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Events Details

​Dissecting Characteristics Nonparametrically

Event Date & Time: 12-Sep-2017 1030hrs - 1200hrs
Venue: Executive Seminar Room 5 (S3.1-B1-07)
Contact Information:

​Chairperson:   Asst Prof Tao Chen

Abstract

We propose a nonparametric method to test which characteristics provide independent information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large number of characteristics, allows for a flexible functional form, and is insensitive to outliers.  Many of the previously identified return predictors do not provide incremental information for expected returns, and nonlinearities are important. Our proposed method has higher out-of-sample explanatory power compared to linear panel regressions, and increases Sharpe ratios by 50%.

About the speaker

Michael Weber joined Chicago Booth in 2014 as an Assistant Professor of Finance. He is also a faculty research fellow at the National Bureau of Economic Research in the Monetary Economics and Asset Pricing groups, a member of the Macro Finance Society, and a research affiliate at the CESifo Research Network. His research interests include asset pricing, macroeconomics, international finance, and household finance. His work on downside risk in currency markets and other asset classes earned the 2013 AQR Insight Award. He has published in leading economics and finance journals such as the American Economic Review and the Journal of Financial Economics.

Weber earned a Ph.D. and an M.S. both in Finance from the Haas School of Business at the University of California, Berkeley. He also holds a Diploma in Business Economics (with distinction) from the University of Mannheim which earned him the SEW Eurodrive dissertation award.

Venue Website: http://maps.ntu.edu.sg/maps#q:executive%20seminar%20rooms%205
 
For registration, further information and enquiries, please contact Florence at amlcher@ntu.edu.sg or telephone: 67906354
Nanyang Business School, Nanyang Technological University, Block S3, 50 Nanyang Avenue, Singapore 639798 www.ntu.edu.sg

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