Time/时间：11月18日（周五） 上午10:00-11:30
Topic/题目：A Long-Run Productivity Risks Driving q-Factor Model
Venue/地点：Room 501, Jiageng Building 2/嘉庚二号楼501教室
Online Conference ID/腾讯会议号：463-267-703
Speaker/报告人：吴致霆助理教授
Abstract/摘要：I argue that long-run productivity risks can be one of the potential forces driving investment-based factor models. To this end, I incorporate the productivity risks into an investment-based q-factor asset pricing model. The proposed risks factors largely summarize the cross-sectional portfolio return, in which the time-varying volatility plays an important role. A parsimonious q-factor model driven by productivity risks explains about 90% variation of return of 25 Size/BM portfolios and around 75% variation of return of 160 portfolios, which is comparable to the Fama-French multifactor models, Carhart (1997) four-factor model, and Hou, Mo, Xue, and Zhang (2020) q-5 model.
About the Speaker/报告人简介：吴致霆，博士毕业于圣安德鲁斯大学，现任厦门大学财务管理与会计研究院财务学助理教授。其研究方向包括资产定价，公司金融与宏观金融。研究成果在计量经济学会中国会议，亚太会议，欧洲冬季会议，欧洲夏季会议和非洲会议等知名国际学术会议中报告。