一、主题： A Comparison of Factor Models in China

二、汇报人：王瑾喆 2023级金融学博士研究生

三、时间地点：2023年12月18日下午15:00，沙河校区3号楼金融学院302会议室

四、报告简介：2023年12月16日，第五届中国金融学术与政策论坛在北京对外经济贸易大学召开，由对外经济贸易大学中国金融学院、经济研究杂志社、Journal of Empirical Finance 杂志社共同承办。我院博士研究生王瑾喆与中央财经大学金融学院朱一峰副教授合作的论文《A Comparison of Factor Models in China》经过评审应邀参会。王瑾喆同学将在校内就该参会论文做出学术报告。

五、报告摘要：We apply various test portfolios and alternative statistical methodology to evaluate the performance of several prominent asset pricing models. To compile the test portfolios, we construct 105 anomalies in China and apply the 23 significant anomalies as test assets for model comparison. The results indicate that in the time-series test, the Hou et al. (2019) five-factor q model exhibits the best overall performance. The pairwise cross-sectional s and the multiple model comparison tests affirm that the Hou et al. (2019) five-factor q model, Fama and French (2018) six-factor model and the Kelly et al. (2019) five-factor Instrumented Principal Component Analysis (IPCA5) stand out as the top performers. Notably, the performance of the five-factor q model is insensitive to variations in experimental design.

撰稿：王瑾喆

初审：位锦

审核：魏旭