Hi all,

Apologies for a short notice.

The Canadian economist and Professor of Finance at Duke University, Cam Harvey will be visiting Melbourne on Monday 12th November and we have secured an hour for a seminar.

Cam is also a Partner/Senior Adviser to Research Affiliates.

(bio: https://www.researchaffiliates.com/en_us/about-us/our-team/cam-harvey.html )

Cam is ranked 7 worldwide in SSRN citations. Please feel free to read amongst his wider authorship (than just lucky factors) for question/discussion time. (He has a good list on Google Scholar.)

Please see below for details of the event and registration.

Time: 4.15 – 5.30pm Monday 12th November

Venue: Level 14, 333 Collins Street, Melbourne

Agenda:

4.15-4.30pm pre-seminar drinks

4.30-5.30pm seminar and discussion

Discussion leader: Prof. Cam Harvey

Discussion topic: Lucky Factors (SSRN article)

Abstract

We propose a new method to select amongst a large group of candidate factors - many of which might arise as a result of data mining | that purport to explain the cross-section of expected returns. The method is robust to general distributional characteristics of both factor and asset returns. We allow for the possibility of time-series as well as cross-sectional dependence. The technique accommodates a wide range of test statistics. Our method can be applied to both asset pricing tests based on portfolio sorts as well as tests using individual asset returns. In contrast to recent asset pricing research, our study of individual stocks finds that the original market factor is by far the most important factor in explaining the cross-section of expected returns.

Registration:

If you would like to attend, please rsvp using the following link:
mailto:qrsvp@qgroup.org.au?subject=[QGroupMelbourne]_I_would_like_to_attend_seminar_12_Nov_2018

Regards,

Q Group committee

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