sac­tion costs, and outof- sample perfor­mance. We nd only a small number of charac­te­ris­tics|six|are signi­cant without tran­sac­tion costs. With tran­sac­tion costs, the number of signi cant charac­te­ris­tics increases to 15 because the trades in the under­lying stocks required to reba­lance dierent charac­te­ris­tics often net out. We show inves­tors can iden­tify combi­na­tions of charac­te­ris­tics with abnormal out-of-­s­ample returns net of tran­sac­tion costs that are not fully explained by the Fama and French (2015) and Hou, Xue, and Zhang (2014) factors.

zurück zur Übersicht