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UID:event-9466@amse-aixmarseille.fr
DTSTAMP:20260430T164205Z
CREATED:20260430T164205Z
LAST-MODIFIED:20260430T164205Z
STATUS:CONFIRMED
SEQUENCE:0
SUMMARY:finance seminar - Zhenya Liu
DTSTART:20220920T123000Z
DTEND:20220920T123000Z
DESCRIPTION:By using the Instrumented Principal Component Analysis (IPCA)\,
  this paper has found four latent risk factors in China’s A-shares market
 . These are idiosyncratic volatility\, bid-ask spread\, short-term reversal
 \, and turnover. Based on these four IPCA mispricing characteristics\, we b
 uild a mispricing factor that measures the long-term effect of mispricing. 
 Then\, we propose a four-factor model that uses the mispricing factor in ad
 dition to the market\, size\, and profitability factors and does a better j
 ob of pricing 36 anomalies. The tangency portfolio of these four factors ac
 hieves an out-of-sample Sharp ratio of 2.44.\\n\\nContact: Eric Girardin : 
 eric.girardin[at]univ-amu.frGaël Leboeuf : gael.leboeuf[at]univ-amu.frChri
 stelle Lecourt : christelle.lecourt[at]univ-amu.fr\n\nPlus d'informations: 
 https://amse-aixmarseille.fr/fr/evenements/zhenya-liu
LOCATION:MEGA
URL;VALUE=URI:https://amse-aixmarseille.fr/fr/evenements/zhenya-liu
CONTACT:Eric Girardin : eric.girardin[at]univ-amu.frGaël Leboeuf : gael.le
 boeuf[at]univ-amu.frChristelle Lecourt : christelle.lecourt[at]univ-amu.fr
TRANSP:OPAQUE
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