报告题目：Understanding Factor Value

报 告 人：Shaojun Zhang（Ohio State University）

报告时间：2024年6月12日（周三）9:00-10:30

报告地点：ZOOM平台在线交流（会议ID：927 9980 4746）

ZOOM App下载链接：//zoom.us/download, 亦可点击以下链接直接参加会议：//ucincinnati.zoom.us/j/92799804746

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【报告人简介】

Shaojun Zhang is an assistant professor of finance at the Ohio State University, Fisher School of Business. Professor Zhang's primary research fields are asset pricing, international finance, and climate finance. She is interested in issues related to expected return, macroeconomic risk, tail risk, and climate change. She is an advisory editorial board member of Journal of Portfolio Management. She earned a bachelor's degree in economics from Peking University and a PhD in finance from New York University's Stern School of Business. Before joining OSU, Zhang was an assistant professor of finance at the University of Hong Kong. Zhang also worked as a portfolio manager at China Investment Corporation and Vanguard. She teaches investments at Fisher.  

【内容摘要】

The value spread of factors fluctuates over time because of changes in market equity or book value but predicts factor returns only through the component driven by market equity changes (the dme spread). Exploiting cross-sectional mispricing, the dme spread measures ninety years of sentiment and subsumes the predictability in existing sentiment measures. Factor predictability concentrates on mispricing factors, factors predictable by sentiment, and factors more subject to asymmetric limits of arbitrage. A timing strategy exploiting factor predictability outperforms and explains cross-sectional value factors. The value premium is not an independent factor but summarizes time-varying factor returns conditional on sentiment.

撰稿：赵鹏辉  审核：史永东  单位：bet365中国备用网址