Speaker: Professor Paul Schneider (Universita’ della Svizzera Italiana (USI) Lugano)
Hosted by: University of Liverpool Management School's Accounting and Finance Group
Open to: Management School PhD students and academic staff, with no sign up needed
Date: Wednesday 21 February 2024
Time: 3-4.30pm
Place: Management School - Seminar Room 5
Abstract
We study conditional nonparametric discount factors built around classical linear models through the lens of a large cross-section of U.S. asset returns.
We find that while deviations from linearity yield only modest pricing performance increases out-of-sample, they largely dissipate certain asset pricing anomalies.
Our framework allows us to discard coskewness as a first-order driver for low-risk asset pricing anomalies, and manages to explain them fully within our richer specification.
The exclusion of arbitrage portfolios greatly regularizes the models across all specifications considered, leading to stable factor loadings.
Speaker
Paul Schneider graduated in 2006 from the University of Vienna with a PhD in finance.
After a post-doctoral position in Vienna he joined the University of Warwick in 2008 as Assistant Professor.
Since 2012 he has been a professor in quantitative methods at the Faculty of Economics, USI. Dr. Schneider’s research interests include financial econometrics, statistical methods, and asset pricing.
His work has been published in the Annals of Statistics, Journal of Econometrics, and the Journal of Finance among other international journals.
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