15th Online Seminar in Finance: Mihail Velikov, Pennsylvania State University
The Institute of Finance at PUEB is pleased to announce the 15th Online Seminar in Finance.
Speaker: Mihail Velikov, Pennsylvania State University
Title: Assaying Anomalies
Abstract: We propose a protocol for testing potential cross-sectional predictors of equity returns, and describe turn-key tools for democratizing the implementation of protocol with little more effort than pushing a button. Our free-to-use web application automatically generates an online appendix with text, tables, and figures, analyzing the performance of a candidate cross-sectional return predictor. The tests in our protocol go far beyond the direct inferences available from standard linear factor models, identifying issues that commonly arise testing equity strategies, paying particular attention to arbitrage limits that can make a strategy look good on paper even when if cannot be profitably traded in practice. It also identifies similar anomalies and places the proposed predictor in the context of the now extensive “factor zoo.”
Date: May 10th, 2024, 15:00 (Warsaw time)
Speaker’s bios: Mihail Velikov is an assistant professor of finance at the Smeal College of Business at Penn State University. His research is in empirical asset pricing, with a focus on stock market anomalies, transaction costs, and monetary policy. His work has been accepted for publication in the Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Management Science, Journal of Financial and Quantitative Analysis, Review of Asset Pricing Studies, Financial Analysts Journal, and the Critical Finance Review. Prior to Penn State, Mihail spent four years at the Quantitative Supervision and Research group of the Federal Reserve Bank of Richmond, where in his last year he co-led the Federal Reserve System’s DFAST supervisory modeling team responsible for stress testing AFS/HTM securities and HFS/FVO loans. He holds bachelor’s degrees in mathematics and finance from Ramapo College, and an MSBA in applied economics and a doctorate in finance from the Simon Business School at the University of Rochester.
To register, please click here: https://forms.gle/LzY4EoTXBR6NCCiQ7*
Registration deadline: May 8th, 2024, 20:00 (Warsaw time). The invitation to the Teams webinar will be sent on May 9th, 2024.
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