Econometrics Seminar | Time-Varying Factor Selection: A Sparse Fused GMM Approach by Yongmiao Hong – School of Economics Econometrics Seminar | Time-Varying Factor Selection: A Sparse Fused GMM Approach by Yongmiao Hong – School of Economics

Econometrics Seminar | Time-Varying Factor Selection: A Sparse Fused GMM Approach by Yongmiao Hong

School of Economics

 Invites you to a 

Econometrics seminar presented by

Yongmiao Hong
(University of Chinese Academy of Sciences)

Time-Varying Factor Selection: A Sparse Fused GMM Approach

Wednesday 22 November 2023

2.00pm – 3.30pm

 Level 4 Zoom Room (441)

A02 Social Sciences Building
Camperdown Campus

The University of Sydney NSW 2006

 Empirical asset pricing studies evaluate and select risk factors solely based on their historical aggregate performance, implicitly assuming a time-invariant model specification, and overlooking potential time variations of specification in the stochastic discount factor (SDF) model. This paper presents a new method for capturing the time-varying sparsity of factor models by identifying heterogeneous structural breaks instrumented by macroeconomic regimes. Our empirical findings highlight that factor model specification changes over time. We identify time-invariant factors as well as time-varying factors, selected in different periods in response to macroeconomic-targeted regime switching. The collective explanatory power of these 20 risk factors is high during periods of high interest rates or low market valuation, but their effectiveness declines when market liquidity is high. Finally, we evaluate factors by modeling unsynchronized factor discovery using unbalanced panel data to account for heterogeneous academic publication timings.

 For further information contact: Econometrics seminar series coordinator Dr Ye Lu (ye.lu1@sydney.edu.au)

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Date

Nov 22 2023
Expired!

Time

2:00 pm - 3:30 pm

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