Seminar 217, Risk Management: Proliferation of Anomalies and Zoo of Factors – What does the Hansen–Jagannathan Distance Tell Us?

Risk Seminar
Oct 23, 2018 11:00am to 12:30pm
Location: 
1011 Evans Hall
Status: 
Happening As Scheduled
Recent research finds that prominent asset pricing models have mixed success in evaluating the cross-section of anomalies, which highlights proliferation of anomalies and zoo of factors. In this paper, I investigate that how is the relative pricing performance of these models to explain anomalies, when comparing their misspecification errors– the Hansen–Jagannathan (HJ) distance measure. I find...
Speaker: Xiang Zhang, SWUFE (Speaker - Featured)