We would like to invite all enthusiasts and researchers of the financial world to the next Finance Research Seminar Series event!
When? April 25th 2022 at 12:15 PM
Where? MS Teams Access (remote access)
Details about remote access will be sent to the provided e-mail address once the registration is completed. The registration form is available below.
During the meeting Prof. Adam Zaremba will present a paper on "Empirical Asset Pricing via Machine Learning: The Global Edition". Paper is available at SSRN: HERE.
Abstract:
We examine the cross-section of international equity risk premia with machine learning methods. We identify, classify, and calculate 88 market characteristics and use them to forecast country returns with various machine learning techniques. While all algorithms produce substantial economic gains, a two-layer neural network proves particularly effective. The associated long-short portfolio generates 1.69% per month at a Sharpe ratio of 1.57. Most models select a consistent group of leading predictors: long-run reversal, earnings yield, size, market breadth, and momentum. The return predictability is driven by mispricing rather than risk. In consequence, it is boosted by high limits to arbitrage but gradually diminishes over time as global markets mature.
Special guest and speaker: Prof. Adam Zaremba
Adam Zaremba is Associate Professor of Finance at Montpellier Business School (France) and Poznan University of Economics and Business (Poland). He previously served as Associate Professor of Finance at University of Dubai (UAE).
His research interests include asset pricing, investments, and financial markets. He has worked as an economist, adviser, and portfolio manager for investment management companies. Adam's works were published in journals such as Journal of Financial Economics, Journal of Banking and Finance, Journal of Financial Markets, and Journal of Financial Stability. He is also an author of several books on financial markets.