时  间： 2020年7月15日19:00-20:30

线上平台与会议ID：ZOOM，858 5709 8479

主  题： Which factor model(s)? A systematic risk perspective

内容提要：

We examine which major factor models best capture systematic risk. Focusing on theireconomic implications for portfolio risk control, the pairwise variance equality test and themodel condence set procedure suggest that the Fama and French (2015) ve-factor model,the Barillas and Shanken (2018) six-factor model, and the Fama and French (2018) six-factormodel are the top performers for the factor model-implied minimum risk portfolios in theout-of-sample. When it comes to the minimum tracking error portfolios, the Barillas andShanken (2018) six-factor model and the Fama and French (2018) six-factor model are theoverall winners in the horse race.

主讲人简介：

Shamim Ahmed博士毕业于英国Essex大学，现任利物浦大学管理学院副教授。 Ahmed教授在金融和数量分析学报（JFQA），公司金融学报（Journal of Corporate Finance）,银行与金融学报（ Journal of Banking & Finance）等多本国际权期刊上。 他的研究主要关注实证资产定价、国际金融和宏观金融方面。在入职利物浦大学之前，Ahmed是英国诺丁汉大学商学院的助理教授。