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DTSTART:20220327T010000
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DTSTART;TZID=Europe/Helsinki:20221117T113000
DTEND;TZID=Europe/Helsinki:20221117T123000
DTSTAMP:20260723T165755
CREATED:20221104T083548Z
LAST-MODIFIED:20221104T084005Z
UID:14249-1668684600-1668688200@crest.science
SUMMARY:Zhenya LIU (Renmin & Aix-Marseille) "A MISPRICING FACTOR\, IPCA\, AND CHINA A-SHARES MARKET"
DESCRIPTION:The Financial Econometrics Seminar: \nTime: 11:30 pm\nDate: 17th of November 2022\nRoom 3001 \nZhenya LIU (Renmin & Aix-Marseille) “A MISPRICING FACTOR\, IPCA\, AND CHINA A-SHARES MARKET” \nAbstract : This paper has identified four significant characteristics related to mispricing in China’s A-shares market using the instrumented principal component analysis (IPCA)\, which are idiosyncratic volatility\, bid-ask spread\, short-term reversal\, and turnover. Based on these four characteristics\, we build a factor with a Sharpe ratio of 1.81 that measures the mispricing effect. We propose a four-factor model including the market\, size\, profitability\, and our mispricing factors. In addition to explaining 36 anomaly portfolios in the literature more effectively\, it also outperforms the majority of asset pricing factor models currently in use. The tangency portfolio of these four factors achieves an out-of-sample Sharpe ratio of 2.42. \nJoint work : with Bo LI and Yuhao MU. \n\n\n \nOrganizers:\n\nJean-Michel ZAKOIAN  (CREST) \nSponsors:\nCREST \n
URL:https://crest.science/event/zhenya-liu-renmin-aix-marseille-a-mispricing-factor-ipca-and-china-a-shares-market/
CATEGORIES:Finance-Insurance,Financial Econometrics
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